{ "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/20241031", "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/2024/ES7IP3U3RHIGC71XBU11-2024-10-31.xsd" ] }, "facts": { "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00623": { "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 2024 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 occurs 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.
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 model-
\n
based approach referred to as the Advanced Internal Ratings Based (A-IRB) Approach and a more supervisory-based
\n
approach known as the Foundation Internal Ratings Based Approach (F-IRB).
\n
The Standardized Approach applies primarily to Wealth Management, including our City National wholesale portfolio, our
\n
Caribbean banking operations and certain non-mortgage retail portfolios acquired through the HSBC Canada transaction, and
\n
is based on risk weights prescribed by OSFI that are used to calculate RWA for 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.
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 2024 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 41
\n\n \n
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
Investment Grade
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
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
Non-investment
Grade
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
16
2.2166% \u2013 4.5070%
3+L
B-
B3
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
Impaired
22
100%
6
D
C
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
\n
quality, adjudication timeframes and consistency in the credit decision process and facilitates risk-based pricing. We seek to
\n
continuously improve our credit scoring and analytic capabilities by exploring client behavioural data and advanced
\n
analytical techniques to make sound credit decisions.
\n
To arrive at a retail risk rating, borrower scores are categorized and associated with PDs for further grouping into risk
\n
rating categories. The following table maps PD bands to various summarized risk levels for retail exposures:
\n
Internal ratings map*
Table 42
\n\n \n
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 of
\n
guarantees, collateral, seniority, LTV requirements and covenants. Product-specific guidelines set out appropriate product
\n
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.
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 Personal Banking, Commercial Banking and
\n
Wealth Management, collateral typically consists of a pledge over a real estate property, or a portfolio of debt securities and
\n
equities trading on a 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 prudent 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 exceeds senior
\n
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 product risk assessment
\n
process and are subject to product and suitability risk approval authorities which increase as the level of risk increases. New
\n
and amended products must be reviewed relative to all risk drivers, including credit risk. All existing products must be
\n
reviewed 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 the obligors\u2019
\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 appetite. The Market and Counterparty Credit Risk
\n
function within GRM is responsible for creating and managing the controls and governance procedures that are designed to
\n
ensure that risk taken is consistent with risk appetite constraints set by the Board. These controls include limits on
\n
probabilistic measures of potential loss such as Value-at-Risk and stress tests as defined below:
\n
Value-at-Risk (VaR)
is a statistical measure of potential loss for a financial portfolio computed at a given level of confidence
\n
and over a defined holding period. We measure VaR at the 99th percentile confidence level for price movements over a
\n
one-day holding period using historic simulation of the last two years of equally weighted historic market data. These
\n
calculations are updated daily with current risk positions, with the exception of certain less material positions that are not
\n
actively traded which are updated on at least a monthly basis.
Trading VaR captures potential loss for our trading portfolio
\n
that excludes the impacts of non-trading FVTPL positions such as loan underwriting commitments. Total VaR captures
\n
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 periods
\n
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 held
\n
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 over
\n
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 of independent model developers and by back-testing the VaR against daily marked-to-market revenue to identify and
\n
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 prices
\n
and rates. We conduct stress testing daily on positions that are marked-to-market. The stress tests simulate both historical
\n
and hypothetical events which are severe and long-term in duration. Historical scenarios are taken from actual market events
\n
and range in duration up to 90 days. Examples include the COVID-19 Pandemic of 2020, Global Financial Crisis of 2008 and the
\n
Taper Tantrum of 2013. Hypothetical scenarios are designed to be forward-looking at potential future market stresses, and are
\n
designed to be severe but plausible. We are constantly evaluating and refining these scenarios as market conditions change.
\nStress results are calculated assuming an instantaneous revaluation of our positions with no management action.Market risk measures*
Table 50
\n \n \n
October 31, 2024
October 31, 2023
For the year ended
For the year ended
(Millions of Canadian dollars)
As at
Average
High
Low
As at
Average
High
Low
Equity
$
23
$
14
$
26
$
6
$
10
$
11
$
26
$
6
Foreign exchange
6
5
10
2
4
3
25
2
Commodities
11
6
11
4
5
5
8
4
Interest rate
(1)
23
30
44
19
38
32
49
20
Credit specific
(2)
8
8
9
7
7
5
8
4
Diversification
(3)
(37)
(34)
n.m.
n.m.
(35)
(31)
n.m.
n.m.
Trading VaR
$
34
$
29
$
41
$
20
$
29
$
25
$
36
$
16
Total VaR
$
34
$
70
$ 138
$
26
$ 121
$
51
$ 127
$
27
Market risk controls \u2013 Interest Rate Risk in the Banking Book (IRRBB) positions
3
\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 by
\n
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 estimate
\n
the impact of market stress scenarios on projected NII. Assets, liabilities and off-balance sheet positions are simulated over
\n
various time horizons. The simulations incorporate maturities, renewals, and new originations along with prepayment and
\n
redemption behaviour. Product pricing and volumes are forecasted based on past experience to determine response
\n
expectations under a given market shock scenario. EVE risk captures the market value sensitivity to changes in rates. In
\n
measuring EVE risk, deterministic (single-scenario) and stochastic (multiple-scenario) valuation techniques are applied to spot
\n
position data. NII and EVE risks are measured for a range of market risk stress scenarios which include extreme but plausible
\n
changes in market rates and volatilities. IRRBB measures assume continuation of existing hedge 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 used
\n
to measure NII and EVE risk. The key assumptions pertain to the projected funding date of mortgage rate commitments, fixed-
\n
rate loan prepayment behaviour, term deposit redemption behaviour, and the term and rate profile of non-maturity deposits. All
\n
assumptions are derived empirically based on historical client behaviour and product pricing with consideration of possible
\n
forward-looking changes. All models and assumptions used to measure IRRBB are subject to independent 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 51
October 31
October 31
2024
2023
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
$
(1,775)
$
(301)
$
(2,076)
$
264
$
136
$
400
$
(1,552)
$
651
100 bps decrease in rates
1,705
(42)
1,663
(315)
(187)
(502)
1,353
(751)
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.
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.
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 55
\n
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Unsecured long-term funding
$
150,682
$
139,882
Secured long-term funding
83,353
74,720
Subordinated debentures
13,714
12,038
$
247,749
$
226,640
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
\n
under 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 63
\n\n \n
As at October 31, 2024
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)
$ 585,524
$
560,583
$
79,909
$ 127,421
$
58,193
$ 1,411,630
Other
Acceptances
\u2013
24
\u2013
11
\u2013
35
Obligations related to securities sold short
\u2013
35,326
\u2013
\u2013
\u2013
35,326
Obligations related to assets sold under
repurchase agreements and securities loaned
22,336
282,478
466
\u2013
\u2013
305,280
Other liabilities
563
51,192
382
731
15,011
67,879
Lease liabilities
\u2013
709
631
1,566
1,767
4,673
Subordinated debentures
\u2013
\u2013
2,026
\u2013
11,530
13,556
608,423
930,312
83,414
129,729
86,501
1,838,379
Off-balance sheet items
Financial guarantees
(2)
$
25,553
$
1,485
$
10
$
174
$
\u2013
$
27,222
Other commitments
(3)
\u2013
77
70
179
260
586
Commitments to extend credit
(2)
3,081
121,652
54,443
190,073
9,718
378,967
28,634
123,214
54,523
190,426
9,978
406,775
Total financial liabilities and off-balance sheet
items
$ 637,057
$ 1,053,526
$ 137,937
$ 320,155
$
96,479
$ 2,245,154
\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
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialRiskManagementExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00624": { "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 occurs any time funds are extended, committed or
\ninvested 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.
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 model-
\n
based approach referred to as the Advanced Internal Ratings Based (A-IRB) Approach and a more supervisory-based
\n
approach known as the Foundation Internal Ratings Based Approach (F-IRB).
\n
The Standardized Approach applies primarily to Wealth Management, including our City National wholesale portfolio, our
\n
Caribbean banking operations and certain non-mortgage retail portfolios acquired through the HSBC Canada transaction, and
\n
is based on risk weights prescribed by OSFI that are used to calculate RWA for 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.
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 2024 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 41
\n\n \n
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
Investment Grade
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
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
Non-investment
Grade
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
16
2.2166% \u2013 4.5070%
3+L
B-
B3
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
Impaired
22
100%
6
D
C
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
\n
quality, adjudication timeframes and consistency in the credit decision process and facilitates risk-based pricing. We seek to
\n
continuously improve our credit scoring and analytic capabilities by exploring client behavioural data and advanced
\n
analytical techniques to make sound credit decisions.
\n
To arrive at a retail risk rating, borrower scores are categorized and associated with PDs for further grouping into risk
\n
rating categories. The following table maps PD bands to various summarized risk levels for retail exposures:
\n
Internal ratings map*
Table 42
\n\n \n
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 of
\n
guarantees, collateral, seniority, LTV requirements and covenants. Product-specific guidelines set out appropriate product
\n
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.
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 Personal Banking, Commercial Banking and
\n
Wealth Management, collateral typically consists of a pledge over a real estate property, or a portfolio of debt securities and
\n
equities trading on a 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 prudent 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 exceeds senior
\n
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 product risk assessment
\n
process and are subject to product and suitability risk approval authorities which increase as the level of risk increases. New
\n
and amended products must be reviewed relative to all risk drivers, including credit risk. All existing products must be
\n
reviewed 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 the obligors\u2019
\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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00625": { "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 appetite. The Market and Counterparty Credit Risk
\n
function within GRM is responsible for creating and managing the controls and governance procedures that are designed to
\n
ensure that risk taken is consistent with risk appetite constraints set by the Board. These controls include limits on
\n
probabilistic measures of potential loss such as Value-at-Risk and stress tests as defined below:
\n
Value-at-Risk (VaR)
is a statistical measure of potential loss for a financial portfolio computed at a given level of confidence
\n
and over a defined holding period. We measure VaR at the 99th percentile confidence level for price movements over a
\n
one-day holding period using historic simulation of the last two years of equally weighted historic market data. These
\n
calculations are updated daily with current risk positions, with the exception of certain less material positions that are not
\n
actively traded which are updated on at least a monthly basis.
Trading VaR captures potential loss for our trading portfolio
\n
that excludes the impacts of non-trading FVTPL positions such as loan underwriting commitments. Total VaR captures
\n
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 periods
\n
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 held
\n
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 over
\n
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 of independent model developers and by back-testing the VaR against daily marked-to-market revenue to identify and
\n
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 prices
\n
and rates. We conduct stress testing daily on positions that are marked-to-market. The stress tests simulate both historical
\n
and hypothetical events which are severe and long-term in duration. Historical scenarios are taken from actual market events
\n
and range in duration up to 90 days. Examples include the COVID-19 Pandemic of 2020, Global Financial Crisis of 2008 and the
\n
Taper Tantrum of 2013. Hypothetical scenarios are designed to be forward-looking at potential future market stresses, and are
\n
designed to be severe but plausible. We are constantly evaluating and refining these scenarios as market conditions change.
\nStress results are calculated assuming an instantaneous revaluation of our positions with no management action.Market risk measures*
Table 50
\n \n \n
October 31, 2024
October 31, 2023
For the year ended
For the year ended
(Millions of Canadian dollars)
As at
Average
High
Low
As at
Average
High
Low
Equity
$
23
$
14
$
26
$
6
$
10
$
11
$
26
$
6
Foreign exchange
6
5
10
2
4
3
25
2
Commodities
11
6
11
4
5
5
8
4
Interest rate
(1)
23
30
44
19
38
32
49
20
Credit specific
(2)
8
8
9
7
7
5
8
4
Diversification
(3)
(37)
(34)
n.m.
n.m.
(35)
(31)
n.m.
n.m.
Trading VaR
$
34
$
29
$
41
$
20
$
29
$
25
$
36
$
16
Total VaR
$
34
$
70
$ 138
$
26
$ 121
$
51
$ 127
$
27
Market risk controls \u2013 Interest Rate Risk in the Banking Book (IRRBB) positions
3
\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 by
\n
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 estimate
\n
the impact of market stress scenarios on projected NII. Assets, liabilities and off-balance sheet positions are simulated over
\n
various time horizons. The simulations incorporate maturities, renewals, and new originations along with prepayment and
\n
redemption behaviour. Product pricing and volumes are forecasted based on past experience to determine response
\n
expectations under a given market shock scenario. EVE risk captures the market value sensitivity to changes in rates. In
\n
measuring EVE risk, deterministic (single-scenario) and stochastic (multiple-scenario) valuation techniques are applied to spot
\n
position data. NII and EVE risks are measured for a range of market risk stress scenarios which include extreme but plausible
\n
changes in market rates and volatilities. IRRBB measures assume continuation of existing hedge 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 used
\n
to measure NII and EVE risk. The key assumptions pertain to the projected funding date of mortgage rate commitments, fixed-
\n
rate loan prepayment behaviour, term deposit redemption behaviour, and the term and rate profile of non-maturity deposits. All
\n
assumptions are derived empirically based on historical client behaviour and product pricing with consideration of possible
\n
forward-looking changes. All models and assumptions used to measure IRRBB are subject to independent 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 51
October 31
October 31
2024
2023
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
$
(1,775)
$
(301)
$
(2,076)
$
264
$
136
$
400
$
(1,552)
$
651
100 bps decrease in rates
1,705
(42)
1,663
(315)
(187)
(502)
1,353
(751)
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.Market risk
We are exposed to market risk, which is the risk that the carrying value or future cash flows of insurance and reinsurance
\n
contract balances or financial assets fluctuate because of changes or volatility in market prices. Market risk includes equity,
\n
interest rate and spread, foreign currency and inflation risks. Our exposure to market risk is managed through our asset/liability
\n
management activities, developed to achieve long-term investment returns in excess of our obligations under insurance
\ncontracts.", "dimensions": { "concept": "ifrs-full:DisclosureOfMarketRiskExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00626": { "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.
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.
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 55
\n
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Unsecured long-term funding
$
150,682
$
139,882
Secured long-term funding
83,353
74,720
Subordinated debentures
13,714
12,038
$
247,749
$
226,640
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
\n
under 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 63
\n\n \n
As at October 31, 2024
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)
$ 585,524
$
560,583
$
79,909
$ 127,421
$
58,193
$ 1,411,630
Other
Acceptances
\u2013
24
\u2013
11
\u2013
35
Obligations related to securities sold short
\u2013
35,326
\u2013
\u2013
\u2013
35,326
Obligations related to assets sold under
repurchase agreements and securities loaned
22,336
282,478
466
\u2013
\u2013
305,280
Other liabilities
563
51,192
382
731
15,011
67,879
Lease liabilities
\u2013
709
631
1,566
1,767
4,673
Subordinated debentures
\u2013
\u2013
2,026
\u2013
11,530
13,556
608,423
930,312
83,414
129,729
86,501
1,838,379
Off-balance sheet items
Financial guarantees
(2)
$
25,553
$
1,485
$
10
$
174
$
\u2013
$
27,222
Other commitments
(3)
\u2013
77
70
179
260
586
Commitments to extend credit
(2)
3,081
121,652
54,443
190,073
9,718
378,967
28,634
123,214
54,523
190,426
9,978
406,775
Total financial liabilities and off-balance sheet
items
$ 637,057
$ 1,053,526
$ 137,937
$ 320,155
$
96,479
$ 2,245,154
\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
", "dimensions": { "concept": "ifrs-full:DisclosureOfLiquidityRiskExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00627": { "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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "ConsolidatedBalanceSheets_Label_0034": { "value": "56723000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0035": { "value": "61989000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0040": { "value": "66020000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:ShorttermDepositsNotClassifiedAsCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0041": { "value": "71086000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:ShorttermDepositsNotClassifiedAsCashEquivalents", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0052": { "value": "183300000000.0", "decimals": -6, "dimensions": { "concept": "ry:TradingSecuritiesAtFairValueThroughProfitOrLoss", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0053": { "value": "190151000000.0", "decimals": -6, "dimensions": { "concept": "ry:TradingSecuritiesAtFairValueThroughProfitOrLoss", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0060": { "value": "256618000000.0", "decimals": -6, "dimensions": { "concept": "ry:InvestmentSecuritiesNetOfApplicableAllowance", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0061": { "value": "219579000000.0", "decimals": -6, "dimensions": { "concept": "ry:InvestmentSecuritiesNetOfApplicableAllowance", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_0064": { "value": "439918000000.0", "decimals": -6, "dimensions": { "concept": "ry:FinancialAssetsSecurities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_0065": { "value": "409730000000.0", "decimals": -6, "dimensions": { "concept": "ry:FinancialAssetsSecurities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0074": { "value": "350803000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:ReverseRepurchaseAgreementsAndCashCollateralOnSecuritiesBorrowed", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0075": { "value": "340191000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:ReverseRepurchaseAgreementsAndCashCollateralOnSecuritiesBorrowed", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0088": { "value": "626978000000.0", "decimals": -6, "dimensions": { "concept": "ry:RetailLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0089": { "value": "569951000000.0", "decimals": -6, "dimensions": { "concept": "ry:RetailLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0090": { "value": "360439000000.0", "decimals": -6, "dimensions": { "concept": "ry:WholesaleLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_0091": { "value": "287826000000.0", "decimals": -6, "dimensions": { "concept": "ry:WholesaleLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00104": { "value": "987417000000.0", "decimals": -6, "dimensions": { "concept": "ry:LoansBeforeAllowanceForLoanLosses", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00105": { "value": "857777000000.0", "decimals": -6, "dimensions": { "concept": "ry:LoansBeforeAllowanceForLoanLosses", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_NegatedLabel_00106": { "value": "6037000000.0", "decimals": -6, "dimensions": { "concept": "ry:AllowanceAccountForCreditLossesOfLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_NegatedLabel_00107": { "value": "5004000000.0", "decimals": -6, "dimensions": { "concept": "ry:AllowanceAccountForCreditLossesOfLoans", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00118": { "value": "981380000000.0", "decimals": -6, "dimensions": { "concept": "ry:LoansNet", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00119": { "value": "852773000000.0", "decimals": -6, "dimensions": { "concept": "ry:LoansNet", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00204": { "value": "35000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:BankAcceptanceAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00205": { "value": "21695000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:BankAcceptanceAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00214": { "value": "150612000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DerivativeFinancialAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00215": { "value": "142450000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DerivativeFinancialAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00266": { "value": "6852000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:PropertyPlantAndEquipment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00267": { "value": "6749000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:PropertyPlantAndEquipment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00276": { "value": "19286000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:Goodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00277": { "value": "12594000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:Goodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00326": { "value": "7798000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:IntangibleAssetsOtherThanGoodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00327": { "value": "5903000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:IntangibleAssetsOtherThanGoodwill", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00340": { "value": "92155000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:OtherAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00341": { "value": "81371000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:OtherAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00342": { "value": "276738000000.0", "decimals": -6, "dimensions": { "concept": "ry:OtherMiscellaneousAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00343": { "value": "270762000000.0", "decimals": -6, "dimensions": { "concept": "ry:OtherMiscellaneousAssets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00376": { "value": "2171582000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:Assets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00377": { "value": "2006531000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:Assets", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00432": { "value": "522139000000.0", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromCustomersOtherThanBusinessGovernmentAndBank", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00433": { "value": "441946000000.0", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromCustomersOtherThanBusinessGovernmentAndBank", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00486": { "value": "839670000000.0", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromBusinessAndGovernment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00487": { "value": "745075000000.0", "decimals": -6, "dimensions": { "concept": "ry:DepositsFromBusinessAndGovernment", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00488": { "value": "47722000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DepositsFromBanks", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00489": { "value": "44666000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DepositsFromBanks", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00522": { "value": "1409531000000.0", "decimals": -6, "dimensions": { "concept": "ry:Deposits", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_TotalLabel_00523": { "value": "1231687000000.0", "decimals": -6, "dimensions": { "concept": "ry:Deposits", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedBalanceSheets_Label_00534": { "value": "35000000.0", "decimals": -6, 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"ifrs-full:InterestPaidClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlows_Label_00600": { "value": "54698000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestPaidClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlows_Label_00607": { "value": "102127000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestReceivedClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlows_Label_00606": { "value": "81090000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestReceivedClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlows_Label_00609": { "value": "3502000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DividendsReceivedClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlows_Label_00608": { "value": "3362000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DividendsReceivedClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlows_Label_00613": { "value": "3410000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:IncomeTaxesPaidRefundClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlows_Label_00612": { "value": "4964000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:IncomeTaxesPaidRefundClassifiedAsOperatingActivities", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlowsParenthetical_Label_003": { "value": "2000000000.0", "decimals": -9, "dimensions": { "concept": "ifrs-full:MandatoryReserveDepositsAtCentralBanks", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlowsParenthetical_Label_004": { "value": "3000000000.0", "decimals": -9, "dimensions": { "concept": "ifrs-full:MandatoryReserveDepositsAtCentralBanks", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "ConsolidatedStatementsOfCashFlowsParenthetical_Label_005": { "value": "2000000000.0", "decimals": -9, "dimensions": { "concept": "ifrs-full:MandatoryReserveDepositsAtCentralBanks", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00", "unit": "iso4217:CAD" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00628": { "value": "Note 1
General information
\n
Royal Bank of Canada and its subsidiaries (the Bank) provide diversified financial services including Personal Banking,
\n
Commercial Banking, Wealth Management, Insurance and Capital Markets products and services on a global basis. Refer to
\n
Note 26 for 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 December 3, 2024, the Board of Directors authorized the Consolidated Financial Statements for issue.", "dimensions": { "concept": "ifrs-full:DisclosureOfGeneralInformationAboutFinancialStatementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00618": { "value": "Royal Bank of Canada and its subsidiaries (the Bank) provide diversified financial services including Personal Banking, Commercial Banking, Wealth Management, Insurance and Capital Markets products and services on a global basis. Refer to \nNote 26 for further details on our business segments.", "dimensions": { "concept": "ifrs-full:DescriptionOfNatureOfEntitysOperationsAndPrincipalActivities", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00614": { "value": "Royal Bank of Canada", "dimensions": { "concept": "ifrs-full:NameOfReportingEntityOrOtherMeansOfIdentification", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00616": { "value": "Royal Bank of Canada", "dimensions": { "concept": "ifrs-full:NameOfParentEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00619": { "value": "Royal Bank of Canada", "dimensions": { "concept": "ifrs-full:NameOfUltimateParentOfGroup", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00622": { "value": "Schedule I Bank under the Bank Act (Canada)", "dimensions": { "concept": "ifrs-full:LegalFormOfEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00621": { "value": "Canada", "dimensions": { "concept": "ifrs-full:DomicileOfEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00615": { "value": "1 Place Ville-Marie, Montreal, Quebec, Canada.", "dimensions": { "concept": "ifrs-full:AddressOfRegisteredOfficeOfEntity", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00617": { "value": "Canada", "dimensions": { "concept": "ifrs-full:CountryOfIncorporation", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00629": { "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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00630": { "value": "On December 3, 2024, the Board of Directors authorized the Consolidated Financial Statements for issue.", "dimensions": { "concept": "ifrs-full:DisclosureOfAuthorisationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00631": { "value": "Note 2
Summary of material accounting policies, estimates and judgments
\n
The material 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 and reinsurance contracts,
\n
pensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions. Accordingly,
\n
actual results may differ from these and other estimates thereby impacting our future Consolidated Financial Statements. Refer
\n
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:
Consolidation of structured entities
Note 2
Goodwill and other intangibles
Note 2
Note 8
Note 11
Fair value of financial instruments
Note 2
Application of the effective interest method
Note 2
Note 3
Allowance for credit losses
Note 2
Derecognition of financial assets
Note 2
Note 4
Note 7
Note 5
Insurance and reinsurance contracts
Note 2
Income taxes
Note 2
Note 15
Note 21
Employee benefits
Note 2
Provisions
Note 2
Note 16
Note 23
Note 24
\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.
The determination of control is based on the current facts and circumstances and is continuously assessed. In some
\n
circumstances, different factors and conditions may indicate that various parties control an entity depending on whether those
\n
factors and conditions are assessed in isolation or in totality. Significant judgment is applied in determining whether we control
\n
an entity, specifically, assessing whether we have substantive decision-making rights over the relevant activities and whether we
\n
are exercising our power as a principal or an agent.
\n
We consolidate all subsidiaries from the date we obtain control and cease consolidation when an entity is no longer
\n
controlled by us. Our consolidation conclusions affect the classification and amount of assets, liabilities, revenues and expenses
\n
reported in our Consolidated Financial Statements.
\n
Non-controlling interests in subsidiaries that we consolidate are shown on our Consolidated Balance Sheets as a separate
\n
component of equity which is distinct from equity attributable to our shareholders. The net income attributable to
\n
non-controlling interests is separately disclosed in our Consolidated Statements of Income.
\n
Investments in joint ventures and associates
\n
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
\n
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
\n
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
\n
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
\n
comprehensive income (OCI), subsequent to the date of acquisition.
\n
Non-current assets held for sale and discontinued operations
\n
Non-current assets (and disposal groups) are classified as held for sale if their carrying amounts will be recovered principally
\n
through a sale transaction rather than through continuing use. This condition is satisfied when the asset is available for
\n
immediate sale in its present condition, management is committed to the sale, and it is highly probable to occur within one year.
\n
Non-current assets (and disposal groups) classified as held for sale are measured at the lower of their previous carrying amount
\n
and fair value less costs to sell and if significant, are presented separately from other assets on our Consolidated Balance
\n
Sheets.
\n
A disposal group is classified as a discontinued operation if it meets the following conditions: (i) it is a component that can
\n
be distinguished operationally and financially from the rest of our operations and (ii) it represents either a separate major line of
\n
business or is part of a single coordinated plan to dispose of a separate major line of business or geographical area of
\n
operations. Disposal groups classified as discontinued operations are presented separately from our continuing operations in
\n
our Consolidated Statements of Income.
\n
Financial Instruments
\n
Classification of financial assets
\n
Financial assets are measured at initial recognition at fair value, and are classified and subsequently measured at fair value
\n
through profit or loss (FVTPL), fair value through other comprehensive income (FVOCI) or amortized cost based on our business
\n
model for managing the financial instruments and the contractual cash flow characteristics of the instrument.
\n
Debt instruments are measured at amortized cost if both of the following conditions are met and the asset is not designated
\n
as FVTPL: (a) the asset is held within a business model that is Held-to-Collect (HTC) as described below, and (b) the contractual
\n
terms of the instrument give rise to cash flows that are solely payments of principal and interest on the principal amount
\n
outstanding (SPPI).
\n
Debt instruments are measured at FVOCI if both of the following conditions are met and the asset is not designated as
\n
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
\n
contractual terms of the instrument give rise, on specified dates, to cash flows that are SPPI.
\n
All other debt instruments are measured at FVTPL.
\n
Equity instruments are measured at FVTPL, unless the asset is not held for trading purposes and we make an irrevocable
\n
election to designate the asset as FVOCI. This election is made on an instrument-by-instrument basis.
\n
Business model assessment
\n
We determine our business models at the level that best reflects how we manage portfolios of financial assets to achieve our
\n
business objectives. Judgment is used in determining our business models, which is supported by relevant, objective evidence
\n
including:
\n
\u2022
How the economic activities of our businesses generate benefits, for example through trading revenue, enhancing yields
\n
or hedging funding or other costs and how such economic activities are evaluated and reported to key management
\n
personnel;
\n
\u2022
The significant risks affecting the performance of our businesses, for example, market risk, credit risk, or other risks as
\n
described in the Risk Management section of the MD&A, and the activities undertaken to manage those risks;
\n
\u2022
Historical and future expectations of sales of the loans or securities portfolios managed as part of a business model;
\n
and
\n
\u2022
The compensation structures for managers of our businesses, to the extent that these are directly linked to the
\n
economic performance of the business model.
\n
Our business models fall into three categories, which are indicative of the key strategies used to generate returns:
\n
\u2022
HTC: The objective of this business model is to hold loans and securities to collect contractual principal and interest
\n
cash flows. Sales are incidental to this objective and are expected to be insignificant or infrequent.
\n
\u2022
HTC&S: Both collecting contractual cash flows and sales are integral to achieving the objective of the business model.
\n
\u2022
Other fair value business models: These business models are neither HTC nor HTC&S, and primarily represent business
\n
models where assets are held-for-trading or managed on a fair value basis.
SPPI assessment
\n
Instruments held within a HTC or HTC&S business model are assessed to evaluate if their contractual cash flows are comprised
\n
of solely payments of principal and interest. SPPI payments are those which would typically be expected from basic lending
\n
arrangements. Principal amounts include par repayments from lending and financing arrangements, and interest primarily
\n
relates to basic lending returns, including compensation for credit risk and the time value of money associated with the principal
\n
amount outstanding over a period of time. Interest can also include other basic lending risks and costs (for example, liquidity
\n
risk, servicing or administrative costs) associated with holding the financial asset for a period of time, and a profit margin.
\n
Where the contractual terms introduce exposure to risk or variability of cash flows that are inconsistent with a basic lending
\n
arrangement, the related financial asset is classified and measured at FVTPL.
\n
Securities
\n
Trading securities include all securities that are classified as FVTPL by nature and securities designated as FVTPL. Obligations to
\n
deliver trading securities sold but not yet purchased are recorded as liabilities and carried at fair value. Realized and unrealized
\n
gains and losses on these securities are generally recorded in Non-interest income \u2013 Trading revenue or Non-interest income \u2013
\n
Other except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment
\n
result. Dividends and interest income accruing on Trading securities are recorded in Interest and dividend income except for
\n
amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Interest
\n
and dividends accrued on securities sold short are recorded in Interest expense.
\n
Investment securities include all securities classified as FVOCI and amortized cost. All investment securities are initially
\n
recorded at fair value and subsequently measured according to the respective classification.
\n
Investment securities carried at amortized cost are measured using the effective interest method, and are presented net of
\n
any allowance for credit losses, calculated in accordance with our policy for Allowance for credit losses, as described below.
\n
Interest income, including the amortization of premiums and discounts on securities measured at amortized cost are recorded in
\n
Interest and dividend income. Impairment gains or losses recognized on amortized cost securities are recorded in Provision for
\n
credit losses (PCL). When a debt instrument measured at amortized cost is sold, the difference between the sale proceeds and
\n
the amortized cost of the security at the time of the sale is recorded as Net gains on investment securities in Non-interest
\n
income.
\n
Debt securities carried at FVOCI are measured at fair value with unrealized gains and losses arising from changes in fair
\n
value included in Other components of equity. Impairment gains and losses are included in PCL and correspondingly reduce the
\n
accumulated changes in fair value included in Other components of equity. When a debt instrument measured at FVOCI is sold,
\n
the cumulative gain or loss is reclassified from Other components of equity to Non-interest income \u2013 Net gains on investment
\n
securities, or Non-interest income \u2013 Insurance investment result if relating to the Insurance segment.
\n
Equity securities carried at FVOCI are measured at fair value. Unrealized gains and losses arising from changes in fair value
\n
are recorded in Other components of equity and not subsequently reclassified to profit or loss when realized. Dividends from
\n
FVOCI equity securities are recognized in Interest and dividend income except for amounts relating to the Insurance segment,
\n
which are recorded in Non-interest income \u2013 Insurance investment result.
\n
We account for all of our securities using settlement date accounting and changes in fair value between the trade date and
\n
settlement date are reflected in income for securities measured at FVTPL, and changes in the fair value of securities measured at
\n
FVOCI between the trade and settlement dates are recorded in OCI except for changes in foreign exchange rates on debt
\n
securities, which are recorded in Non-interest income.
\n
Fair value option
\n
A financial instrument with a reliably measurable fair value can be designated as FVTPL (the fair value option) on its initial
\n
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
\n
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
\n
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
\n
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
\n
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
\n
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
\n
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
\n
FVTPL category while they are held or issued.
\n
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair
\n
value is included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose
\n
for holding the financial asset.
\n
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
\n
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
\n
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
\n
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability, except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Upon initial
\n
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
\n
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
\n
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
\n
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
\n
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
\n
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
\n
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
\n
term of the arrangement by using our effective funding rate at the beginning and end of the period.
\n
Determination of fair value
\n
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
\n
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
\n
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
\n
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
\n
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
\n
these instruments.
\n
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
\n
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
\n
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
\n
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
\n
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
\n
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
\n
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
\n
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
\n
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
\n
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
\n
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
\n
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
\n
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
\n
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
\n
are approved for use within our model risk management framework. The framework addresses, among other things, model
\n
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
\n
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
\n
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
\n
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
\n
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
\n
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
\n
exposure to market or credit risk.
\n
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
\n
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
\n
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
\n
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
\n
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
\n
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
\n
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
\n
may differ from its fair recorded value previously estimated using management judgment.
\n
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
\n
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
\n
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
\n
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
\n
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
\n
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
\n
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
\n
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
\n
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
\n
changes are recorded in Non-interest income \u2013 Trading revenue.
\n
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
\n
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
\n
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
\n
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
\n
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
\n
other observable market transactions based on a valuation technique incorporating observable market data.
\n
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
\n
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
\n
mid-market price to either the bid or offer price.
\n
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
\n
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
\n
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
\n
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
\n
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
\n
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
\n
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
\n
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
\n
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
\n
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
\n
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
\n
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
\n
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
\n
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
\n
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
\n
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
\n
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
\n
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
\n
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
\n
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
\n
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
\n
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
\n
such instances.
\n
Loans
\n
Loans are debt instruments recognized initially at fair value and are subsequently measured in accordance with the
\n
Classification of financial assets policy provided above. The majority of our loans are carried at amortized cost using the
\n
effective interest method, which represents the gross carrying amount less allowance for credit losses.
\n
Interest on loans is recognized using the effective interest method and recorded in Interest income except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment. The estimated future cash
\n
flows used in this calculation include those determined by the contractual term of the asset and all fees that are considered to be
\n
integral to the effective interest rate. Also included in this amount are transaction costs and all other premiums or discounts.
\n
Fees that relate to activities such as originating, restructuring or renegotiating loans are deferred and recognized as Interest
\n
income over the expected term of such loans using the effective interest method. Where there is a reasonable expectation that a
\n
loan will be originated, commitment and standby fees are also recognized as interest income over the expected term of the
\n
resulting loans using the effective interest method. Otherwise, such fees are recorded as other liabilities and amortized into
\n
Non-interest income over the commitment or standby period. Future prepayment fees on mortgage loans are not included as part
\n
of the effective interest rate at origination. If prepayment fees are received on a renewal of a mortgage loan before maturity, the
\n
fee is included as part of the effective interest rate, and if not renewed, the prepayment fee is recognized in interest income at
\n
the prepayment date.
\n
For loans carried at amortized cost or FVOCI, impairment losses are recognized at each balance sheet date in accordance
\n
with the three-stage impairment model outlined below.
\n
Allowance for credit losses
\n
An allowance for credit losses (ACL) is established for all financial assets, except for financial assets classified or designated as
\n
FVTPL and equity securities designated as FVOCI, which are not subject to impairment assessment. Assets subject to impairment
\n
assessment include loans, debt securities, interest-bearing deposits with banks, customers\u2019 liability under acceptances, accounts
\n
and accrued interest receivable, and finance and operating lease receivables. ACL on loans measured at amortized cost is
\n
presented in Allowance for loan losses. ACL on debt securities measured at FVOCI is presented in Other components of equity.
\n
Other financial assets carried at amortized cost are presented net of ACL on our Consolidated Balance Sheets.
\n
Off-balance sheet items subject to impairment assessment include financial guarantees and undrawn loan commitments.
\n
ACL on off-balance sheet items is separately calculated and included in Other Liabilities \u2013 Provisions.
\n
We measure the ACL on each balance sheet date according to a three-stage expected credit loss impairment model:
\n
\u2022
Performing financial assets
\n
\u2022
Stage 1 \u2013 From initial recognition of a financial asset to the date on which the asset has experienced a significant
\n
increase in credit risk relative to its initial recognition, a loss allowance is recognized equal to the credit losses
\n
expected to result from defaults occurring over the 12 months following the reporting date.
\n
\u2022
Stage 2 \u2013 Following a significant increase in credit risk relative to the initial recognition of the financial asset, a loss
\n
allowance is recognized equal to the credit losses expected over the remaining lifetime of the asset.
\n
\u2022
Impaired financial assets
\n
\u2022
Stage 3 \u2013 When a financial asset is considered to be credit-impaired, a loss allowance is recognized equal to credit
\n
losses expected over the remaining lifetime of the asset. Interest income is calculated based on the carrying
\n
amount of the asset, net of the loss allowance, rather than on its gross carrying amount.
\n
The ACL is a discounted probability-weighted estimate of the cash shortfalls expected to result from defaults over the relevant
\n
time horizon. For loan commitments, credit loss estimates consider the portion of the commitment that is expected to be drawn
\n
over the relevant time period. For financial guarantees, credit loss estimates are based on the expected payments required under
\n
the guarantee contract. For finance lease receivables, credit loss estimates are based on cash flows consistent with the cash
\n
flows used in measuring the lease receivable.
\n
Increases or decreases in the required ACL attributable to model changes and new originations, sales or maturities, and
\n
changes in risk, parameters and exposures due to changes in loss expectations or stage transfers are recorded in PCL. Write-offs
\n
and recoveries of amounts previously written off are recorded against ACL.
\n
The ACL represents an unbiased estimate of expected credit losses on our financial assets as at the balance sheet date.
\n
Judgment is required in making assumptions and estimations when calculating the ACL, including movements between the three
\n
stages and the application of forward-looking information. The underlying assumptions and estimates may result in changes to
\n
the provisions from period to period that significantly affect our results of operations.
Measurement of expected credit losses
\n
Expected credit losses are based on a range of possible outcomes and consider all available reasonable and supportable
\n
information, including internal and external ratings, historical credit loss experience and expectations about future cash flows.
\n
The measurement of expected credit losses is based primarily on the product of the instrument\u2019s PD, loss given default (LGD),
\n
and EAD discounted to the reporting date. The main difference between Stage 1 and Stage 2 expected credit losses for performing
\n
financial assets is the respective calculation horizon. Stage 1 estimates project PD, LGD and EAD over a maximum period of
\n
12 months while Stage 2 estimates project PD, LGD and EAD over the remaining lifetime of the instrument.
\n
An expected credit loss estimate is produced for each individual exposure. Relevant parameters are modelled on a collective
\n
basis using portfolio segmentation that allows for appropriate incorporation of forward-looking information. To reflect other
\n
characteristics that are not already considered through modelling, expert credit judgment is exercised in determining the final
\n
expected credit losses.
\n
For a small percentage of our portfolios which lack detailed historical information and/or loss experience, we apply
\n
simplified measurement approaches that may differ from what is described above. These approaches have been designed to
\n
maximize the available information that is reliable and supportable for each portfolio and may be collective in nature.
\n
Expected credit losses are discounted to the reporting period date using the effective interest rate.
\n
Expected life
\n
For instruments in Stage 2 or Stage 3, loss allowances reflect expected credit losses over the expected remaining lifetime of the
\n
instrument. For most instruments, the expected life is limited to the remaining contractual life.
\n
An exemption is provided for certain instruments with the following characteristics: (a) the instrument includes both a loan
\n
and undrawn commitment component; (b) we have the contractual ability to demand repayment and cancel the undrawn
\n
commitment; and (c) our exposure to credit losses is not limited to the contractual notice period. For products in scope of this
\n
exemption, the expected life may exceed the remaining contractual life and is the period over which our exposure to credit losses
\n
is not mitigated by our normal credit risk management actions. This period varies by product and risk category and is estimated
\n
based on our historical experience with similar exposures and consideration of credit risk management actions taken as part of
\n
our regular credit review cycle. Products in scope of this exemption include credit cards, overdraft balances and certain revolving
\n
lines of credit. Judgment is required in determining the instruments in scope for this exemption and estimating the appropriate
\n
remaining life based on our historical experience and credit risk mitigation practices.
\n
Assessment of significant increase in credit risk
\n
The assessment of significant increase in credit risk requires significant judgment. Movements between Stage 1 and Stage 2 are
\n
based on whether an instrument\u2019s credit risk as at the reporting date has increased significantly relative to the date it was
\n
initially recognized. For the purposes of this assessment, credit risk is based on an instrument\u2019s lifetime PD, not the losses we
\n
expect to incur. The assessment is generally performed at the instrument level.
\n
Our assessment of significant increases in credit risk is performed at least quarterly based on three factors. If any of the
\n
following factors indicates that a significant increase in credit risk has occurred, the instrument is moved from Stage 1 to Stage 2:
\n
(1)
We have established thresholds for significant increases in credit risk based on both a percentage and absolute change
\n
in lifetime PD relative to initial recognition. For our wholesale portfolio, a decrease in the borrower\u2019s risk rating is also
\n
required to determine that credit risk has increased significantly.
\n
(2)
Additional qualitative reviews may be performed, as necessary, to assess the staging results, which may lead to
\n
adjustments to better reflect the positions whose credit risk has increased significantly. These reviews are completed at
\n
both the individual borrower levels and the portfolio level and may result in an instrument, a portfolio or a portion of a
\n
portfolio moving from Stage 1 to Stage 2.
\n
(3)
Instruments which are 30 days past due are generally considered to have experienced a significant increase in credit
\n
risk, even if our other metrics do not indicate that a significant increase in credit risk has occurred.
\n
The thresholds for movement between Stage 1 and Stage 2 are symmetrical. After a financial asset has transferred to Stage 2, if
\n
its credit risk is no longer considered to have significantly increased relative to its initial recognition, the financial asset will
\n
move back to Stage 1.
\n
For certain instruments with low credit risk as at the reporting date, it is presumed that credit risk has not increased
\n
significantly relative to initial recognition. Credit risk is considered to be low if the instrument has a low risk of default, and the
\n
borrower has the ability to fulfill their contractual obligations both in the near term and in the longer term, including periods of
\n
adverse changes in the economic or business environment. Certain interest-bearing deposits with banks, assets purchased under
\n
reverse repurchase agreements, insurance policy loans, and liquidity facilities extended to our multi-seller conduits have been
\n
identified as having low credit risk.
\n
Use of forward-looking information
\n
The measurement of expected credit losses for each stage and the assessment of significant increase in credit risk considers
\n
information about past events and current conditions as well as reasonable and supportable projections of future events and
\n
economic conditions. The estimation and application of forward-looking information requires significant judgment.
\n
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 2 credit loss allowances are modelled based on the
\n
macroeconomic variables (or changes in macroeconomic variables) that are most closely correlated with credit losses in the
\n
relevant portfolio. Each macroeconomic scenario used in our expected credit loss calculation includes a projection of all
\n
relevant macroeconomic variables used in our models for a five-year period, subsequently reverting to long-run averages.
\n
Macroeconomic variables used in our expected credit loss models include, but are not limited to, unemployment rates, gross
\n
domestic product growth rates, equity return indices, commodity prices, and Canadian housing prices. Depending on their usage
\n
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
\n
a minimum of three future macroeconomic scenarios. Our base case scenario is based on macroeconomic forecasts published
\n
by our internal economics group. The published forecasts are developed from models based on historical macroeconomic data,
\n
derived from public sources and financial markets. Upside and downside scenarios vary relative to our base case scenario based
\n
on reasonably possible alternative macroeconomic conditions. Additional and more severe downside scenarios are designed to
\n
capture a broader range of potential credit losses in certain sectors. Scenario design, including the identification of additional
\n
downside scenarios, occurs at least on an annual basis and more frequently if conditions warrant.
\n
Scenarios are designed to capture a wide range of possible outcomes and weighted according to our best estimate of the
\n
relative likelihood of the range of outcomes that each scenario represents. Scenario weights take into account historical
\n
frequency, current trends, and forward-looking conditions and are updated on a quarterly basis. All scenarios considered are
\n
applied to all portfolios subject to expected credit losses with the same probabilities.
\n
Our assessment of significant increases in credit risk is based on changes in probability-weighted forward-looking lifetime
\n
PDs as at the reporting date, using the same macroeconomic scenarios as the calculation of expected credit losses.
\n
Definition of default
\n
The definition of default used in the measurement of expected credit losses is consistent with the definition of default used for
\n
our internal credit risk management purposes. Our definition of default may differ across products and consider both
\n
quantitative and qualitative factors, such as the terms of financial covenants and days past due. For retail and wholesale
\n
borrowers, except as detailed below, default occurs when the borrower is more than 90 days past due on any material obligation
\n
to us, and/or we consider the borrower unlikely to make their payments in full without recourse action on our part, such as taking
\n
formal possession of any collateral held. For certain credit card balances, default occurs when payments are 180 days past due.
\n
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
\n
and recovery rates experienced on historical credit card portfolios. The definition of default used is applied consistently from
\n
period to period and to all financial instruments unless it can be demonstrated that circumstances have changed such that
\n
another definition of default is more appropriate.
\n
Credit-impaired financial assets (Stage 3)
\n
Financial assets are assessed for credit-impairment at each balance sheet date and more frequently when circumstances
\n
warrant further assessment. Evidence of credit-impairment may include indications that the borrower is experiencing significant
\n
financial difficulty, probability of bankruptcy or other financial reorganization, as well as a measurable decrease in the estimated
\n
future cash flows evidenced by the adverse changes in the payments status of the borrower or economic conditions that
\n
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
\n
considered to be credit-impaired. The asset will transfer back to Stage 1 when its credit risk at the reporting date is no longer
\n
considered to have increased significantly from initial recognition, which could occur during the same reporting period as the
\n
transfer from Stage 3 to Stage 2.
\n
When a financial asset has been identified as credit-impaired, expected credit losses are measured as the difference
\n
between the asset\u2019s gross carrying amount and the present value of estimated future cash flows discounted at the instrument\u2019s
\n
original effective interest rate. For impaired financial assets with drawn and undrawn components, expected credit losses also
\n
reflect any credit losses related to the portion of the loan commitment that is expected to be drawn down over the remaining life
\n
of the instrument.
\n
When a financial asset is credit-impaired, interest ceases to be recognized on the regular accrual basis, which accrues
\n
income based on the gross carrying amount of the asset. Rather, interest income is calculated by applying the original effective
\n
interest rate to the amortized cost of the asset, which is the gross carrying amount less the related ACL.
\n
ACL for credit-impaired loans in Stage 3 are established at the borrower level, where losses related to impaired loans are
\n
identified on individually significant loans, or collectively assessed and determined through the use of portfolio-based rates,
\n
without reference to particular loans.
\n
Individually assessed loans (Stage 3)
\n
When individually significant loans are identified as impaired, we reduce the carrying value of the loans to their estimated
\n
realizable value by recording an individually assessed ACL to cover identified credit losses. The individually assessed ACL
\n
reflects the expected amount of principal and interest calculated under the terms of the original loan agreement that will not be
\n
recovered, and the impact of time delays in collecting principal and/or interest (time value of money). The estimated realizable
\n
value for each individually significant loan is the present value of expected future cash flows discounted using the original
\n
effective interest rate for each loan. When the amounts and timing of future cash flows cannot be estimated with reasonable
\n
reliability, the estimated realizable amount may be determined using observable market prices for comparable loans, the fair
\n
value of collateral underlying the loans, and other reasonable and supported methods based on management judgment.
\n
Individually-assessed allowances are established in consideration of a range of possible outcomes, which may include
\n
macroeconomic or non-macroeconomic scenarios, to the extent relevant to the circumstances of the specific borrower being
\n
assessed. Assumptions used in estimating expected future cash flows reflect current and expected future economic conditions
\n
and are generally consistent with those used in Stage 1 and Stage 2 measurement.
\n
Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
\n
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
\n
impact on PCL and may result in a change in the ACL.
Collectively assessed loans (Stage 3)
\n
Loans that are collectively assessed are grouped on the basis of similar risk characteristics, taking into account loan type,
\n
industry, geographic location, collateral type, past due status and other relevant factors.
\n
The collectively-assessed ACL reflects: (i) the expected amount of principal and interest calculated under the terms of the
\n
original loan agreement that will not be recovered, and (ii) the impact of time delays in collecting principal and/or interest (time
\n
value of money).
\n
The expected principal and interest collection is estimated on a portfolio basis and references historical loss experience of
\n
comparable portfolios with similar credit risk characteristics, adjusted for the current environment and expected future
\n
conditions. A portfolio specific coverage ratio is applied against the impaired loan balance in determining the collectively-
\n
assessed ACL. The time value of money component is calculated by using the discount factors applied to groups of loans sharing
\n
common characteristics. The discount factors represent the expected recovery pattern of the comparable group of loans, and
\n
reflect the historical experience of these groups adjusted for current and expected future economic conditions and/or industry
\n
factors. Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
\n
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
\n
impact on PCL and may result in a change in the ACL.
\n
Write-off of loans
\n
Loans and the related ACL are written off, either partially or in full, when there is no realistic prospect of recovery. Where loans
\n
are secured, they are generally written off after receipt of any proceeds from the realization of collateral. In circumstances where
\n
the net realizable value of any collateral has been determined and there is no reasonable expectation of further recovery, write
\n
off may be earlier. For credit cards, the balances and related ACL are generally written off when payment is 180 days past due.
\n
Personal loans are generally written off at 150 days past due.
\n
Modifications
\n
The original terms of a financial asset may be renegotiated or otherwise modified, resulting in changes to the contractual terms
\n
of the financial asset that affect the contractual cash flows. The treatment of such modifications is primarily based on the
\n
process undertaken to execute the renegotiation and the nature and extent of the expected changes. In the normal course of
\n
business, modifications which are performed for credit reasons, primarily related to troubled debt restructurings, are generally
\n
treated as modifications of the original financial asset. Modifications which are performed for other than credit reasons are
\n
generally considered to be an expiry of the original cash flows; accordingly, such renegotiations are treated as a derecognition of
\n
the original financial asset and recognition of a new financial asset.
\n
If a modification of terms does not result in derecognition of the financial asset, the carrying amount of the financial asset is
\n
recalculated as the present value of the renegotiated or modified contractual cash flows, discounted at the original effective
\n
interest rate and a gain or loss is recognized. The financial asset continues to be subject to the same assessments for significant
\n
increase in credit risk relative to initial recognition and credit-impairment, as described above. A modified financial asset will
\n
transfer out of Stage 3 if the conditions that led to it being identified as credit-impaired are no longer present and relate
\n
objectively to an event occurring after the original credit-impairment was recognized. A modified financial asset will transfer out
\n
of Stage 2 when it no longer satisfies the relative thresholds set to identify significant increases in credit risk, which are based on
\n
changes in its lifetime PD, days past due and other qualitative considerations. The financial asset continues to be monitored for
\n
significant increases in credit risk and credit-impairment.
\n
If a modification of terms results in derecognition of the original financial asset and recognition of the new financial asset,
\n
the new financial asset will generally be recorded in Stage 1, unless it is determined to be credit-impaired at the time of the
\n
renegotiation. For the purposes of assessing for significant increases in credit risk, the date of initial recognition for the new
\n
financial asset is the date of the modification.
\n
Derivatives
\n
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
\n
instruments. If the host contract is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification
\n
and measurement criteria are applied to the entire hybrid instrument as described in the Classification of financial assets
\n
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
\n
derivatives are separately recognized if the economic characteristics and risks of the embedded derivative are not clearly and
\n
closely related to the host contract, unless an election has been made to elect the fair value option, as described above. The host
\n
contract is accounted for in accordance with the relevant standards. Embedded derivatives are presented on a combined basis
\n
with the host contracts.
\n
All derivative instruments are recorded on our Consolidated Balance Sheets at fair value, inclusive of valuation adjustments.
\n
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are recognized
\n
in Non-interest income \u2013 Trading revenue. When derivatives are used to manage our own exposures, we determine for each
\n
derivative whether hedge accounting can be applied, as discussed in the Hedge accounting section below. For derivatives used
\n
to manage our own exposures where we do not apply hedge accounting, the realized and unrealized gains and losses are
\n
primarily recognized in Non-interest income \u2013 Other.
Derecognition of financial assets
\n
Financial assets are derecognized from our Consolidated Balance Sheets when our contractual rights to the cash flows from the
\n
assets have expired, when we retain the rights to receive the cash flows of the assets but assume an obligation to pay those cash
\n
flows to a third party subject to certain pass-through requirements or when we transfer our contractual rights to receive the cash
\n
flows and substantially all of the risks and rewards of the assets have been transferred. When we retain substantially all of the
\n
risks and rewards of the transferred assets, the transferred assets are not derecognized from our Consolidated Balance Sheets
\n
and are accounted for as secured financing transactions. When we neither retain nor transfer substantially all risks and rewards
\n
of ownership of the assets, we derecognize the assets if control over the assets is relinquished. If we retain control over the
\n
transferred assets, we continue to recognize the transferred assets to the extent of our continuing involvement.
\n
Management judgment is applied in determining whether the contractual rights to the cash flows from the transferred assets
\n
have expired or whether we retain the rights to receive cash flows on the assets but assume an obligation to pay for those cash
\n
flows. We derecognize transferred financial assets if we transfer substantially all the risks and rewards of the ownership in the
\n
assets. When assessing whether we have transferred substantially all of the risk and rewards of the transferred assets,
\n
management considers the Bank\u2019s exposure before and after the transfer with the variability in the amount and timing of the net
\n
cash flows of the transferred assets. In transfers in which we retain the servicing rights, management has applied judgment in
\n
assessing the benefits of servicing against market expectations. When the benefits of servicing are greater than fair value, a
\n
servicing asset is recognized in Other assets in our Consolidated Balance Sheets. When the benefits of servicing are less than fair
\n
value, a servicing liability is recognized in Other liabilities in our Consolidated Balance Sheets.
\n
Derecognition of financial liabilities
\n
We derecognize a financial liability from our Consolidated Balance Sheets when our obligation specified in the contract expires,
\n
or is discharged or cancelled. We recognize the difference between the carrying amount of a financial liability transferred and the
\n
consideration paid in our Consolidated Statements of Income.
\n
Interest
\n
Interest is recognized in Interest income and Interest expense in the Consolidated Statements of Income for all interest-bearing
\n
financial instruments except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013
\n
Insurance investment result. The effective interest rate is the rate that discounts estimated future cash flows over the expected
\n
life of the financial asset or liability to the net carrying amount upon initial recognition. Significant judgment is applied in
\n
determining the effective interest rate due to uncertainty in the timing and amounts of future cash flows.
\n
Dividend income
\n
Dividend income is recognized when the right to receive payment is established and is recorded in Dividend income except for
\n
amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. This is the
\n
ex-dividend date for listed equity securities, and usually the date when shareholders have approved the dividend for unlisted
\n
equity securities.
\n
Transaction costs
\n
Transaction costs are expensed as incurred for financial instruments classified or designated as FVTPL. For other financial
\n
instruments, transaction costs are capitalized on initial recognition. For financial assets and financial liabilities measured at
\n
amortized cost and debt financial assets measured at FVOCI, capitalized transaction costs are amortized through net income
\n
over the estimated life of the instrument using the effective interest method.
\n
Offsetting financial assets and financial liabilities
\n
Financial assets and financial liabilities are offset on the Consolidated Balance Sheets when there exists both a legally
\n
enforceable right to offset the recognized amounts and an intention to settle on a net basis, or realize the asset and settle the
\n
liability simultaneously.
\n
Assets purchased under reverse repurchase agreements and sold under repurchase agreements
\n
We purchase securities under agreements to resell (reverse repurchase agreements) and take possession of these securities. We
\n
monitor the market value of the securities purchased and additional collateral is obtained when appropriate. We have the right
\n
to liquidate the collateral held in the event of counterparty default. Reverse repurchase agreements are treated as collateralized
\n
lending transactions. We also sell securities under agreements to repurchase (repurchase agreements), which are treated as
\n
collateralized borrowing transactions. The securities received under reverse repurchase agreements and securities delivered
\n
under repurchase agreements are not recognized on, or derecognized from, our Consolidated Balance Sheets, respectively,
\n
unless the risks and rewards of ownership are obtained or relinquished.
\n
Reverse repurchase agreements and repurchase agreements are carried on our Consolidated Balance Sheets at the
\n
amounts at which the securities were initially acquired or sold, except when they are classified or designated as FVTPL and are
\n
recorded at fair value. Interest earned on reverse repurchase agreements is included in Interest income, and interest incurred on
\n
repurchase agreements is included in Interest expense in our Consolidated Statements of Income while changes in fair value for
\n
reverse repurchase agreements and repurchase agreements classified or designated as FVTPL are included in Trading revenue or
\n
Other in Non-interest income except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013
\n
Insurance investment result.
Hedge accounting
\n
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
\n
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
\n
and other market risks. Our hedging strategies include the use of fair value hedges, cash flow hedges and net investment hedges.
\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. We assess,
\n
both at the inception of the hedge and on an ongoing basis, whether the hedging instruments are \u2018highly effective\u2019 in offsetting
\n
changes in the fair value or cash flows of the hedged items. A hedge is regarded as highly effective only if the following criteria
\n
are met: (i) at inception of the hedge and throughout its life, the hedge is expected to be highly effective in achieving offsetting
\n
changes in fair value or cash flows attributable to the hedged risk, and (ii) actual results of the hedge are within a pre-determined
\n
range. We perform effectiveness testing to demonstrate that the relationship has been and is expected to be effective over the
\n
remaining term of the hedge. In the case of hedging a forecast transaction, the transaction must have a high probability of
\n
occurring and must present an exposure to variations in cash flows that could ultimately affect the reported net profit or loss.
\n
Hedge accounting is discontinued when it is determined that the hedging instrument is no longer effective as a hedge, the
\n
hedging instrument or hedged item is terminated or sold, or the forecast transaction is no longer deemed highly probable. Refer
\n
to Note 9 for the fair value of derivatives and non-derivative instruments categorized by their hedging relationships, as well as
\n
derivatives that are not designated in hedging relationships.
\n
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transitioned to alternative
\n
benchmark rates (ABRs), our prospective effectiveness testing was based on existing hedged cash flows or hedged risks and any
\n
ineffectiveness arising from retrospective testing did not result in a discontinuation of the hedge. Additionally, effectiveness
\n
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
\n
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
\n
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
\n
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
\n
relationships fully transitioned to ABRs, and provided qualifying criteria were met, we amended the related hedge documentation
\n
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
\n
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
\n
Fair value hedges
\n
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
\n
hedged risk and recognized in Non-interest income \u2013 Other. Changes in fair value of the hedged item, to the extent that the
\n
hedging relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
\n
Non-interest income \u2013 Other. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted
\n
and the cumulative fair value adjustments to the carrying value of the hedged items are amortized to Non-interest income \u2013
\n
Other over the expected remaining life of the hedged items.
\n
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
\n
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we
\n
applied hedge accounting to IBOR rates which may not have been contractually specified if that rate was separately identifiable
\n
and reliably measurable at the inception of the hedge relationship.
\n
Cash flow hedges
\n
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
\n
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
\n
portion is recognized in Non-interest income \u2013 Other. When hedge accounting is discontinued, the cumulative amounts
\n
previously recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of
\n
the hedged item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to
\n
Non-interest income \u2013 Other when the hedged item is sold or terminated early, or when the forecast transaction is no longer
\n
expected to occur.
\n
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
\n
Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we treated the highly probable hedged IBORs
\n
based cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform.
\n
In addition, associated cash flow hedge reserves were not recycled into net income solely due to changes related to the
\n
transition from IBORs to ABRs. Subsequently, when some items in the group transitioned to ABRs before other items, the
\n
individual hedged items were allocated to subgroups based on the benchmark interest rate being hedged. We tested hedge
\n
effectiveness based on the defined subgroups, in accordance with the Amendments, if eligibility requirements were met. If a
\n
subgroup failed the eligibility requirements, we would have discontinued hedge accounting prospectively for the hedging
\n
relationship in its entirety.
\n
Net investment hedges
\n
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
\n
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
\n
recognized in Non-interest income \u2013 Other. The amounts, or a portion thereof, previously recognized in Other components of
\n
equity are recognized in Net income on the disposal, or partial disposal, of the foreign operation.
\n
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
\n
to net investments in foreign operations having a functional currency other than the Canadian dollar.
Guarantees
\n
Financial guarantee contracts are contracts that contingently require us to make specified payments (in cash, other assets, our
\n
own shares or provision of services) to reimburse the holder for a loss it incurs because a specified debtor fails to make payment
\n
when due in accordance with the original or modified terms of a debt instrument. Liabilities are recognized on our Consolidated
\n
Balance Sheets at the inception of a guarantee for the fair value of the obligation undertaken in issuing the guarantee. Financial
\n
guarantees are subsequently remeasured at the higher of (i) the amount of expected credit losses and (ii) the amount initially
\n
recognized less, when appropriate, the cumulative amount of income recognized.
\n
If the financial guarantee contract meets the definition of a derivative, it is measured at fair value at each balance sheet
\n
date and reported under Derivatives on our Consolidated Balance Sheets.
\n
Insurance and reinsurance contracts
\n
Changes in accounting policies
\n
During the first quarter of 2024, we adopted IFRS 17
Insurance Contracts
(IFRS 17), replacing IFRS 4
Insurance Contracts
(IFRS 4).
\n
Our updated accounting policies for insurance and reinsurance contracts are described below. We have applied IFRS 17
\n
retrospectively and restated comparative period results beginning November 1, 2022, where applicable. Adjustments to the
\n
carrying amounts of insurance and reinsurance contracts at the transition date of November 1, 2022 were recognized in Retained
\n
earnings.
\n
As permitted by the transition provisions of IFRS 17, we reclassified certain financial assets between fair value classification
\n
categories at the date of initial application of IFRS 17 as described below. The reclassifications resulted in no adjustments to
\n
carrying amounts of financial assets as at November 1, 2023. Retained earnings and Other components of equity as at
\n
November 1, 2023 were adjusted as a result with no net impact to total equity. We elected not to restate comparative period
\n
results for these changes and accordingly, comparative period information for the impacted financial assets prior to November 1,
\n
2023 is presented in accordance with our previous classifications.
\n
Updated accounting policies
\n
Contracts under which we accept significant insurance risk from a policyholder by agreeing to compensate the policyholder if a
\n
specified uncertain future event adversely affects the policyholder are insurance contracts, which includes reinsurance
\n
contracts issued. Contracts under which we transfer significant insurance risk to a reinsurer that compensates us for claims
\n
relating to underlying insurance contracts issued by us are reinsurance contracts held, and are accounted for separately from
\n
the underlying insurance contracts to which they relate. Embedded derivatives, investment components and promises to provide
\n
non-insurance services are separated from the insurance or reinsurance contract provided specific criteria are met. Insurance
\n
and reinsurance contracts are aggregated into portfolios that are subject to similar risks and are managed together, and then
\n
divided into groups based on the period of issuance and expected profitability. Groups are separately recognized and measured
\n
using one of three measurement models depending on the characteristics of the contracts:
\n
\u2022
For insurance contracts with direct participating features (applicable primarily to our segregated fund insurance
\n
contracts), the variable fee approach (VFA) is applied.
\n
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less (applicable primarily to
\n
our creditor reinsurance contracts issued, group life and health insurance contracts and travel insurance contracts), the
\n
premium allocation approach (PAA) is applied.
\n
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
\n
Under the GMM and VFA, the carrying amount of a group of insurance or reinsurance contracts is measured as the sum of
\n
the fulfilment cash flows and the contractual service margin (CSM). The carrying amount is also the sum of the liability for
\n
remaining coverage and the liability for incurred claims. The liability for remaining coverage comprises the fulfilment cash flows
\n
that relate to services that will be provided under the contracts in future periods and any remaining CSM at that date. The
\n
liability for incurred claims includes the fulfilment cash flows for incurred claims and expenses that have not yet been paid,
\n
including claims that have been incurred but not yet reported. The fulfilment cash flows consist of the present value of future
\n
cash flows and a risk adjustment for non-financial risk, discounted using the current rates as at the reporting date determined
\n
using the discount rate methodology disclosed in Note 15. The estimates of future cash flows consider probability-weighted
\n
scenarios and include all future cash flows that are within the contract boundary. The risk adjustment for non-financial risk
\n
represents the compensation that we require for bearing the uncertainty about the amount and timing of cash flows that arise
\n
from non-financial risk as the insurance contract is fulfilled and is estimated using the margin approach disclosed in Note 15. The
\n
measurement of the groups of contracts requires the use of judgment in setting methodologies and assumptions for morbidity,
\n
mortality, longevity, policy lapses and other policyholder behaviour, policy dividends and directly attributable expenses,
\n
including acquisition costs allocated using a systematic and rational method. Changes to the underlying assumptions and
\n
estimates may have a significant effect on Non-interest income \u2013 Insurance service result and Insurance investment result.
\n
Subsequent changes in fulfilment cash flows related to future services adjust the CSM, unless the group is onerous in which case
\n
such changes are recognized in Non-interest income \u2013 Insurance service result along with changes related to past or current
\n
services.
\n
For insurance contracts, the CSM represents the unearned profit (net inflows) for providing insurance coverage. If there is a
\n
net outflow at the initial recognition of the group, the group is onerous and the net outflow is recognized in Non-interest income \u2013
\n
Insurance service result immediately. For reinsurance contracts held, the CSM represents the net cost or net gain of purchasing
\n
reinsurance. The CSM for insurance and reinsurance contacts are released into income based on coverage units, which represent
\n
the quantity of service (insurance coverage as well as investment-return and investment-related services) provided by a group of
\n
contracts and are determined by considering the quantity of benefits provided under each contract and the expected coverage
\n
duration. Under the GMM, the CSM is adjusted for interest accretion using the discount rates that were locked-in at initial
\n
recognition of the groups or the discount rates that were locked-in at the transition date for groups where the fair value
\n
approach was applied. Under the VFA, the CSM is adjusted for changes in the amount of our share of the fair value of the
\n
underlying items, while the changes to the fair value of the underlying items, reflecting changes in the obligation to pay the
\n
policyholder, are recognized in Non-interest income \u2013 Insurance investment result.
\n
Under the PAA, the liability for remaining coverage for each group is measured as the premiums received less insurance
\n
revenue recognized for services provided, while the liability for incurred claims is measured as the fulfillment cash flows for
\n
incurred claims.
Losses from the recognition of onerous groups of insurance contracts, regardless of the measurement model applied, are
\n
recognized in Non-interest income \u2013 Insurance service result immediately. Any losses recognized relating to future service can be
\n
reversed in subsequent periods if the group of contracts is no longer onerous.
\n
The insurance and reinsurance contract balances are remeasured at the end of each reporting period. We have elected to
\n
update the accounting estimates made in the previous interim period when remeasuring the insurance and reinsurance
\n
contracts in subsequent interim and annual reporting periods.
\n
An insurance or reinsurance contract is derecognized when it is extinguished or modified such that the modification results
\n
in a change in the measurement model, a substantially different contract boundary or a change in the scope of the applicable
\n
standard for measuring a component of the contract.
\n
Insurance service result comprises Insurance revenue less Insurance service expense and Net income (expense) from
\n
reinsurance contracts held.
\n
\u2022
Insurance revenue is recognized as we provide insurance contract services under the groups of insurance contracts. For
\n
contracts measured using the PAA, the insurance revenue is generally recognized based on allocating expected
\n
premium receipts over the passage of time. For contracts measured using the GMM and VFA, insurance revenue
\n
represents the amount of consideration we expect to be entitled to in exchange for services in the period, which
\n
includes expected claims and expenses directly attributable to fulfilling insurance contracts (excluding any investment
\n
components), release of the risk adjustment for the period, CSM amortization to reflect services provided in the period,
\n
an allocation of premiums that relates to recovering insurance acquisition expenses and experience adjustments for
\n
premium receipts relating to current or past services.
\n
\u2022
Insurance service expense arising from insurance contracts includes incurred claims and other directly attributable
\n
expenses in the current period (excluding investment components), amortization and impairment losses relating to
\n
insurance acquisition cash flows where applicable, changes relating to past or current services and changes in loss
\n
components of onerous groups of contracts.
\n
\u2022
Net income (expense) from reinsurance contracts held represents the amounts recovered from the reinsurers less the
\n
allocation of premiums paid on reinsurance contracts held.
\n
Insurance investment result comprises Net investment income, Net insurance finance income (expense) and Net reinsurance
\n
finance income (expense) from reinsurance contracts held.
\n
\u2022
Net investment income primarily comprises interest and dividend income and net gains (losses) on financial
\n
instruments, including segregated fund assets, and derivatives relating to the Insurance segment. Financial assets
\n
supporting the Insurance segment are primarily measured at FVTPL and FVOCI.
\n
\u2022
Insurance and reinsurance finance income (expense) represents the net effect of and changes in the time value of
\n
money (including the time value of money relating to risk adjustment on non-financial risks) and financial risks on
\n
insurance contracts and reinsurance contracts held, respectively.
\n
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
\n
Upon the adoption of IFRS 17, we applied IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at November 1, 2022
\n
and restating the comparative information for the year ended October 31, 2023. The full retrospective approach was applied for all
\n
insurance and reinsurance contracts unless it was impracticable to do so. The full retrospective approach was applied to all contracts
\n
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
\n
had always been applied. Due to data availability and the inability to use hindsight, the fair value approach was applied to contracts
\n
issued before November 1, 2022 that were measured under the GMM and VFA. Under the fair value approach, each portfolio comprises
\n
only one group, and the CSM was calculated as the difference between the fair value of a group of contracts and the fulfilment cash
\n
flows using reasonable and supportable information available at the transition date. To determine the fair value of a group of
\n
contracts, the requirements of IFRS 13 Fair Value Measurement were applied. The adjusted fulfillment cash flows approach was used
\n
to calculate the fair value of groups of insurance contracts at the transition date. This valuation technique adjusts the future cash
\n
flows for changes in the cost of capital to reflect what a market participant would require for accepting such contract obligations. Key
\n
assumptions involve the weighted average cost of capital, required capital targets and underlying insurance assumptions from a
\n
market participant\u2019s perspective. The fulfilment cash flows and discount rates were determined as at the transition using the policies
\n
noted above.
The adoption of IFRS 17 resulted in a reduction in Retained earnings of $2.4 billion, net of taxes, as at November 1, 2022. This
\n
is attributable to the establishment of the CSM and other remeasurement changes to insurance and reinsurance contracts and
\n
related tax effects. The CSM of all insurance contracts net of reinsurance contracts held as at November 1, 2022 was $1.8 billion.
\n
The following details the selected balances and totals impacted on our Consolidated Balance Sheets as at November 1, 2022:
\n\n \n
As at
As at
November 1, 2022
Transition
November 1, 2022
(Millions of Canadian dollars)
before transition
adjustments
after transition
Assets
Segregated fund net assets
(1)
$
2,638
$
(2,638)
$
\u2013
Other
Other assets
(2)
80,300
4,261
84,561
Total assets
$ 1,917,219
$
1,623
$ 1,918,842
Liabilities
Segregated fund net liabilities
(3)
$
2,638
$
(2,638)
$
\u2013
Other
Insurance claims and policy benefit liabilities
(4)
11,511
(11,511)
\u2013
Insurance contract liabilities
(4)
\u2013
18,226
18,226
Other liabilities
(5)
95,235
(95)
95,140
Total liabilities
$ 1,809,044
$
3,982
$ 1,813,026
Total equity
108,175
(2,359)
105,816
Total liabilities and equity
$ 1,917,219
$
1,623
$ 1,918,842
\n
(1)
Segregated fund net assets are now presented within Other assets.
\n
(2)
The increase is primarily attributable to the inclusion of segregated fund net assets, the increases in insurance contract assets and reinsurance contracts held assets,
\n
and the tax effects of the IFRS 17 transition adjustment.
\n
(3)
Segregated fund insurance contracts are now presented within Insurance contract liabilities.
\n
(4)
Insurance claims and policy benefit liabilities measured under IFRS 4 is replaced with Insurance contract liabilities measured under IFRS 17. The increase in these
\n
balances is attributable to presentation changes and remeasurement impacts including the establishment of the CSM for in-force contracts at transition.
\n
(5)
Certain liabilities that were previously presented in Other liabilities are now included in the measurement of insurance contracts or reinsurance contracts held.
\n
Impact of reclassifications of financial assets from IFRS 17 transition
\n
As permitted by IFRS 17, we reclassified certain eligible financial assets held in respect of activities that relate to insurance
\n
contracts upon the adoption of IFRS 17. The changes were primarily a result of changes to the business models based on facts
\n
and circumstances that existed as at November 1, 2023, the date of the initial application of IFRS 17. We have applied these
\n
changes retrospectively by adjusting our Consolidated Balance Sheet as at November 1, 2023 with no restatement of comparative
\n
information. The following were reclassified as at November 1, 2023:
\n
\u2022
$8.3 billion of securities and $2.0 billion of loans from designated as FVTPL to classified as FVTPL;
\n
\u2022
$0.5 billion of securities and $0.3 billion of loans from designated as FVTPL to classified as FVOCI;
\n
\u2022
$1.7 billion of securities from classified as FVOCI to classified as FVTPL; and
\n
\u2022
$0.3 billion of securities from classified as FVTPL to designated as FVOCI.
\n
The impacts of the reclassifications resulted in an increase in Other components of equity by $656 million, net of taxes, and a
\n
decrease in Retained earnings by the same amount, with no net impact to our total equity nor the carrying amounts of those
\n
assets.
\n
Employee benefits \u2013 Pensions and other post-employment benefits
\n
Our defined benefit pension expense, which is included in Non-interest expense \u2013 Human resources, consists of the cost of
\n
employee pension benefits for the current year\u2019s service, net interest on the net defined benefit liability (asset), past service cost
\n
and gains or losses on settlement. Remeasurements of the net defined benefit obligation, which comprise actuarial gains and
\n
losses and return on plan assets (excluding amounts included in net interest on the net defined benefit liability), are recognized
\n
immediately in OCI in the period in which they occur. Actuarial gains and losses comprise experience adjustments (the effects of
\n
differences between the previous actuarial assumptions and what has actually occurred), as well as the effects of changes in
\n
actuarial assumptions. Amounts recognized in OCI will not be reclassified subsequently to net income. Past service cost is the
\n
change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment and is charged
\n
immediately to income.
\n
For each defined benefit pension plan, we recognize the present value of our defined benefit obligations less the fair value of
\n
the plan assets as a defined benefit liability reported in Other liabilities on our Consolidated Balance Sheets. For plans where
\n
there is a net defined benefit asset, the amount is reported as an asset in Other assets on our Consolidated Balance sheets.
\n
The calculation of defined benefit expenses and obligations requires significant judgment as the recognition is dependent on
\n
discount rates and various actuarial assumptions such as healthcare cost trend rates, projected salary increases, retirement age
\n
and mortality and termination rates. Due to the long-term nature of these plans, such estimates and assumptions are subject to
\n
inherent risks and uncertainties. For our pension and other post-employment benefit plans, the discount rate is determined by
\n
reference to market yields on high quality corporate bonds. Since the discount rate is based on currently available yields, and
\n
involves management\u2019s assessment of market liquidity, it is only a proxy for future yields. Actuarial assumptions, set in
\n
accordance with current practices in the respective countries of our plans, may differ from actual experience as country specific
\n
statistics are only estimates of future employee behaviour. These assumptions are determined by management and are reviewed
\n
by actuaries at least annually. Changes to any of the above assumptions may affect the amounts of benefits obligations,
\n
expenses and remeasurements that we recognize.
\n
Our contributions to defined contribution pension plans are expensed when employees have rendered services in exchange
\n
for such contributions. Defined contribution pension expense is included in Non-interest expense \u2013 Human resources.
Share-based compensation
\n
We offer share-based compensation plans to certain key employees and to our non-employee directors.
\n
To account for stock options granted to employees, compensation expense is recognized over the applicable vesting period
\n
with a corresponding increase in equity. Fair value is determined by using option valuation models, which take into account the
\n
exercise price of the option, the current share price, the risk free interest rate, the expected volatility of the share price over the
\n
life of the option and other relevant factors. When the options are exercised, the exercise price proceeds together with the
\n
amount initially recorded in equity are credited to common shares. Our other share-based compensation plans include
\n
performance deferred share plans and deferred share unit plans for key employees (the Plans). The obligations for the Plans are
\n
accrued over their vesting periods. The Plans are generally settled in cash.
\n
For cash-settled awards, our accrued obligations are adjusted to their fair value at each balance sheet date. For share-
\n
settled awards, our expected obligations recognized in equity are based on the fair value of our common shares at the date of
\n
grant. Changes in our obligations, net of related hedges, are recorded as Non-interest expense \u2013 Human resources in our
\n
Consolidated Statements of Income with a corresponding increase in Other liabilities for cash-settled awards and in Retained
\n
earnings for share-settled awards. Compensation expense is recognized in the year the awards are earned by plan participants
\n
based on the vesting schedule of the relevant plans, net of estimated forfeitures.
\n
The compensation cost attributable to options and awards granted to employees who are eligible to retire or will become
\n
eligible to retire during the vesting period, is recognized immediately if the employee is eligible to retire on the grant date or over
\n
the period between the grant date and the date the employee becomes eligible to retire.
\n
Our contributions to the employee savings and share ownership plans are expensed as incurred.
\n
Income taxes
\n
Income tax comprises current tax and deferred tax and is recognized in our Consolidated Statements of Income except to the
\n
extent that it relates to items recognized directly in equity, in which case it is recognized in equity.
\n
Current income tax payable on profits is recognized as an expense based on the applicable tax laws in each jurisdiction in
\n
the period in which profits arise, calculated using tax rates enacted or substantively enacted by the balance sheet date. Deferred
\n
tax is recognized on temporary differences between the carrying amounts of assets and liabilities for accounting and tax
\n
purposes. A deferred income tax asset or liability is determined for each temporary difference, except for earnings related to our
\n
subsidiaries, branches, associates and interests in joint ventures where the temporary differences will not reverse in the
\n
foreseeable future and we have the ability to control the timing of reversal. Deferred tax assets and liabilities are determined
\n
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
\n
tax rates and tax laws that have been enacted or substantively enacted at the balance sheet date. Current tax assets and
\n
liabilities are offset when they are levied by the same taxation authority on either the same taxable entity or different taxable
\n
entities within the same tax reporting group (which intends to settle on a net basis), and when there is a legal right to offset.
\n
Deferred tax assets and liabilities are offset when the same conditions are satisfied. Our Consolidated Statements of Income
\n
include items that are non-taxable or non-deductible for income tax purposes and, accordingly, this causes the income tax
\n
provision to be different from what it would be if based on statutory rates.
\n
Deferred income taxes accumulated as a result of temporary differences and tax loss carryforwards are included in Other
\n
assets and Other liabilities. On a quarterly basis, we review our deferred income tax assets to determine whether it is probable
\n
that the benefits associated with these assets will be realized; this review involves evaluating both positive and negative
\n
evidence.
\n
We are subject to income tax laws in various jurisdictions where we operate, and the complex tax laws are potentially
\n
subject to different interpretations by us and the relevant taxation authorities. Significant judgment is required in the
\n
interpretation of the relevant tax laws and in assessing the probability of acceptance of our tax positions to determine our tax
\n
provision, which includes our best estimate of uncertain tax positions that are under audit or appeal by the relevant tax
\n
authorities. We perform a review on a quarterly basis to incorporate our best assessment based on information available, but
\n
additional liability and income tax expense could result based on the acceptance of our tax positions by the relevant tax
\n
authorities.
\n
The determination of our deferred tax asset or liability also requires significant management judgment as the recognition is
\n
dependent on our projection of future taxable profits and tax rates that are expected to be in effect in the period the asset is
\n
realized or the liability is settled. Any changes in our projection will result in changes in deferred tax assets or liabilities on our
\n
Consolidated Balance Sheets, and also deferred tax expense on our Consolidated Statements of Income.
\n
The IASB issued amendments to IAS 12
Income Taxes (IAS 12)
in May 2023 to address the
Pillar Two Model Rules
for
\n
International Tax Reform
, including a global 15% minimum tax. The amendments introduced, with immediate effect, a temporary
\n
recognition exception in relation to accounting and disclosure for deferred taxes arising from the implementation of the
\n
international tax reform, which we have applied.
\n
Business combinations, goodwill and other intangibles
\n
All business combinations are accounted for using the acquisition method. Non-controlling interests, if any, are recognized at
\n
their proportionate share of the fair value of identifiable assets and liabilities, unless otherwise indicated. Identifiable intangible
\n
assets are recognized separately from goodwill and included in Other intangibles. Goodwill represents the excess of the price
\n
paid for the business acquired over the fair value of the net identifiable assets acquired on the date of acquisition.
\n
Goodwill
\n
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
\n
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
\n
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
\n
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
\n
its value in use (VIU) and its fair value less costs of disposal (FVLCD). The fair value of a CGU is estimated using valuation
\n
techniques such as a discounted cash flow method, adjusted to reflect the considerations of a prospective third-party buyer.
\n
External evidence such as binding sale agreements or recent transactions for similar businesses within the same industry is
\n
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
\n
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
\n
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management
\n
which are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders.
\n
Discount rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by
\n
differences in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth
\n
Model and peer analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political
\n
risk, devaluation risk and government regulation), currency risk and price risk (including product pricing risk and inflation).
\n
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
\n
operates. If the future cash flows and other assumptions in future periods deviate significantly from the current amounts used in
\n
our impairment testing, the value of our goodwill could become impaired, with any such impairment loss recognized in
\n
Non-interest expense.
\n
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
\n
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
\n
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
\n
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
\n
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
\n
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
\n
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
\n
portion to the total CGU.
\n
Other intangibles
\n
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
\n
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
\n
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
\n
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
\n
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
\n
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
\n
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
\n
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
\n
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
\n
list and relationships \u2013 7 to 20 years. Intangible assets with indefinite useful lives represent mutual fund management contracts.
\n
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
\n
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
\n
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
\n
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
\n
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
\n
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
\n
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
\n
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
\n
been determined (net of amortization) had there been no prior impairment.
\n
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
\n
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
\n
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
\n
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
\n
based on forecast results and business initiatives. Discount rates are based on the bank-wide cost of capital, adjusted for asset-
\n
specific risks. Changes in these assumptions may impact the amount of impairment loss recognized in Non-interest expense.
\n
Other
\n
Translation of foreign currencies
\n
Monetary assets and liabilities denominated in foreign currencies are translated into Canadian dollars at rates prevailing at the
\n
balance sheet date. Foreign exchange gains and losses resulting from the translation and settlement of these items are
\n
recognized in Non-interest income in the Consolidated Statements of Income.
\n
Non-monetary assets and liabilities that are measured at historical cost are translated into Canadian dollars at historical
\n
rates.
\n
Assets and liabilities of our foreign operations with functional currencies other than Canadian dollars are translated into
\n
Canadian dollars at rates prevailing at the balance sheet date, and income and expenses of these foreign operations are
\n
translated at average rates of exchange for the reporting period.
\n
Unrealized gains or losses arising as a result of the translation of our foreign operations along with the effective portion of
\n
related hedges are reported in Other components of equity on an after-tax basis. Upon disposal or partial disposal of a foreign
\n
operation, an appropriate portion of the accumulated net translation gains or losses is included in Non-interest income.
Premises and equipment
\n
Premises and equipment includes land, buildings, leasehold improvements, computer equipment, furniture, fixtures and other
\n
equipment, and are stated at cost less accumulated depreciation, except for land which is not depreciated, and accumulated
\n
impairment losses. Cost comprises the purchase price, any costs directly attributable to bringing the asset to the location and
\n
condition necessary for its intended use, and the initial estimate of any disposal costs. Depreciation is recorded principally on a
\n
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
\n
equipment, and 5 to 10 years for furniture, fixtures and other equipment. The amortization period for leasehold improvements is
\n
the lesser of the useful life of the leasehold improvements or the lease term plus the first renewal period, if reasonably assured
\n
of renewal. Depreciation methods, useful lives, and residual values are reassessed at each reporting period and adjusted as
\n
appropriate. Gains and losses on disposal are recorded in Non\u2013interest income.
\n
Premises and equipment are assessed for indicators of impairment at each reporting period. If there is an indication that an
\n
asset may be impaired, an impairment test is performed by comparing the asset\u2019s carrying amount to its recoverable amount.
\n
After the recognition of impairment, the depreciation charge is adjusted in future periods to reflect the asset\u2019s revised
\n
carrying amount. If an impairment is later reversed, the carrying amount of the asset is revised to the lower of the asset\u2019s
\n
recoverable amount and the carrying amount that would have been determined (net of depreciation) had there been no prior
\n
impairment loss. The depreciation charge in future periods is adjusted to reflect the revised carrying amount.
\n
Right-of-use assets are also included in premises and equipment.
\n
Leasing
\n
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
\n
conveys the right to obtain substantially all of the economic benefits from, and direct the use of, an identified asset for a period
\n
of time in return for consideration.
\n
When we are the lessee in a lease arrangement, we initially record a right-of-use asset and corresponding lease liability,
\n
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.
\n
Low-value assets are unspecialized, common, technologically unsophisticated, widely available and widely used
\n
non-infrastructure assets. For short-term leases and leases of low-value assets, we record the lease payments as an operating
\n
expense on a straight-line basis over the lease term.
\n
Where we are reasonably certain to exercise extension and termination options, they are included in the lease term.
\n
The lease liability is initially measured at the present value of the lease payments that are not paid at the commencement
\n
date, discounted at our incremental borrowing rate. The lease liability is subsequently measured at amortized cost using the
\n
effective interest method, recorded in Interest expense.
\n
The right-of-use asset is initially measured based on the initial amount of the lease liability, adjusted for lease payments
\n
made on or before the commencement date, initial direct costs incurred, and an estimate of costs to dismantle, remove, or
\n
restore the asset, less any lease incentives received. Costs related to dismantling and removing leasehold improvements are
\n
capitalized as part of the leasehold improvement asset (rather than the right-of-use asset of the lease) when the leasehold
\n
improvements are separately capitalized.
\n
The right-of-use asset is depreciated to the earlier of the lease term and the useful life, unless ownership will transfer to RBC
\n
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
\n
apply IAS 36
Impairment of assets
to determine whether a right-of-use asset is impaired and account for any identified
\n
impairment loss as described in the premises and equipment accounting policies above.
\n
Provisions
\n
Provisions are liabilities of uncertain timing or amount and are recognized when we have a present legal or constructive
\n
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
\n
reliable estimate can be made of the amount of the obligation. Provisions are measured as the best estimate of the consideration
\n
required to settle the present obligation at the reporting date. Significant judgment is required in determining whether a present
\n
obligation exists and in estimating the probability, timing and amount of any outflows. We record provisions related to litigation,
\n
asset retirement obligations and other items.
\n
We are required to estimate the results of ongoing legal proceedings, and expenses to be incurred to dispose of capital
\n
assets. The forward-looking nature of these estimates requires us to use a significant amount of judgment in projecting the
\n
timing and amount of future cash flows. We record our provisions on the basis of all available information at the end of the
\n
reporting period and make adjustments on a quarterly basis to reflect current expectations. It may not be possible to predict the
\n
resolution of these matters or the timing of their ultimate resolution. Should actual results differ from our expectations, we may
\n
incur expenses in excess of the provisions recognized. Where appropriate, we apply judgment in limiting the extent of our
\n
provisions-related disclosures as not to prejudice our positions in matters of dispute.
\n
When some or all of the economic benefits required to settle a provision are expected to be recovered from a third party,
\n
such as an insurer, a separate asset is recognized if it is virtually certain that reimbursement will be received.
\n
Commissions and fees
\n
Commissions and fees primarily relate to Investment management and custodial fees, Mutual fund revenue, Securities brokerage
\n
commissions, Services charges, Underwriting and other advisory fees, Card service revenue and Credit fees, and are recognized
\n
based on the applicable service contracts with clients.
\n
Investment management and custodial fees and Mutual fund revenue are generally calculated as a percentage of daily or
\n
period-end net asset values (NAV) based on the terms of the contract with clients and are received monthly, quarterly,
\n
semiannually or annually, depending on the terms of the contract. Investment management and custodial fees are generally
\n
derived from assets under management (AUM) when our clients solicit the investment capabilities of an investment manager or
\n
from assets under administration (AUA) where the investment strategy is directed by the client or a designated third-party
\n
manager. Mutual fund revenue is generally derived from the daily NAV of the mutual funds. Investment management and
\n
custodial fees and Mutual fund revenue are recognized over time when the service is provided to the client, provided that it is
\n
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
\n
transaction-type services are recognized when the service is fulfilled. Where services are provided over time, revenue is
\n
recognized as the services are provided.
\n
Underwriting and other advisory fees primarily relate to underwriting of new issuances of debt or equity and various
\n
advisory services. Underwriting fees are generally expressed as a percentage of the funds raised through issuance and are
\n
recognized when the service has been completed. Advisory fees vary depending on the scope and type of engagement and can be
\n
fixed in nature or contingent on a future event. Advisory fees are recognized over the period in which the service is provided and
\n
are recognized only to the extent that it is highly probable that a significant reversal in the amount of revenue will not occur.
\n
Card service revenue primarily includes interchange revenue and annual card fees. Interchange revenue is calculated as a
\n
fixed percentage of the transaction amount and recognized when the card transaction is settled. Annual card fees are fixed fees
\n
and are recognized over a 12 month period.
\n
Credit fees are primarily earned for arranging syndicated loans and making credit available on undrawn facilities. The timing
\n
of the recognition of credit fees varies based on the nature of the services provided.
\n
When service fees and other costs are incurred in relation to commissions and fees earned, we record these costs on a gross
\n
basis in either Non-interest expense \u2013 Other or Non-interest expense \u2013 Human resources based on our assessment of whether we
\n
have primary responsibility to fulfill the contract with the client and have discretion in establishing the price for the commissions
\n
and fees earned, which may require judgment.
\n
Earnings per share
\n
Earnings per share is computed by dividing Net income available to common shareholders by the weighted average number of
\n
common shares outstanding for the period. Net income available to common shareholders is determined after deducting
\n
dividend entitlements of preferred shareholders and distributions on other equity instruments, any gains (losses) on redemption
\n
of preferred shares and other equity instruments net of related income taxes and the net income attributable to non-controlling
\n
interests.
\n
Diluted earnings per share reflects the potential dilution that could occur if additional common shares are assumed to be
\n
issued under securities or contracts that entitle their holders to obtain common shares in the future, to the extent such
\n
entitlement is not subject to unresolved contingencies. For contracts that may be settled in cash or in common shares at our
\n
option, diluted earnings per share is calculated based on the assumption that such contracts will be settled in shares. Income
\n
and expenses associated with these types of contracts are excluded from the Net income available to common shareholders, and
\n
the additional number of shares that would be issued is included in the diluted earnings per share calculation. For stock options
\n
whose exercise price is less than the average market price of our common shares, using the treasury stock method, they are
\n
assumed to be exercised and the proceeds are used to repurchase common shares at the average market price for the period.
\n
The incremental number of common shares issued under stock options and repurchased from proceeds is included in the
\n
calculation of diluted earnings per share.
\n
Share capital and other equity instruments
\n
We classify a financial instrument that we issue as a financial asset, financial liability or an equity instrument in accordance with
\n
the substance of the contractual arrangement.
\n
Our common shares held by us are classified as treasury shares in equity and accounted for at weighted average cost. Upon
\n
the sale of treasury shares, the difference between the sale proceeds and the cost of the shares is recognized in Retained
\n
earnings. Financial instruments issued by us are classified as equity instruments when there is no contractual obligation to
\n
transfer cash or other financial assets. Incremental costs directly attributable to the issue of equity instruments are included in
\n
equity as a deduction from the proceeds, net of tax. Financial instruments that will be settled by a variable number of our
\n
common shares upon their conversion by the holders as well as the related accrued distributions are classified as liabilities on
\n
our Consolidated Balance Sheets. Dividends and yield distributions on these instruments are classified as Interest expense in our
\n
Consolidated Statements of Income. For compound instruments comprised of both liability and equity components, the liability
\n
component is initially measured at fair value with any residual amount assigned to the equity component.
\n
Future changes in accounting policy and disclosure
\n
Amendments to the Classification and Measurement of Financial Instruments
\n
In May 2024, the IASB issued
Amendments to the Classification and Measurement of Financial Instruments
which amends IFRS 9
\n
Financial Instruments
and IFRS 7
Financial Instruments: Disclosures
(the Amendments). The Amendments clarify classification
\n
guidance for financial assets with environmental, social and governance-linked features and introduce additional related
\n
disclosure requirements. The Amendments will be effective for us on November 1, 2026. We are currently assessing the impact of
\n
adopting the Amendments on our Consolidated Financial Statements.
\n
IFRS 18 Presentation and Disclosure in Financial Statements (IFRS 18)
\n
In April 2024, the IASB issued IFRS 18, which sets out requirements for the presentation and disclosure of information in the
\n
financial statements. IFRS 18 will replace IAS 1 Presentation of Financial Statements and accompanies limited amendments to
\n
other standards which will be effective upon the adoption of the new standard. The standard introduces new defined subtotals to
\n
be presented in the Consolidated Statements of Income, disclosure of management-defined performance measures and
\n
requirements for grouping of information. This standard will be effective for us on November 1, 2027. We are currently assessing
\n
the impact of adopting this standard on our Consolidated Financial Statements.
Updates related to interest rate benchmark reform
\n
To manage our transition to ABRs, we implemented a comprehensive enterprise-wide program and governance structure that
\n
addresses the key areas of impact including contract remediation, funding and liquidity planning, risk management, financial
\n
reporting and valuation, systems, processes and client education and communication. Our remaining transition activities were
\n
focused on two broad streams of work: (i) developing new ABR linked products, and (ii) conversion of existing CDOR based
\n
contracts to ABRs.
\n
On June 28, 2024, the publication of all remaining Canadian Dollar Offered Rate (CDOR) settings was ceased and relatedly we
\n
have ceased our Bankers\u2019 Acceptance-based lending. Consistent with our transition plan, our exposure to non-derivative
\n
financial assets, non-derivative financial liabilities, derivative notional and undrawn balances of loan commitments referencing
\n
CDOR and interest rates substantially similar to CDOR is no longer material to our financial statements (October 31, 2023 \u2013
\n
$29.5 billion, $24.7 billion, $2,154.3 billion, and $40.0 billion, respectively).
\n
We continue to manage significant exposures to benchmarks that have no announced plans for cessation or further reform,
\nincluding the EURO Interbank Offered Rate (EURIBOR) and Australian Bank Bill Swap Rate (BBSW).", "dimensions": { "concept": "ifrs-full:DisclosureOfMaterialAccountingPolicyInformationExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00771": { "value": "The material 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00632": { "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 and reinsurance contracts,
\n
pensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions. Accordingly,
\n
actual results may differ from these and other estimates thereby impacting our future Consolidated Financial Statements. Refer
\n
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:
Consolidation of structured entities
Note 2
Goodwill and other intangibles
Note 2
Note 8
Note 11
Fair value of financial instruments
Note 2
Application of the effective interest method
Note 2
Note 3
Allowance for credit losses
Note 2
Derecognition of financial assets
Note 2
Note 4
Note 7
Note 5
Insurance and reinsurance contracts
Note 2
Income taxes
Note 2
Note 15
Note 21
Employee benefits
Note 2
Provisions
Note 2
Note 16
Note 23
Note 24
", "dimensions": { "concept": "ifrs-full:DisclosureOfAccountingJudgementsAndEstimatesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00772": { "value": "General Use of estimates and assumptions \nIn preparing our Consolidated Financial Statements, management is required to make subjective estimates and assumptions that \naffect the reported amount of assets, liabilities, net income and related disclosures. Estimates made by management are based \non historical experience and other assumptions that are believed to be reasonable. Key sources of estimation uncertainty \ninclude: determination of fair value of financial instruments, allowance for credit losses, insurance and reinsurance contracts, \npensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions. Accordingly, \nactual results may differ from these and other estimates thereby impacting our future Consolidated Financial Statements. Refer \nto the relevant accounting policies in this Note for details on our use of estimates and assumptions. \nSignificant judgments \nIn preparation of these Consolidated Financial Statements, management is required to make significant judgments that affect \nthe carrying amounts of certain assets and liabilities, and the reported amounts of revenues and expenses recorded during the \nperiod. Significant judgments have been made in the following areas and discussed as noted in the Consolidated Financial \nStatements: Consolidation of structured entities Note 2 Goodwill and other intangibles Note 2 Note 8 Note 11 Fair value of financial instruments Note 2 Application of the effective interest method Note 2 Note 3 Allowance for credit losses Note 2 Derecognition of financial assets Note 2 Note 4 Note 7 Note 5 Insurance and reinsurance contracts Note 2 Income taxes Note 2 Note 15 Note 21 Employee benefits Note 2 Provisions Note 2 Note 16 Note 23 Note 24 ", "dimensions": { "concept": "ifrs-full:ExplanationOfAssumptionAboutFutureWithSignificantRiskOfResultingInMaterialAdjustments", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00633": { "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 and reinsurance contracts,
\n
pensions and other post-employment benefits, income taxes, goodwill and other intangible assets, and provisions. Accordingly,
\n
actual results may differ from these and other estimates thereby impacting our future Consolidated Financial Statements. Refer
\nto 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00773": { "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
\n
circumstances, different factors and conditions may indicate that various parties control an entity depending on whether those
\n
factors and conditions are assessed in isolation or in totality. Significant judgment is applied in determining whether we control
\n
an entity, specifically, assessing whether we have substantive decision-making rights over the relevant activities and whether we
\n
are exercising our power as a principal or an agent.
\n
We consolidate all subsidiaries from the date we obtain control and cease consolidation when an entity is no longer
\n
controlled by us. Our consolidation conclusions affect the classification and amount of assets, liabilities, revenues and expenses
\n
reported in our Consolidated Financial Statements.
\n
Non-controlling interests in subsidiaries that we consolidate are shown on our Consolidated Balance Sheets as a separate
\n
component of equity which is distinct from equity attributable to our shareholders. The net income attributable to
\n
non-controlling interests is separately disclosed in our Consolidated Statements of Income.
\n
Investments in joint ventures and associates
\n
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
\n
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
\n
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
\n
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
\n
comprehensive income (OCI), subsequent to the date of acquisition.
\n
Non-current assets held for sale and discontinued operations
\n
Non-current assets (and disposal groups) are classified as held for sale if their carrying amounts will be recovered principally
\n
through a sale transaction rather than through continuing use. This condition is satisfied when the asset is available for
\n
immediate sale in its present condition, management is committed to the sale, and it is highly probable to occur within one year.
\n
Non-current assets (and disposal groups) classified as held for sale are measured at the lower of their previous carrying amount
\n
and fair value less costs to sell and if significant, are presented separately from other assets on our Consolidated Balance
\n
Sheets.
\n
A disposal group is classified as a discontinued operation if it meets the following conditions: (i) it is a component that can
\n
be distinguished operationally and financially from the rest of our operations and (ii) it represents either a separate major line of
\n
business or is part of a single coordinated plan to dispose of a separate major line of business or geographical area of
\n
operations. Disposal groups classified as discontinued operations are presented separately from our continuing operations in
\nour Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfConsolidationExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00774": { "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
\n
circumstances, different factors and conditions may indicate that various parties control an entity depending on whether those
\n
factors and conditions are assessed in isolation or in totality. Significant judgment is applied in determining whether we control
\n
an entity, specifically, assessing whether we have substantive decision-making rights over the relevant activities and whether we
\n
are exercising our power as a principal or an agent.
\n
We consolidate all subsidiaries from the date we obtain control and cease consolidation when an entity is no longer
\n
controlled by us. Our consolidation conclusions affect the classification and amount of assets, liabilities, revenues and expenses
\n
reported in our Consolidated Financial Statements.
\n
Non-controlling interests in subsidiaries that we consolidate are shown on our Consolidated Balance Sheets as a separate
\n
component of equity which is distinct from equity attributable to our shareholders. The net income attributable to
\nnon-controlling interests is separately disclosed in our Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSubsidiariesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00775": { "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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00776": { "value": "Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
\n
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
\n
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
\n
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
\ncomprehensive income (OCI), subsequent to the date of acquisition.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociatesAndJointVenturesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00777": { "value": "Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
\n
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
\n
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
\n
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
\ncomprehensive income (OCI), subsequent to the date of acquisition.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsInJointVentures", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00778": { "value": "Investments in joint ventures and associates
Our investments in associated corporations and limited partnerships over which we have significant influence are accounted for
\n
using the equity method. The equity method is also applied to our interests in joint ventures over which we have joint control.
\n
Under the equity method of accounting, investments are initially recorded at cost, and the carrying amount is increased or
\n
decreased to recognize our share of the investee\u2019s net profit or loss, including our proportionate share of the investee\u2019s Other
\ncomprehensive income (OCI), subsequent to the date of acquisition.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociates", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00779": { "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
\n
through a sale transaction rather than through continuing use. This condition is satisfied when the asset is available for
\n
immediate sale in its present condition, management is committed to the sale, and it is highly probable to occur within one year.
\n
Non-current assets (and disposal groups) classified as held for sale are measured at the lower of their previous carrying amount
\n
and fair value less costs to sell and if significant, are presented separately from other assets on our Consolidated Balance
\n
Sheets.
\n
A disposal group is classified as a discontinued operation if it meets the following conditions: (i) it is a component that can
\n
be distinguished operationally and financially from the rest of our operations and (ii) it represents either a separate major line of
\n
business or is part of a single coordinated plan to dispose of a separate major line of business or geographical area of
\n
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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00780": { "value": "Financial Instruments
Classification of financial assets
\n
Financial assets are measured at initial recognition at fair value, and are classified and subsequently measured at fair value
\n
through profit or loss (FVTPL), fair value through other comprehensive income (FVOCI) or amortized cost based on our business
\n
model for managing the financial instruments and the contractual cash flow characteristics of the instrument.
\n
Debt instruments are measured at amortized cost if both of the following conditions are met and the asset is not designated
\n
as FVTPL: (a) the asset is held within a business model that is Held-to-Collect (HTC) as described below, and (b) the contractual
\n
terms of the instrument give rise to cash flows that are solely payments of principal and interest on the principal amount
\n
outstanding (SPPI).
\n
Debt instruments are measured at FVOCI if both of the following conditions are met and the asset is not designated as
\n
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
\n
contractual terms of the instrument give rise, on specified dates, to cash flows that are SPPI.
\n
All other debt instruments are measured at FVTPL.
\n
Equity instruments are measured at FVTPL, unless the asset is not held for trading purposes and we make an irrevocable
\n
election to designate the asset as FVOCI. This election is made on an instrument-by-instrument basis.
\n
Business model assessment
\n
We determine our business models at the level that best reflects how we manage portfolios of financial assets to achieve our
\n
business objectives. Judgment is used in determining our business models, which is supported by relevant, objective evidence
\n
including:
\n
\u2022
How the economic activities of our businesses generate benefits, for example through trading revenue, enhancing yields
\n
or hedging funding or other costs and how such economic activities are evaluated and reported to key management
\n
personnel;
\n
\u2022
The significant risks affecting the performance of our businesses, for example, market risk, credit risk, or other risks as
\n
described in the Risk Management section of the MD&A, and the activities undertaken to manage those risks;
\n
\u2022
Historical and future expectations of sales of the loans or securities portfolios managed as part of a business model;
\n
and
\n
\u2022
The compensation structures for managers of our businesses, to the extent that these are directly linked to the
\n
economic performance of the business model.
\n
Our business models fall into three categories, which are indicative of the key strategies used to generate returns:
\n
\u2022
HTC: The objective of this business model is to hold loans and securities to collect contractual principal and interest
\n
cash flows. Sales are incidental to this objective and are expected to be insignificant or infrequent.
\n
\u2022
HTC&S: Both collecting contractual cash flows and sales are integral to achieving the objective of the business model.
\n
\u2022
Other fair value business models: These business models are neither HTC nor HTC&S, and primarily represent business
\n
models where assets are held-for-trading or managed on a fair value basis.
SPPI assessment
\n
Instruments held within a HTC or HTC&S business model are assessed to evaluate if their contractual cash flows are comprised
\n
of solely payments of principal and interest. SPPI payments are those which would typically be expected from basic lending
\n
arrangements. Principal amounts include par repayments from lending and financing arrangements, and interest primarily
\n
relates to basic lending returns, including compensation for credit risk and the time value of money associated with the principal
\n
amount outstanding over a period of time. Interest can also include other basic lending risks and costs (for example, liquidity
\n
risk, servicing or administrative costs) associated with holding the financial asset for a period of time, and a profit margin.
\n
Where the contractual terms introduce exposure to risk or variability of cash flows that are inconsistent with a basic lending
\n
arrangement, the related financial asset is classified and measured at FVTPL.
\n
Securities
\n
Trading securities include all securities that are classified as FVTPL by nature and securities designated as FVTPL. Obligations to
\n
deliver trading securities sold but not yet purchased are recorded as liabilities and carried at fair value. Realized and unrealized
\n
gains and losses on these securities are generally recorded in Non-interest income \u2013 Trading revenue or Non-interest income \u2013
\n
Other except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment
\n
result. Dividends and interest income accruing on Trading securities are recorded in Interest and dividend income except for
\n
amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Interest
\n
and dividends accrued on securities sold short are recorded in Interest expense.
\n
Investment securities include all securities classified as FVOCI and amortized cost. All investment securities are initially
\n
recorded at fair value and subsequently measured according to the respective classification.
\n
Investment securities carried at amortized cost are measured using the effective interest method, and are presented net of
\n
any allowance for credit losses, calculated in accordance with our policy for Allowance for credit losses, as described below.
\n
Interest income, including the amortization of premiums and discounts on securities measured at amortized cost are recorded in
\n
Interest and dividend income. Impairment gains or losses recognized on amortized cost securities are recorded in Provision for
\n
credit losses (PCL). When a debt instrument measured at amortized cost is sold, the difference between the sale proceeds and
\n
the amortized cost of the security at the time of the sale is recorded as Net gains on investment securities in Non-interest
\n
income.
\n
Debt securities carried at FVOCI are measured at fair value with unrealized gains and losses arising from changes in fair
\n
value included in Other components of equity. Impairment gains and losses are included in PCL and correspondingly reduce the
\n
accumulated changes in fair value included in Other components of equity. When a debt instrument measured at FVOCI is sold,
\n
the cumulative gain or loss is reclassified from Other components of equity to Non-interest income \u2013 Net gains on investment
\n
securities, or Non-interest income \u2013 Insurance investment result if relating to the Insurance segment.
\n
Equity securities carried at FVOCI are measured at fair value. Unrealized gains and losses arising from changes in fair value
\n
are recorded in Other components of equity and not subsequently reclassified to profit or loss when realized. Dividends from
\n
FVOCI equity securities are recognized in Interest and dividend income except for amounts relating to the Insurance segment,
\n
which are recorded in Non-interest income \u2013 Insurance investment result.
\n
We account for all of our securities using settlement date accounting and changes in fair value between the trade date and
\n
settlement date are reflected in income for securities measured at FVTPL, and changes in the fair value of securities measured at
\n
FVOCI between the trade and settlement dates are recorded in OCI except for changes in foreign exchange rates on debt
\n
securities, which are recorded in Non-interest income.
\n
Fair value option
\n
A financial instrument with a reliably measurable fair value can be designated as FVTPL (the fair value option) on its initial
\n
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
\n
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
\n
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
\n
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
\n
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
\n
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
\n
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
\n
FVTPL category while they are held or issued.
\n
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair
\n
value is included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose
\n
for holding the financial asset.
\n
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
\n
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
\n
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
\n
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability, except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Upon initial
\n
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
\n
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
\n
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
\n
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
\n
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
\n
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
\n
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
\n
term of the arrangement by using our effective funding rate at the beginning and end of the period.
\n
Determination of fair value
\n
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
\n
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
\n
market participants would consider in setting a price, including commonly accepted valuation approaches.
\n
The Board of Directors provides oversight on valuation of financial instruments, primarily through the Audit Committee and
\n
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
\n
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
\n
these instruments.
\n
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
\n
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
\n
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
\n
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
\n
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
\n
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
\n
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
\n
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
\n
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
\n
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
\n
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
\n
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
\n
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
\n
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
\n
are approved for use within our model risk management framework. The framework addresses, among other things, model
\n
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
\n
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
\n
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
\n
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
\n
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
\n
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
\n
exposure to market or credit risk.
\n
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
\n
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
\n
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
\n
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
\n
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
\n
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
\n
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
\n
may differ from its fair recorded value previously estimated using management judgment.
\n
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
\n
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
\n
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
\n
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
\n
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
\n
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
\n
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
\n
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
\n
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
\n
changes are recorded in Non-interest income \u2013 Trading revenue.
\n
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
\n
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
\n
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
\n
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
\n
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
\n
other observable market transactions based on a valuation technique incorporating observable market data.
\n
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
\n
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
\n
mid-market price to either the bid or offer price.
\n
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
\n
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
\n
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
\n
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
\n
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
\n
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
\n
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
\n
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
\n
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
\n
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
\n
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
\n
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
\n
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
\n
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
\n
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
\n
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
\n
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
\n
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
\n
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
\n
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
\n
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
\n
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
\n
such instances.
\n
Loans
\n
Loans are debt instruments recognized initially at fair value and are subsequently measured in accordance with the
\n
Classification of financial assets policy provided above. The majority of our loans are carried at amortized cost using the
\n
effective interest method, which represents the gross carrying amount less allowance for credit losses.
\n
Interest on loans is recognized using the effective interest method and recorded in Interest income except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment. The estimated future cash
\n
flows used in this calculation include those determined by the contractual term of the asset and all fees that are considered to be
\n
integral to the effective interest rate. Also included in this amount are transaction costs and all other premiums or discounts.
\n
Fees that relate to activities such as originating, restructuring or renegotiating loans are deferred and recognized as Interest
\n
income over the expected term of such loans using the effective interest method. Where there is a reasonable expectation that a
\n
loan will be originated, commitment and standby fees are also recognized as interest income over the expected term of the
\n
resulting loans using the effective interest method. Otherwise, such fees are recorded as other liabilities and amortized into
\n
Non-interest income over the commitment or standby period. Future prepayment fees on mortgage loans are not included as part
\n
of the effective interest rate at origination. If prepayment fees are received on a renewal of a mortgage loan before maturity, the
\n
fee is included as part of the effective interest rate, and if not renewed, the prepayment fee is recognized in interest income at
\n
the prepayment date.
\n
For loans carried at amortized cost or FVOCI, impairment losses are recognized at each balance sheet date in accordance
\n
with the three-stage impairment model outlined below.
\n
Allowance for credit losses
\n
An allowance for credit losses (ACL) is established for all financial assets, except for financial assets classified or designated as
\n
FVTPL and equity securities designated as FVOCI, which are not subject to impairment assessment. Assets subject to impairment
\n
assessment include loans, debt securities, interest-bearing deposits with banks, customers\u2019 liability under acceptances, accounts
\n
and accrued interest receivable, and finance and operating lease receivables. ACL on loans measured at amortized cost is
\n
presented in Allowance for loan losses. ACL on debt securities measured at FVOCI is presented in Other components of equity.
\n
Other financial assets carried at amortized cost are presented net of ACL on our Consolidated Balance Sheets.
\n
Off-balance sheet items subject to impairment assessment include financial guarantees and undrawn loan commitments.
\n
ACL on off-balance sheet items is separately calculated and included in Other Liabilities \u2013 Provisions.
\n
We measure the ACL on each balance sheet date according to a three-stage expected credit loss impairment model:
\n
\u2022
Performing financial assets
\n
\u2022
Stage 1 \u2013 From initial recognition of a financial asset to the date on which the asset has experienced a significant
\n
increase in credit risk relative to its initial recognition, a loss allowance is recognized equal to the credit losses
\n
expected to result from defaults occurring over the 12 months following the reporting date.
\n
\u2022
Stage 2 \u2013 Following a significant increase in credit risk relative to the initial recognition of the financial asset, a loss
\n
allowance is recognized equal to the credit losses expected over the remaining lifetime of the asset.
\n
\u2022
Impaired financial assets
\n
\u2022
Stage 3 \u2013 When a financial asset is considered to be credit-impaired, a loss allowance is recognized equal to credit
\n
losses expected over the remaining lifetime of the asset. Interest income is calculated based on the carrying
\n
amount of the asset, net of the loss allowance, rather than on its gross carrying amount.
\n
The ACL is a discounted probability-weighted estimate of the cash shortfalls expected to result from defaults over the relevant
\n
time horizon. For loan commitments, credit loss estimates consider the portion of the commitment that is expected to be drawn
\n
over the relevant time period. For financial guarantees, credit loss estimates are based on the expected payments required under
\n
the guarantee contract. For finance lease receivables, credit loss estimates are based on cash flows consistent with the cash
\n
flows used in measuring the lease receivable.
\n
Increases or decreases in the required ACL attributable to model changes and new originations, sales or maturities, and
\n
changes in risk, parameters and exposures due to changes in loss expectations or stage transfers are recorded in PCL. Write-offs
\n
and recoveries of amounts previously written off are recorded against ACL.
\n
The ACL represents an unbiased estimate of expected credit losses on our financial assets as at the balance sheet date.
\n
Judgment is required in making assumptions and estimations when calculating the ACL, including movements between the three
\n
stages and the application of forward-looking information. The underlying assumptions and estimates may result in changes to
\n
the provisions from period to period that significantly affect our results of operations.
\n
Measurement of expected credit losses
\n
Expected credit losses are based on a range of possible outcomes and consider all available reasonable and supportable
\n
information, including internal and external ratings, historical credit loss experience and expectations about future cash flows.
\n
The measurement of expected credit losses is based primarily on the product of the instrument\u2019s PD, loss given default (LGD),
\n
and EAD discounted to the reporting date. The main difference between Stage 1 and Stage 2 expected credit losses for performing
\n
financial assets is the respective calculation horizon. Stage 1 estimates project PD, LGD and EAD over a maximum period of
\n
12 months while Stage 2 estimates project PD, LGD and EAD over the remaining lifetime of the instrument.
\n
An expected credit loss estimate is produced for each individual exposure. Relevant parameters are modelled on a collective
\n
basis using portfolio segmentation that allows for appropriate incorporation of forward-looking information. To reflect other
\n
characteristics that are not already considered through modelling, expert credit judgment is exercised in determining the final
\n
expected credit losses.
\n
For a small percentage of our portfolios which lack detailed historical information and/or loss experience, we apply
\n
simplified measurement approaches that may differ from what is described above. These approaches have been designed to
\n
maximize the available information that is reliable and supportable for each portfolio and may be collective in nature.
\n
Expected credit losses are discounted to the reporting period date using the effective interest rate.
\n
Expected life
\n
For instruments in Stage 2 or Stage 3, loss allowances reflect expected credit losses over the expected remaining lifetime of the
\n
instrument. For most instruments, the expected life is limited to the remaining contractual life.
\n
An exemption is provided for certain instruments with the following characteristics: (a) the instrument includes both a loan
\n
and undrawn commitment component; (b) we have the contractual ability to demand repayment and cancel the undrawn
\n
commitment; and (c) our exposure to credit losses is not limited to the contractual notice period. For products in scope of this
\n
exemption, the expected life may exceed the remaining contractual life and is the period over which our exposure to credit losses
\n
is not mitigated by our normal credit risk management actions. This period varies by product and risk category and is estimated
\n
based on our historical experience with similar exposures and consideration of credit risk management actions taken as part of
\n
our regular credit review cycle. Products in scope of this exemption include credit cards, overdraft balances and certain revolving
\n
lines of credit. Judgment is required in determining the instruments in scope for this exemption and estimating the appropriate
\n
remaining life based on our historical experience and credit risk mitigation practices.
\n
Assessment of significant increase in credit risk
\n
The assessment of significant increase in credit risk requires significant judgment. Movements between Stage 1 and Stage 2 are
\n
based on whether an instrument\u2019s credit risk as at the reporting date has increased significantly relative to the date it was
\n
initially recognized. For the purposes of this assessment, credit risk is based on an instrument\u2019s lifetime PD, not the losses we
\n
expect to incur. The assessment is generally performed at the instrument level.
\n
Our assessment of significant increases in credit risk is performed at least quarterly based on three factors. If any of the
\n
following factors indicates that a significant increase in credit risk has occurred, the instrument is moved from Stage 1 to Stage 2:
\n
(1)
We have established thresholds for significant increases in credit risk based on both a percentage and absolute change
\n
in lifetime PD relative to initial recognition. For our wholesale portfolio, a decrease in the borrower\u2019s risk rating is also
\n
required to determine that credit risk has increased significantly.
\n
(2)
Additional qualitative reviews may be performed, as necessary, to assess the staging results, which may lead to
\n
adjustments to better reflect the positions whose credit risk has increased significantly. These reviews are completed at
\n
both the individual borrower levels and the portfolio level and may result in an instrument, a portfolio or a portion of a
\n
portfolio moving from Stage 1 to Stage 2.
\n
(3)
Instruments which are 30 days past due are generally considered to have experienced a significant increase in credit
\n
risk, even if our other metrics do not indicate that a significant increase in credit risk has occurred.
\n
The thresholds for movement between Stage 1 and Stage 2 are symmetrical. After a financial asset has transferred to Stage 2, if
\n
its credit risk is no longer considered to have significantly increased relative to its initial recognition, the financial asset will
\n
move back to Stage 1.
\n
For certain instruments with low credit risk as at the reporting date, it is presumed that credit risk has not increased
\n
significantly relative to initial recognition. Credit risk is considered to be low if the instrument has a low risk of default, and the
\n
borrower has the ability to fulfill their contractual obligations both in the near term and in the longer term, including periods of
\n
adverse changes in the economic or business environment. Certain interest-bearing deposits with banks, assets purchased under
\n
reverse repurchase agreements, insurance policy loans, and liquidity facilities extended to our multi-seller conduits have been
\n
identified as having low credit risk.
\n
Use of forward-looking information
\n
The measurement of expected credit losses for each stage and the assessment of significant increase in credit risk considers
\n
information about past events and current conditions as well as reasonable and supportable projections of future events and
\n
economic conditions. The estimation and application of forward-looking information requires significant judgment.
\n
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 2 credit loss allowances are modelled based on the
\n
macroeconomic variables (or changes in macroeconomic variables) that are most closely correlated with credit losses in the
\n
relevant portfolio. Each macroeconomic scenario used in our expected credit loss calculation includes a projection of all
\n
relevant macroeconomic variables used in our models for a five-year period, subsequently reverting to long-run averages.
\n
Macroeconomic variables used in our expected credit loss models include, but are not limited to, unemployment rates, gross
\n
domestic product growth rates, equity return indices, commodity prices, and Canadian housing prices. Depending on their usage
\n
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
\n
a minimum of three future macroeconomic scenarios. Our base case scenario is based on macroeconomic forecasts published
\n
by our internal economics group. The published forecasts are developed from models based on historical macroeconomic data,
\n
derived from public sources and financial markets. Upside and downside scenarios vary relative to our base case scenario based
\n
on reasonably possible alternative macroeconomic conditions. Additional and more severe downside scenarios are designed to
\n
capture a broader range of potential credit losses in certain sectors. Scenario design, including the identification of additional
\n
downside scenarios, occurs at least on an annual basis and more frequently if conditions warrant.
\n
Scenarios are designed to capture a wide range of possible outcomes and weighted according to our best estimate of the
\n
relative likelihood of the range of outcomes that each scenario represents. Scenario weights take into account historical
\n
frequency, current trends, and forward-looking conditions and are updated on a quarterly basis. All scenarios considered are
\n
applied to all portfolios subject to expected credit losses with the same probabilities.
\n
Our assessment of significant increases in credit risk is based on changes in probability-weighted forward-looking lifetime
\n
PDs as at the reporting date, using the same macroeconomic scenarios as the calculation of expected credit losses.
\n
Definition of default
\n
The definition of default used in the measurement of expected credit losses is consistent with the definition of default used for
\n
our internal credit risk management purposes. Our definition of default may differ across products and consider both
\n
quantitative and qualitative factors, such as the terms of financial covenants and days past due. For retail and wholesale
\n
borrowers, except as detailed below, default occurs when the borrower is more than 90 days past due on any material obligation
\n
to us, and/or we consider the borrower unlikely to make their payments in full without recourse action on our part, such as taking
\n
formal possession of any collateral held. For certain credit card balances, default occurs when payments are 180 days past due.
\n
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
\n
and recovery rates experienced on historical credit card portfolios. The definition of default used is applied consistently from
\n
period to period and to all financial instruments unless it can be demonstrated that circumstances have changed such that
\n
another definition of default is more appropriate.
\n
Credit-impaired financial assets (Stage 3)
\n
Financial assets are assessed for credit-impairment at each balance sheet date and more frequently when circumstances
\n
warrant further assessment. Evidence of credit-impairment may include indications that the borrower is experiencing significant
\n
financial difficulty, probability of bankruptcy or other financial reorganization, as well as a measurable decrease in the estimated
\n
future cash flows evidenced by the adverse changes in the payments status of the borrower or economic conditions that
\n
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
\n
considered to be credit-impaired. The asset will transfer back to Stage 1 when its credit risk at the reporting date is no longer
\n
considered to have increased significantly from initial recognition, which could occur during the same reporting period as the
\n
transfer from Stage 3 to Stage 2.
\n
When a financial asset has been identified as credit-impaired, expected credit losses are measured as the difference
\n
between the asset\u2019s gross carrying amount and the present value of estimated future cash flows discounted at the instrument\u2019s
\n
original effective interest rate. For impaired financial assets with drawn and undrawn components, expected credit losses also
\n
reflect any credit losses related to the portion of the loan commitment that is expected to be drawn down over the remaining life
\n
of the instrument.
\n
When a financial asset is credit-impaired, interest ceases to be recognized on the regular accrual basis, which accrues
\n
income based on the gross carrying amount of the asset. Rather, interest income is calculated by applying the original effective
\n
interest rate to the amortized cost of the asset, which is the gross carrying amount less the related ACL.
\n
ACL for credit-impaired loans in Stage 3 are established at the borrower level, where losses related to impaired loans are
\n
identified on individually significant loans, or collectively assessed and determined through the use of portfolio-based rates,
\n
without reference to particular loans.
\n
Individually assessed loans (Stage 3)
\n
When individually significant loans are identified as impaired, we reduce the carrying value of the loans to their estimated
\n
realizable value by recording an individually assessed ACL to cover identified credit losses. The individually assessed ACL
\n
reflects the expected amount of principal and interest calculated under the terms of the original loan agreement that will not be
\n
recovered, and the impact of time delays in collecting principal and/or interest (time value of money). The estimated realizable
\n
value for each individually significant loan is the present value of expected future cash flows discounted using the original
\n
effective interest rate for each loan. When the amounts and timing of future cash flows cannot be estimated with reasonable
\n
reliability, the estimated realizable amount may be determined using observable market prices for comparable loans, the fair
\n
value of collateral underlying the loans, and other reasonable and supported methods based on management judgment.
\n
Individually-assessed allowances are established in consideration of a range of possible outcomes, which may include
\n
macroeconomic or non-macroeconomic scenarios, to the extent relevant to the circumstances of the specific borrower being
\n
assessed. Assumptions used in estimating expected future cash flows reflect current and expected future economic conditions
\n
and are generally consistent with those used in Stage 1 and Stage 2 measurement.
\n
Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
\n
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
\n
impact on PCL and may result in a change in the ACL.
\n
Collectively assessed loans (Stage 3)
\n
Loans that are collectively assessed are grouped on the basis of similar risk characteristics, taking into account loan type,
\n
industry, geographic location, collateral type, past due status and other relevant factors.
\n
The collectively-assessed ACL reflects: (i) the expected amount of principal and interest calculated under the terms of the
\n
original loan agreement that will not be recovered, and (ii) the impact of time delays in collecting principal and/or interest (time
\n
value of money).
\n
The expected principal and interest collection is estimated on a portfolio basis and references historical loss experience of
\n
comparable portfolios with similar credit risk characteristics, adjusted for the current environment and expected future
\n
conditions. A portfolio specific coverage ratio is applied against the impaired loan balance in determining the collectively-
\n
assessed ACL. The time value of money component is calculated by using the discount factors applied to groups of loans sharing
\n
common characteristics. The discount factors represent the expected recovery pattern of the comparable group of loans, and
\n
reflect the historical experience of these groups adjusted for current and expected future economic conditions and/or industry
\n
factors. Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
\n
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
\n
impact on PCL and may result in a change in the ACL.
\n
Write-off of loans
\n
Loans and the related ACL are written off, either partially or in full, when there is no realistic prospect of recovery. Where loans
\n
are secured, they are generally written off after receipt of any proceeds from the realization of collateral. In circumstances where
\n
the net realizable value of any collateral has been determined and there is no reasonable expectation of further recovery, write
\n
off may be earlier. For credit cards, the balances and related ACL are generally written off when payment is 180 days past due.
\n
Personal loans are generally written off at 150 days past due.
\n
Modifications
\n
The original terms of a financial asset may be renegotiated or otherwise modified, resulting in changes to the contractual terms
\n
of the financial asset that affect the contractual cash flows. The treatment of such modifications is primarily based on the
\n
process undertaken to execute the renegotiation and the nature and extent of the expected changes. In the normal course of
\n
business, modifications which are performed for credit reasons, primarily related to troubled debt restructurings, are generally
\n
treated as modifications of the original financial asset. Modifications which are performed for other than credit reasons are
\n
generally considered to be an expiry of the original cash flows; accordingly, such renegotiations are treated as a derecognition of
\n
the original financial asset and recognition of a new financial asset.
\n
If a modification of terms does not result in derecognition of the financial asset, the carrying amount of the financial asset is
\n
recalculated as the present value of the renegotiated or modified contractual cash flows, discounted at the original effective
\n
interest rate and a gain or loss is recognized. The financial asset continues to be subject to the same assessments for significant
\n
increase in credit risk relative to initial recognition and credit-impairment, as described above. A modified financial asset will
\n
transfer out of Stage 3 if the conditions that led to it being identified as credit-impaired are no longer present and relate
\n
objectively to an event occurring after the original credit-impairment was recognized. A modified financial asset will transfer out
\n
of Stage 2 when it no longer satisfies the relative thresholds set to identify significant increases in credit risk, which are based on
\n
changes in its lifetime PD, days past due and other qualitative considerations. The financial asset continues to be monitored for
\n
significant increases in credit risk and credit-impairment.
\n
If a modification of terms results in derecognition of the original financial asset and recognition of the new financial asset,
\n
the new financial asset will generally be recorded in Stage 1, unless it is determined to be credit-impaired at the time of the
\n
renegotiation. For the purposes of assessing for significant increases in credit risk, the date of initial recognition for the new
\n
financial asset is the date of the modification.
\n
Derivatives
\n
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
\n
instruments. If the host contract is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification
\n
and measurement criteria are applied to the entire hybrid instrument as described in the Classification of financial assets
\n
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
\n
derivatives are separately recognized if the economic characteristics and risks of the embedded derivative are not clearly and
\n
closely related to the host contract, unless an election has been made to elect the fair value option, as described above. The host
\n
contract is accounted for in accordance with the relevant standards. Embedded derivatives are presented on a combined basis
\n
with the host contracts.
\n
All derivative instruments are recorded on our Consolidated Balance Sheets at fair value, inclusive of valuation adjustments.
\n
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are recognized
\n
in Non-interest income \u2013 Trading revenue. When derivatives are used to manage our own exposures, we determine for each
\n
derivative whether hedge accounting can be applied, as discussed in the Hedge accounting section below. For derivatives used
\n
to manage our own exposures where we do not apply hedge accounting, the realized and unrealized gains and losses are
\n
primarily recognized in Non-interest income \u2013 Other.
Derecognition of financial assets
\n
Financial assets are derecognized from our Consolidated Balance Sheets when our contractual rights to the cash flows from the
\n
assets have expired, when we retain the rights to receive the cash flows of the assets but assume an obligation to pay those cash
\n
flows to a third party subject to certain pass-through requirements or when we transfer our contractual rights to receive the cash
\n
flows and substantially all of the risks and rewards of the assets have been transferred. When we retain substantially all of the
\n
risks and rewards of the transferred assets, the transferred assets are not derecognized from our Consolidated Balance Sheets
\n
and are accounted for as secured financing transactions. When we neither retain nor transfer substantially all risks and rewards
\n
of ownership of the assets, we derecognize the assets if control over the assets is relinquished. If we retain control over the
\n
transferred assets, we continue to recognize the transferred assets to the extent of our continuing involvement.
\n
Management judgment is applied in determining whether the contractual rights to the cash flows from the transferred assets
\n
have expired or whether we retain the rights to receive cash flows on the assets but assume an obligation to pay for those cash
\n
flows. We derecognize transferred financial assets if we transfer substantially all the risks and rewards of the ownership in the
\n
assets. When assessing whether we have transferred substantially all of the risk and rewards of the transferred assets,
\n
management considers the Bank\u2019s exposure before and after the transfer with the variability in the amount and timing of the net
\n
cash flows of the transferred assets. In transfers in which we retain the servicing rights, management has applied judgment in
\n
assessing the benefits of servicing against market expectations. When the benefits of servicing are greater than fair value, a
\n
servicing asset is recognized in Other assets in our Consolidated Balance Sheets. When the benefits of servicing are less than fair
\n
value, a servicing liability is recognized in Other liabilities in our Consolidated Balance Sheets.
\n
Derecognition of financial liabilities
\n
We derecognize a financial liability from our Consolidated Balance Sheets when our obligation specified in the contract expires,
\n
or is discharged or cancelled. We recognize the difference between the carrying amount of a financial liability transferred and the
\n
consideration paid in our Consolidated Statements of Income.
\n
Interest
\n
Interest is recognized in Interest income and Interest expense in the Consolidated Statements of Income for all interest-bearing
\n
financial instruments except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013
\n
Insurance investment result. The effective interest rate is the rate that discounts estimated future cash flows over the expected
\n
life of the financial asset or liability to the net carrying amount upon initial recognition. Significant judgment is applied in
\n
determining the effective interest rate due to uncertainty in the timing and amounts of future cash flows.
\n
Dividend income
\n
Dividend income is recognized when the right to receive payment is established and is recorded in Dividend income except for
\n
amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. This is the
\n
ex-dividend date for listed equity securities, and usually the date when shareholders have approved the dividend for unlisted
\n
equity securities.
\n
Transaction costs
\n
Transaction costs are expensed as incurred for financial instruments classified or designated as FVTPL. For other financial
\n
instruments, transaction costs are capitalized on initial recognition. For financial assets and financial liabilities measured at
\n
amortized cost and debt financial assets measured at FVOCI, capitalized transaction costs are amortized through net income
\n
over the estimated life of the instrument using the effective interest method.
\n
Offsetting financial assets and financial liabilities
\n
Financial assets and financial liabilities are offset on the Consolidated Balance Sheets when there exists both a legally
\n
enforceable right to offset the recognized amounts and an intention to settle on a net basis, or realize the asset and settle the
\n
liability simultaneously.
\n
Assets purchased under reverse repurchase agreements and sold under repurchase agreements
\n
We purchase securities under agreements to resell (reverse repurchase agreements) and take possession of these securities. We
\n
monitor the market value of the securities purchased and additional collateral is obtained when appropriate. We have the right
\n
to liquidate the collateral held in the event of counterparty default. Reverse repurchase agreements are treated as collateralized
\n
lending transactions. We also sell securities under agreements to repurchase (repurchase agreements), which are treated as
\n
collateralized borrowing transactions. The securities received under reverse repurchase agreements and securities delivered
\n
under repurchase agreements are not recognized on, or derecognized from, our Consolidated Balance Sheets, respectively,
\n
unless the risks and rewards of ownership are obtained or relinquished.
\n
Reverse repurchase agreements and repurchase agreements are carried on our Consolidated Balance Sheets at the
\n
amounts at which the securities were initially acquired or sold, except when they are classified or designated as FVTPL and are
\n
recorded at fair value. Interest earned on reverse repurchase agreements is included in Interest income, and interest incurred on
\n
repurchase agreements is included in Interest expense in our Consolidated Statements of Income while changes in fair value for
\n
reverse repurchase agreements and repurchase agreements classified or designated as FVTPL are included in Trading revenue or
\n
Other in Non-interest income except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013
\n
Insurance investment result.
\n
Hedge accounting
\n
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
\n
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
\n
and other market risks. Our hedging strategies include the use of fair value hedges, cash flow hedges and net investment hedges.
\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. We assess,
\n
both at the inception of the hedge and on an ongoing basis, whether the hedging instruments are \u2018highly effective\u2019 in offsetting
\n
changes in the fair value or cash flows of the hedged items. A hedge is regarded as highly effective only if the following criteria
\n
are met: (i) at inception of the hedge and throughout its life, the hedge is expected to be highly effective in achieving offsetting
\n
changes in fair value or cash flows attributable to the hedged risk, and (ii) actual results of the hedge are within a pre-determined
\n
range. We perform effectiveness testing to demonstrate that the relationship has been and is expected to be effective over the
\n
remaining term of the hedge. In the case of hedging a forecast transaction, the transaction must have a high probability of
\n
occurring and must present an exposure to variations in cash flows that could ultimately affect the reported net profit or loss.
\n
Hedge accounting is discontinued when it is determined that the hedging instrument is no longer effective as a hedge, the
\n
hedging instrument or hedged item is terminated or sold, or the forecast transaction is no longer deemed highly probable. Refer
\n
to Note 9 for the fair value of derivatives and non-derivative instruments categorized by their hedging relationships, as well as
\n
derivatives that are not designated in hedging relationships.
\n
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transitioned to alternative
\n
benchmark rates (ABRs), our prospective effectiveness testing was based on existing hedged cash flows or hedged risks and any
\n
ineffectiveness arising from retrospective testing did not result in a discontinuation of the hedge. Additionally, effectiveness
\n
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
\n
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
\n
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
\n
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
\n
relationships fully transitioned to ABRs, and provided qualifying criteria were met, we amended the related hedge documentation
\n
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
\n
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
\n
Fair value hedges
\n
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
\n
hedged risk and recognized in Non-interest income \u2013 Other. Changes in fair value of the hedged item, to the extent that the
\n
hedging relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
\n
Non-interest income \u2013 Other. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted
\n
and the cumulative fair value adjustments to the carrying value of the hedged items are amortized to Non-interest income \u2013
\n
Other over the expected remaining life of the hedged items.
\n
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
\n
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we
\n
applied hedge accounting to IBOR rates which may not have been contractually specified if that rate was separately identifiable
\n
and reliably measurable at the inception of the hedge relationship.
\n
Cash flow hedges
\n
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
\n
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
\n
portion is recognized in Non-interest income \u2013 Other. When hedge accounting is discontinued, the cumulative amounts
\n
previously recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of
\n
the hedged item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to
\n
Non-interest income \u2013 Other when the hedged item is sold or terminated early, or when the forecast transaction is no longer
\n
expected to occur.
\n
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
\n
Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we treated the highly probable hedged IBORs
\n
based cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform.
\n
In addition, associated cash flow hedge reserves were not recycled into net income solely due to changes related to the
\n
transition from IBORs to ABRs. Subsequently, when some items in the group transitioned to ABRs before other items, the
\n
individual hedged items were allocated to subgroups based on the benchmark interest rate being hedged. We tested hedge
\n
effectiveness based on the defined subgroups, in accordance with the Amendments, if eligibility requirements were met. If a
\n
subgroup failed the eligibility requirements, we would have discontinued hedge accounting prospectively for the hedging
\n
relationship in its entirety.
\n
Net investment hedges
\n
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
\n
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
\n
recognized in Non-interest income \u2013 Other. The amounts, or a portion thereof, previously recognized in Other components of
\n
equity are recognized in Net income on the disposal, or partial disposal, of the foreign operation.
\n
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
\n
to net investments in foreign operations having a functional currency other than the Canadian dollar.
Guarantees
\n
Financial guarantee contracts are contracts that contingently require us to make specified payments (in cash, other assets, our
\n
own shares or provision of services) to reimburse the holder for a loss it incurs because a specified debtor fails to make payment
\n
when due in accordance with the original or modified terms of a debt instrument. Liabilities are recognized on our Consolidated
\n
Balance Sheets at the inception of a guarantee for the fair value of the obligation undertaken in issuing the guarantee. Financial
\n
guarantees are subsequently remeasured at the higher of (i) the amount of expected credit losses and (ii) the amount initially
\n
recognized less, when appropriate, the cumulative amount of income recognized.
\n
If the financial guarantee contract meets the definition of a derivative, it is measured at fair value at each balance sheet
\ndate and reported under Derivatives on our Consolidated Balance Sheets.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00781": { "value": "Classification of financial assets
Financial assets are measured at initial recognition at fair value, and are classified and subsequently measured at fair value
\n
through profit or loss (FVTPL), fair value through other comprehensive income (FVOCI) or amortized cost based on our business
\n
model for managing the financial instruments and the contractual cash flow characteristics of the instrument.
\n
Debt instruments are measured at amortized cost if both of the following conditions are met and the asset is not designated
\n
as FVTPL: (a) the asset is held within a business model that is Held-to-Collect (HTC) as described below, and (b) the contractual
\n
terms of the instrument give rise to cash flows that are solely payments of principal and interest on the principal amount
\n
outstanding (SPPI).
\n
Debt instruments are measured at FVOCI if both of the following conditions are met and the asset is not designated as
\n
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
\n
contractual terms of the instrument give rise, on specified dates, to cash flows that are SPPI.
\n
All other debt instruments are measured at FVTPL.
\n
Equity instruments are measured at FVTPL, unless the asset is not held for trading purposes and we make an irrevocable
\n
election to designate the asset as FVOCI. This election is made on an instrument-by-instrument basis.
\n
Business model assessment
\n
We determine our business models at the level that best reflects how we manage portfolios of financial assets to achieve our
\n
business objectives. Judgment is used in determining our business models, which is supported by relevant, objective evidence
\n
including:
\n
\u2022
How the economic activities of our businesses generate benefits, for example through trading revenue, enhancing yields
\n
or hedging funding or other costs and how such economic activities are evaluated and reported to key management
\n
personnel;
\n
\u2022
The significant risks affecting the performance of our businesses, for example, market risk, credit risk, or other risks as
\n
described in the Risk Management section of the MD&A, and the activities undertaken to manage those risks;
\n
\u2022
Historical and future expectations of sales of the loans or securities portfolios managed as part of a business model;
\n
and
\n
\u2022
The compensation structures for managers of our businesses, to the extent that these are directly linked to the
\n
economic performance of the business model.
\n
Our business models fall into three categories, which are indicative of the key strategies used to generate returns:
\n
\u2022
HTC: The objective of this business model is to hold loans and securities to collect contractual principal and interest
\n
cash flows. Sales are incidental to this objective and are expected to be insignificant or infrequent.
\n
\u2022
HTC&S: Both collecting contractual cash flows and sales are integral to achieving the objective of the business model.
\n
\u2022
Other fair value business models: These business models are neither HTC nor HTC&S, and primarily represent business
\n
models where assets are held-for-trading or managed on a fair value basis.
SPPI assessment
\n
Instruments held within a HTC or HTC&S business model are assessed to evaluate if their contractual cash flows are comprised
\n
of solely payments of principal and interest. SPPI payments are those which would typically be expected from basic lending
\n
arrangements. Principal amounts include par repayments from lending and financing arrangements, and interest primarily
\n
relates to basic lending returns, including compensation for credit risk and the time value of money associated with the principal
\n
amount outstanding over a period of time. Interest can also include other basic lending risks and costs (for example, liquidity
\n
risk, servicing or administrative costs) associated with holding the financial asset for a period of time, and a profit margin.
\n
Where the contractual terms introduce exposure to risk or variability of cash flows that are inconsistent with a basic lending
\narrangement, the related financial asset is classified and measured at FVTPL.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00782": { "value": "Securities
Trading securities include all securities that are classified as FVTPL by nature and securities designated as FVTPL. Obligations to
\n
deliver trading securities sold but not yet purchased are recorded as liabilities and carried at fair value. Realized and unrealized
\n
gains and losses on these securities are generally recorded in Non-interest income \u2013 Trading revenue or Non-interest income \u2013
\n
Other except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment
\n
result. Dividends and interest income accruing on Trading securities are recorded in Interest and dividend income except for
\n
amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Interest
\n
and dividends accrued on securities sold short are recorded in Interest expense.
\n
Investment securities include all securities classified as FVOCI and amortized cost. All investment securities are initially
\n
recorded at fair value and subsequently measured according to the respective classification.
\n
Investment securities carried at amortized cost are measured using the effective interest method, and are presented net of
\n
any allowance for credit losses, calculated in accordance with our policy for Allowance for credit losses, as described below.
\n
Interest income, including the amortization of premiums and discounts on securities measured at amortized cost are recorded in
\n
Interest and dividend income. Impairment gains or losses recognized on amortized cost securities are recorded in Provision for
\n
credit losses (PCL). When a debt instrument measured at amortized cost is sold, the difference between the sale proceeds and
\n
the amortized cost of the security at the time of the sale is recorded as Net gains on investment securities in Non-interest
\n
income.
\n
Debt securities carried at FVOCI are measured at fair value with unrealized gains and losses arising from changes in fair
\n
value included in Other components of equity. Impairment gains and losses are included in PCL and correspondingly reduce the
\n
accumulated changes in fair value included in Other components of equity. When a debt instrument measured at FVOCI is sold,
\n
the cumulative gain or loss is reclassified from Other components of equity to Non-interest income \u2013 Net gains on investment
\n
securities, or Non-interest income \u2013 Insurance investment result if relating to the Insurance segment.
\n
Equity securities carried at FVOCI are measured at fair value. Unrealized gains and losses arising from changes in fair value
\n
are recorded in Other components of equity and not subsequently reclassified to profit or loss when realized. Dividends from
\n
FVOCI equity securities are recognized in Interest and dividend income except for amounts relating to the Insurance segment,
\n
which are recorded in Non-interest income \u2013 Insurance investment result.
\n
We account for all of our securities using settlement date accounting and changes in fair value between the trade date and
\n
settlement date are reflected in income for securities measured at FVTPL, and changes in the fair value of securities measured at
\n
FVOCI between the trade and settlement dates are recorded in OCI except for changes in foreign exchange rates on debt
\nsecurities, which are recorded in Non-interest income.", "dimensions": { "concept": "ry:DescriptionOfAccountingPolicyForSecuritiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00783": { "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
\n
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
\n
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
\n
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
\n
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
\n
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
\n
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
\n
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
\n
FVTPL category while they are held or issued.
\n
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair
\n
value is included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose
\n
for holding the financial asset.
\n
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
\n
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
\n
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
\n
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability, except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Upon initial
\n
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
\n
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
\n
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
\n
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
\n
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
\n
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
\n
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
\nterm 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00784": { "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
\n
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
\n
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
\n
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
\n
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
\n
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
\n
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
\n
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
\n
FVTPL category while they are held or issued.
\n
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair
\n
value is included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose
\n
for holding the financial asset.
\n
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
\n
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
\n
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
\n
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability, except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Upon initial
\n
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
\n
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
\n
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
\n
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
\n
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
\n
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
\n
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
\nterm 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00785": { "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
\n
recognition even if the financial instrument was not acquired or incurred principally for the purpose of selling or repurchasing.
\n
The fair value option can be used for financial assets if it eliminates or significantly reduces a measurement or recognition
\n
inconsistency that would otherwise arise from measuring assets or liabilities, or recognizing related gains and losses on a
\n
different basis (an accounting mismatch). The fair value option can be elected for financial liabilities if: (i) the election eliminates
\n
an accounting mismatch; (ii) the financial liability is part of a portfolio that is managed on a fair value basis, in accordance with a
\n
documented risk management or investment strategy; or (iii) there is an embedded derivative in the financial or non-financial
\n
host contract and the derivative is not closely related to the host contract. These instruments cannot be reclassified out of the
\n
FVTPL category while they are held or issued.
\n
Financial assets designated as FVTPL are recorded at fair value and any unrealized gain or loss arising due to changes in fair
\n
value is included in Non-interest income \u2013 Trading revenue or Non-interest income \u2013 Other, depending on our business purpose
\n
for holding the financial asset.
\n
Financial liabilities designated as FVTPL are recorded at fair value and fair value changes attributable to changes in our own
\n
credit risk are recorded in OCI. Own credit risk amounts recognized in OCI will not be reclassified subsequently to net income.
\n
The remaining fair value changes not attributable to changes in our own credit risk are recorded in Non-interest income \u2013 Trading
\n
revenue or Non-interest income \u2013 Other, depending on our business purpose for holding the financial liability, except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. Upon initial
\n
recognition, if we determine that presenting the effects of own credit risk changes in OCI would create or enlarge an accounting
\n
mismatch in net income, the full fair value change in our debt designated as FVTPL is recognized in net income. To make that
\n
determination, we assess whether we expect that the effects of changes in the liability\u2019s credit risk will be offset in profit or loss
\n
by a change in the fair value of another financial instrument measured at FVTPL. Such an expectation is based on an economic
\n
relationship between the characteristics of the liability and the characteristics of the other financial instrument. The
\n
determination is made at initial recognition and is not reassessed. To determine the fair value adjustments on our debt
\n
instruments designated as FVTPL, we calculate the present value of the instruments based on the contractual cash flows over the
\n
term of the arrangement by using our effective funding rate at the beginning and end of the period.
\n
Determination of fair value
\n
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
\n
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
\n
market participants would consider in setting a price, including commonly accepted valuation approaches.
\n
The Board of Directors provides oversight on valuation of financial instruments, primarily through the Audit Committee and
\n
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
\n
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
\n
these instruments.
\n
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
\n
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
\n
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
\n
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
\n
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
\n
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
\n
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
\n
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
\n
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
\n
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
\n
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
\n
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
\n
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
\n
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
\n
are approved for use within our model risk management framework. The framework addresses, among other things, model
\n
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
\n
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
\n
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
\n
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
\n
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
\n
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
\n
exposure to market or credit risk.
\n
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
\n
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
\n
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
\n
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
\n
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
\n
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
\n
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
\n
may differ from its fair recorded value previously estimated using management judgment.
\n
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
\n
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
\n
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
\n
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
\n
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
\n
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
\n
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
\n
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
\n
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
\n
changes are recorded in Non-interest income \u2013 Trading revenue.
\n
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
\n
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
\n
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
\n
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
\n
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
\n
other observable market transactions based on a valuation technique incorporating observable market data.
\n
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
\n
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
\n
mid-market price to either the bid or offer price.
\n
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
\n
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
\n
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
\n
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
\n
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
\n
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
\n
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
\n
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
\n
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
\n
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
\n
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
\n
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
\n
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
\n
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
\n
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
\n
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
\n
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
\n
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
\n
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
\n
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
\n
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
\n
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
\nsuch instances.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00786": { "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
\n
orderly transaction between market participants at the measurement date. We determine fair value by incorporating factors that
\n
market participants would consider in setting a price, including commonly accepted valuation approaches.
\n
The Board of Directors provides oversight on valuation of financial instruments, primarily through the Audit Committee and
\n
Risk Committee. The Audit Committee reviews the presentation and disclosure of financial instruments that are measured at fair
\n
value, while the Risk Committee assesses the adequacy of governance structures and control processes for the valuation of
\n
these instruments.
\n
We have established policies, procedures and controls for valuation methodologies and techniques to ensure that fair value
\n
is reasonably estimated. Major valuation processes and controls include, but are not limited to, profit and loss decomposition,
\n
independent price verification (IPV) and model validation standards. These control processes are managed by either Finance or
\n
Group Risk Management and are independent of the relevant businesses and their trading functions. Profit and loss
\n
decomposition is a process to explain the fair value changes of certain positions and is performed daily for trading portfolios. All
\n
fair value instruments are subject to IPV, a process whereby trading function valuations are verified against external market
\n
prices and other relevant market data. Market data sources include traded prices, brokers and price vendors. We give priority to
\n
those third-party pricing services and prices having the highest and most consistent accuracy. The level of accuracy is
\n
determined over time by comparing third-party price values to traders\u2019 or system values, other pricing service values and, when
\n
available, actual trade data. Quoted prices for identical instruments from pricing services or brokers are generally not adjusted
\n
unless there are issues such as stale prices. If multiple quotes for identical instruments are received, fair value is based on an
\n
average of the prices received or the quote from the most reliable vendor, after the outlier prices that fall outside of the pricing
\n
range are removed. Other valuation techniques are used when a price or quote is not available. Some valuation processes use
\n
models to determine fair value. We have a systematic and consistent approach to control the use of models. Valuation models
\n
are approved for use within our model risk management framework. The framework addresses, among other things, model
\n
development standards, validation processes and procedures and approval authorities. Model validation ensures that a model is
\n
suitable for its intended use and sets parameters for its use. All models are revalidated regularly by qualified personnel who are
\n
independent of the model design and development. Annually, our model risk profile is reported to the Board of Directors.
\n
IFRS 13
Fair Value Measurement
permits an exception, through an accounting policy choice, to measure the fair value of a
\n
portfolio of financial instruments on a net open risk position basis when certain criteria are met. We have elected to use this
\n
policy choice to determine the fair value of certain portfolios of financial instruments, primarily derivatives, based on a net
\n
exposure to market or credit risk.
\n
We record valuation adjustments to appropriately reflect counterparty credit quality of our derivative portfolio, differences
\n
between the actual counterparty collateral discount curve and standard overnight index swap (OIS) discounting for
\n
collateralized derivatives, funding valuation adjustments (FVA) for uncollateralized and under-collateralized over-the-counter
\n
(OTC) derivatives, unrealized gains or losses at inception of the transaction, bid-offer spreads, unobservable parameters and
\n
model limitations. These adjustments may be subjective as they require significant judgment in the input selection, such as
\n
implied probability of default (PD) and recovery rate, and are intended to arrive at a fair value that is determined based on
\n
assumptions that market participants would use in pricing the financial instrument. The ultimate realized price for a transaction
\n
may differ from its fair recorded value previously estimated using management judgment.
\n
Valuation adjustments are recorded for the credit risk of our derivative portfolios in order to arrive at their fair values. Credit
\n
valuation adjustments (CVA) take into account our counterparties\u2019 creditworthiness, the current and potential future
\n
mark-to-market of transactions and the effects of credit mitigants such as master netting and collateral agreements. CVA
\n
amounts are derived from estimates of exposure at default (EAD), PD, recovery rates on a counterparty basis and market and
\n
credit factor correlations. EAD is the value of expected derivative related assets and liabilities at the time of default, estimated
\n
through modelling using underlying risk factors. PD is implied from the market prices for credit protection and the credit ratings
\n
of the counterparty. When market data is unavailable, it is estimated by incorporating assumptions and adjustments that market
\n
participants would use for determining fair value using these inputs. Correlation is the statistical measure of how credit and
\n
market factors may move in relation to one another. Correlation is estimated using historical data. CVA is calculated daily and
\n
changes are recorded in Non-interest income \u2013 Trading revenue.
\n
FVA is also calculated to incorporate the cost and benefit of funding in the valuation of uncollateralized and under-
\n
collateralized OTC derivatives. Future expected cash flows of these derivatives are discounted to reflect the cost and benefit of
\n
funding the derivatives by using a funding curve, implied volatilities and correlations as inputs.
\n
Where required, a valuation adjustment is made to reflect the unrealized gain or loss at inception of a financial instrument
\n
contract where the fair value of that financial instrument is not obtained from a quoted market price or cannot be evidenced by
\n
other observable market transactions based on a valuation technique incorporating observable market data.
\n
A bid-offer valuation adjustment is required when a financial instrument is valued at the mid-market price, instead of the bid
\n
or offer price for asset or liability positions, respectively. The valuation adjustment takes into account the spread from the
\n
mid-market price to either the bid or offer price.
\n
Some valuation models require parameter calibration from such factors as market observable option prices. The calibration
\n
of parameters may be sensitive to factors such as the choice of instruments or optimization methodology. A valuation
\n
adjustment is also estimated to mitigate the uncertainties of parameter calibration and model limitations.
\n
In determining fair value, a hierarchy is used which prioritizes the inputs to valuation techniques. The fair value hierarchy
\n
gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest
\n
priority to unobservable inputs (Level 3). Determination of fair value based on this hierarchy requires the use of observable
\n
market data whenever available. Level 1 inputs are unadjusted quoted prices in active markets for identical assets or liabilities
\n
that we have the ability to access at the measurement date. Level 2 inputs include quoted prices for similar assets or liabilities in
\n
active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and model inputs that are
\n
either observable, or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
\n
Level 3 inputs include one or more inputs that are unobservable and significant to the fair value of the asset or liability.
\n
Unobservable inputs are used to measure fair value to the extent that observable inputs are not available at the measurement
\n
date. The availability of inputs for valuation may affect the selection of valuation techniques. The classification of a financial
\n
instrument in the fair value hierarchy for disclosure purposes is based upon the lowest level of input that is significant to the
\n
measurement of fair value.
Where observable prices or inputs are not available, management judgment is required to determine fair values by
\n
assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through
\n
extrapolation and interpolation techniques. For more complex or illiquid instruments, significant judgment is required in the
\n
determination of the model used, the selection of model inputs, and in some cases, the application of valuation adjustments to
\n
the model value or quoted price for inactively traded financial instruments. The selection of model inputs may be subjective and
\n
the inputs may be unobservable. Unobservable inputs are inherently uncertain as there is little or no market data available from
\n
which to determine the level at which the transaction would occur under normal business circumstances. Appropriate parameter
\n
uncertainty and market risk valuation adjustments for such inputs and other model risk valuation adjustments are assessed in all
\nsuch instances.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00787": { "value": "Loans
Loans are debt instruments recognized initially at fair value and are subsequently measured in accordance with the
\n
Classification of financial assets policy provided above. The majority of our loans are carried at amortized cost using the
\n
effective interest method, which represents the gross carrying amount less allowance for credit losses.
\n
Interest on loans is recognized using the effective interest method and recorded in Interest income except for amounts
\n
relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment. The estimated future cash
\n
flows used in this calculation include those determined by the contractual term of the asset and all fees that are considered to be
\n
integral to the effective interest rate. Also included in this amount are transaction costs and all other premiums or discounts.
\n
Fees that relate to activities such as originating, restructuring or renegotiating loans are deferred and recognized as Interest
\n
income over the expected term of such loans using the effective interest method. Where there is a reasonable expectation that a
\n
loan will be originated, commitment and standby fees are also recognized as interest income over the expected term of the
\n
resulting loans using the effective interest method. Otherwise, such fees are recorded as other liabilities and amortized into
\n
Non-interest income over the commitment or standby period. Future prepayment fees on mortgage loans are not included as part
\n
of the effective interest rate at origination. If prepayment fees are received on a renewal of a mortgage loan before maturity, the
\n
fee is included as part of the effective interest rate, and if not renewed, the prepayment fee is recognized in interest income at
\n
the prepayment date.
\n
For loans carried at amortized cost or FVOCI, impairment losses are recognized at each balance sheet date in accordance
\nwith the three-stage impairment model outlined below.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForLoansAndReceivablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00788": { "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
\n
FVTPL and equity securities designated as FVOCI, which are not subject to impairment assessment. Assets subject to impairment
\n
assessment include loans, debt securities, interest-bearing deposits with banks, customers\u2019 liability under acceptances, accounts
\n
and accrued interest receivable, and finance and operating lease receivables. ACL on loans measured at amortized cost is
\n
presented in Allowance for loan losses. ACL on debt securities measured at FVOCI is presented in Other components of equity.
\n
Other financial assets carried at amortized cost are presented net of ACL on our Consolidated Balance Sheets.
\n
Off-balance sheet items subject to impairment assessment include financial guarantees and undrawn loan commitments.
\n
ACL on off-balance sheet items is separately calculated and included in Other Liabilities \u2013 Provisions.
\n
We measure the ACL on each balance sheet date according to a three-stage expected credit loss impairment model:
\n
\u2022
Performing financial assets
\n
\u2022
Stage 1 \u2013 From initial recognition of a financial asset to the date on which the asset has experienced a significant
\n
increase in credit risk relative to its initial recognition, a loss allowance is recognized equal to the credit losses
\n
expected to result from defaults occurring over the 12 months following the reporting date.
\n
\u2022
Stage 2 \u2013 Following a significant increase in credit risk relative to the initial recognition of the financial asset, a loss
\n
allowance is recognized equal to the credit losses expected over the remaining lifetime of the asset.
\n
\u2022
Impaired financial assets
\n
\u2022
Stage 3 \u2013 When a financial asset is considered to be credit-impaired, a loss allowance is recognized equal to credit
\n
losses expected over the remaining lifetime of the asset. Interest income is calculated based on the carrying
\n
amount of the asset, net of the loss allowance, rather than on its gross carrying amount.
\n
The ACL is a discounted probability-weighted estimate of the cash shortfalls expected to result from defaults over the relevant
\n
time horizon. For loan commitments, credit loss estimates consider the portion of the commitment that is expected to be drawn
\n
over the relevant time period. For financial guarantees, credit loss estimates are based on the expected payments required under
\n
the guarantee contract. For finance lease receivables, credit loss estimates are based on cash flows consistent with the cash
\n
flows used in measuring the lease receivable.
\n
Increases or decreases in the required ACL attributable to model changes and new originations, sales or maturities, and
\n
changes in risk, parameters and exposures due to changes in loss expectations or stage transfers are recorded in PCL. Write-offs
\n
and recoveries of amounts previously written off are recorded against ACL.
\n
The ACL represents an unbiased estimate of expected credit losses on our financial assets as at the balance sheet date.
\n
Judgment is required in making assumptions and estimations when calculating the ACL, including movements between the three
\n
stages and the application of forward-looking information. The underlying assumptions and estimates may result in changes to
\n
the provisions from period to period that significantly affect our results of operations.
\n
Measurement of expected credit losses
\n
Expected credit losses are based on a range of possible outcomes and consider all available reasonable and supportable
\n
information, including internal and external ratings, historical credit loss experience and expectations about future cash flows.
\n
The measurement of expected credit losses is based primarily on the product of the instrument\u2019s PD, loss given default (LGD),
\n
and EAD discounted to the reporting date. The main difference between Stage 1 and Stage 2 expected credit losses for performing
\n
financial assets is the respective calculation horizon. Stage 1 estimates project PD, LGD and EAD over a maximum period of
\n
12 months while Stage 2 estimates project PD, LGD and EAD over the remaining lifetime of the instrument.
\n
An expected credit loss estimate is produced for each individual exposure. Relevant parameters are modelled on a collective
\n
basis using portfolio segmentation that allows for appropriate incorporation of forward-looking information. To reflect other
\n
characteristics that are not already considered through modelling, expert credit judgment is exercised in determining the final
\n
expected credit losses.
\n
For a small percentage of our portfolios which lack detailed historical information and/or loss experience, we apply
\n
simplified measurement approaches that may differ from what is described above. These approaches have been designed to
\n
maximize the available information that is reliable and supportable for each portfolio and may be collective in nature.
\n
Expected credit losses are discounted to the reporting period date using the effective interest rate.
\n
Expected life
\n
For instruments in Stage 2 or Stage 3, loss allowances reflect expected credit losses over the expected remaining lifetime of the
\n
instrument. For most instruments, the expected life is limited to the remaining contractual life.
\n
An exemption is provided for certain instruments with the following characteristics: (a) the instrument includes both a loan
\n
and undrawn commitment component; (b) we have the contractual ability to demand repayment and cancel the undrawn
\n
commitment; and (c) our exposure to credit losses is not limited to the contractual notice period. For products in scope of this
\n
exemption, the expected life may exceed the remaining contractual life and is the period over which our exposure to credit losses
\n
is not mitigated by our normal credit risk management actions. This period varies by product and risk category and is estimated
\n
based on our historical experience with similar exposures and consideration of credit risk management actions taken as part of
\n
our regular credit review cycle. Products in scope of this exemption include credit cards, overdraft balances and certain revolving
\n
lines of credit. Judgment is required in determining the instruments in scope for this exemption and estimating the appropriate
\n
remaining life based on our historical experience and credit risk mitigation practices.
\n
Assessment of significant increase in credit risk
\n
The assessment of significant increase in credit risk requires significant judgment. Movements between Stage 1 and Stage 2 are
\n
based on whether an instrument\u2019s credit risk as at the reporting date has increased significantly relative to the date it was
\n
initially recognized. For the purposes of this assessment, credit risk is based on an instrument\u2019s lifetime PD, not the losses we
\n
expect to incur. The assessment is generally performed at the instrument level.
\n
Our assessment of significant increases in credit risk is performed at least quarterly based on three factors. If any of the
\n
following factors indicates that a significant increase in credit risk has occurred, the instrument is moved from Stage 1 to Stage 2:
\n
(1)
We have established thresholds for significant increases in credit risk based on both a percentage and absolute change
\n
in lifetime PD relative to initial recognition. For our wholesale portfolio, a decrease in the borrower\u2019s risk rating is also
\n
required to determine that credit risk has increased significantly.
\n
(2)
Additional qualitative reviews may be performed, as necessary, to assess the staging results, which may lead to
\n
adjustments to better reflect the positions whose credit risk has increased significantly. These reviews are completed at
\n
both the individual borrower levels and the portfolio level and may result in an instrument, a portfolio or a portion of a
\n
portfolio moving from Stage 1 to Stage 2.
\n
(3)
Instruments which are 30 days past due are generally considered to have experienced a significant increase in credit
\n
risk, even if our other metrics do not indicate that a significant increase in credit risk has occurred.
\n
The thresholds for movement between Stage 1 and Stage 2 are symmetrical. After a financial asset has transferred to Stage 2, if
\n
its credit risk is no longer considered to have significantly increased relative to its initial recognition, the financial asset will
\n
move back to Stage 1.
\n
For certain instruments with low credit risk as at the reporting date, it is presumed that credit risk has not increased
\n
significantly relative to initial recognition. Credit risk is considered to be low if the instrument has a low risk of default, and the
\n
borrower has the ability to fulfill their contractual obligations both in the near term and in the longer term, including periods of
\n
adverse changes in the economic or business environment. Certain interest-bearing deposits with banks, assets purchased under
\n
reverse repurchase agreements, insurance policy loans, and liquidity facilities extended to our multi-seller conduits have been
\n
identified as having low credit risk.
\n
Use of forward-looking information
\n
The measurement of expected credit losses for each stage and the assessment of significant increase in credit risk considers
\n
information about past events and current conditions as well as reasonable and supportable projections of future events and
\n
economic conditions. The estimation and application of forward-looking information requires significant judgment.
\n
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 2 credit loss allowances are modelled based on the
\n
macroeconomic variables (or changes in macroeconomic variables) that are most closely correlated with credit losses in the
\n
relevant portfolio. Each macroeconomic scenario used in our expected credit loss calculation includes a projection of all
\n
relevant macroeconomic variables used in our models for a five-year period, subsequently reverting to long-run averages.
\n
Macroeconomic variables used in our expected credit loss models include, but are not limited to, unemployment rates, gross
\n
domestic product growth rates, equity return indices, commodity prices, and Canadian housing prices. Depending on their usage
\n
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
\n
a minimum of three future macroeconomic scenarios. Our base case scenario is based on macroeconomic forecasts published
\n
by our internal economics group. The published forecasts are developed from models based on historical macroeconomic data,
\n
derived from public sources and financial markets. Upside and downside scenarios vary relative to our base case scenario based
\n
on reasonably possible alternative macroeconomic conditions. Additional and more severe downside scenarios are designed to
\n
capture a broader range of potential credit losses in certain sectors. Scenario design, including the identification of additional
\n
downside scenarios, occurs at least on an annual basis and more frequently if conditions warrant.
\n
Scenarios are designed to capture a wide range of possible outcomes and weighted according to our best estimate of the
\n
relative likelihood of the range of outcomes that each scenario represents. Scenario weights take into account historical
\n
frequency, current trends, and forward-looking conditions and are updated on a quarterly basis. All scenarios considered are
\n
applied to all portfolios subject to expected credit losses with the same probabilities.
\n
Our assessment of significant increases in credit risk is based on changes in probability-weighted forward-looking lifetime
\n
PDs as at the reporting date, using the same macroeconomic scenarios as the calculation of expected credit losses.
\n
Definition of default
\n
The definition of default used in the measurement of expected credit losses is consistent with the definition of default used for
\n
our internal credit risk management purposes. Our definition of default may differ across products and consider both
\n
quantitative and qualitative factors, such as the terms of financial covenants and days past due. For retail and wholesale
\n
borrowers, except as detailed below, default occurs when the borrower is more than 90 days past due on any material obligation
\n
to us, and/or we consider the borrower unlikely to make their payments in full without recourse action on our part, such as taking
\n
formal possession of any collateral held. For certain credit card balances, default occurs when payments are 180 days past due.
\n
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
\n
and recovery rates experienced on historical credit card portfolios. The definition of default used is applied consistently from
\n
period to period and to all financial instruments unless it can be demonstrated that circumstances have changed such that
\n
another definition of default is more appropriate.
\n
Credit-impaired financial assets (Stage 3)
\n
Financial assets are assessed for credit-impairment at each balance sheet date and more frequently when circumstances
\n
warrant further assessment. Evidence of credit-impairment may include indications that the borrower is experiencing significant
\n
financial difficulty, probability of bankruptcy or other financial reorganization, as well as a measurable decrease in the estimated
\n
future cash flows evidenced by the adverse changes in the payments status of the borrower or economic conditions that
\n
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
\n
considered to be credit-impaired. The asset will transfer back to Stage 1 when its credit risk at the reporting date is no longer
\n
considered to have increased significantly from initial recognition, which could occur during the same reporting period as the
\n
transfer from Stage 3 to Stage 2.
\n
When a financial asset has been identified as credit-impaired, expected credit losses are measured as the difference
\n
between the asset\u2019s gross carrying amount and the present value of estimated future cash flows discounted at the instrument\u2019s
\n
original effective interest rate. For impaired financial assets with drawn and undrawn components, expected credit losses also
\n
reflect any credit losses related to the portion of the loan commitment that is expected to be drawn down over the remaining life
\n
of the instrument.
\n
When a financial asset is credit-impaired, interest ceases to be recognized on the regular accrual basis, which accrues
\n
income based on the gross carrying amount of the asset. Rather, interest income is calculated by applying the original effective
\n
interest rate to the amortized cost of the asset, which is the gross carrying amount less the related ACL.
\n
ACL for credit-impaired loans in Stage 3 are established at the borrower level, where losses related to impaired loans are
\n
identified on individually significant loans, or collectively assessed and determined through the use of portfolio-based rates,
\n
without reference to particular loans.
\n
Individually assessed loans (Stage 3)
\n
When individually significant loans are identified as impaired, we reduce the carrying value of the loans to their estimated
\n
realizable value by recording an individually assessed ACL to cover identified credit losses. The individually assessed ACL
\n
reflects the expected amount of principal and interest calculated under the terms of the original loan agreement that will not be
\n
recovered, and the impact of time delays in collecting principal and/or interest (time value of money). The estimated realizable
\n
value for each individually significant loan is the present value of expected future cash flows discounted using the original
\n
effective interest rate for each loan. When the amounts and timing of future cash flows cannot be estimated with reasonable
\n
reliability, the estimated realizable amount may be determined using observable market prices for comparable loans, the fair
\n
value of collateral underlying the loans, and other reasonable and supported methods based on management judgment.
\n
Individually-assessed allowances are established in consideration of a range of possible outcomes, which may include
\n
macroeconomic or non-macroeconomic scenarios, to the extent relevant to the circumstances of the specific borrower being
\n
assessed. Assumptions used in estimating expected future cash flows reflect current and expected future economic conditions
\n
and are generally consistent with those used in Stage 1 and Stage 2 measurement.
\n
Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
\n
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
\n
impact on PCL and may result in a change in the ACL.
\n
Collectively assessed loans (Stage 3)
\n
Loans that are collectively assessed are grouped on the basis of similar risk characteristics, taking into account loan type,
\n
industry, geographic location, collateral type, past due status and other relevant factors.
\n
The collectively-assessed ACL reflects: (i) the expected amount of principal and interest calculated under the terms of the
\n
original loan agreement that will not be recovered, and (ii) the impact of time delays in collecting principal and/or interest (time
\n
value of money).
\n
The expected principal and interest collection is estimated on a portfolio basis and references historical loss experience of
\n
comparable portfolios with similar credit risk characteristics, adjusted for the current environment and expected future
\n
conditions. A portfolio specific coverage ratio is applied against the impaired loan balance in determining the collectively-
\n
assessed ACL. The time value of money component is calculated by using the discount factors applied to groups of loans sharing
\n
common characteristics. The discount factors represent the expected recovery pattern of the comparable group of loans, and
\n
reflect the historical experience of these groups adjusted for current and expected future economic conditions and/or industry
\n
factors. Significant judgment is required in assessing evidence of credit-impairment and estimation of the amount and timing of
\n
future cash flows when determining expected credit losses. Changes in the amount expected to be recovered would have a direct
\n
impact on PCL and may result in a change in the ACL.
\n
Write-off of loans
\n
Loans and the related ACL are written off, either partially or in full, when there is no realistic prospect of recovery. Where loans
\n
are secured, they are generally written off after receipt of any proceeds from the realization of collateral. In circumstances where
\n
the net realizable value of any collateral has been determined and there is no reasonable expectation of further recovery, write
\n
off may be earlier. For credit cards, the balances and related ACL are generally written off when payment is 180 days past due.
\n
Personal loans are generally written off at 150 days past due.
\n
Modifications
\n
The original terms of a financial asset may be renegotiated or otherwise modified, resulting in changes to the contractual terms
\n
of the financial asset that affect the contractual cash flows. The treatment of such modifications is primarily based on the
\n
process undertaken to execute the renegotiation and the nature and extent of the expected changes. In the normal course of
\n
business, modifications which are performed for credit reasons, primarily related to troubled debt restructurings, are generally
\n
treated as modifications of the original financial asset. Modifications which are performed for other than credit reasons are
\n
generally considered to be an expiry of the original cash flows; accordingly, such renegotiations are treated as a derecognition of
\n
the original financial asset and recognition of a new financial asset.
\n
If a modification of terms does not result in derecognition of the financial asset, the carrying amount of the financial asset is
\n
recalculated as the present value of the renegotiated or modified contractual cash flows, discounted at the original effective
\n
interest rate and a gain or loss is recognized. The financial asset continues to be subject to the same assessments for significant
\n
increase in credit risk relative to initial recognition and credit-impairment, as described above. A modified financial asset will
\n
transfer out of Stage 3 if the conditions that led to it being identified as credit-impaired are no longer present and relate
\n
objectively to an event occurring after the original credit-impairment was recognized. A modified financial asset will transfer out
\n
of Stage 2 when it no longer satisfies the relative thresholds set to identify significant increases in credit risk, which are based on
\n
changes in its lifetime PD, days past due and other qualitative considerations. The financial asset continues to be monitored for
\n
significant increases in credit risk and credit-impairment.
\n
If a modification of terms results in derecognition of the original financial asset and recognition of the new financial asset,
\n
the new financial asset will generally be recorded in Stage 1, unless it is determined to be credit-impaired at the time of the
\n
renegotiation. For the purposes of assessing for significant increases in credit risk, the date of initial recognition for the new
\nfinancial asset is the date of the modification.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00789": { "value": "Derivatives
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
\n
instruments. If the host contract is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification
\n
and measurement criteria are applied to the entire hybrid instrument as described in the Classification of financial assets
\n
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
\n
derivatives are separately recognized if the economic characteristics and risks of the embedded derivative are not clearly and
\n
closely related to the host contract, unless an election has been made to elect the fair value option, as described above. The host
\n
contract is accounted for in accordance with the relevant standards. Embedded derivatives are presented on a combined basis
\n
with the host contracts.
\n
All derivative instruments are recorded on our Consolidated Balance Sheets at fair value, inclusive of valuation adjustments.
\n
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are recognized
\n
in Non-interest income \u2013 Trading revenue. When derivatives are used to manage our own exposures, we determine for each
\n
derivative whether hedge accounting can be applied, as discussed in the Hedge accounting section below. For derivatives used
\n
to manage our own exposures where we do not apply hedge accounting, the realized and unrealized gains and losses are
\nprimarily recognized in Non-interest income \u2013 Other.Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
\n
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
\n
and other market risks. Our hedging strategies include the use of fair value hedges, cash flow hedges and net investment hedges.
\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. We assess,
\n
both at the inception of the hedge and on an ongoing basis, whether the hedging instruments are \u2018highly effective\u2019 in offsetting
\n
changes in the fair value or cash flows of the hedged items. A hedge is regarded as highly effective only if the following criteria
\n
are met: (i) at inception of the hedge and throughout its life, the hedge is expected to be highly effective in achieving offsetting
\n
changes in fair value or cash flows attributable to the hedged risk, and (ii) actual results of the hedge are within a pre-determined
\n
range. We perform effectiveness testing to demonstrate that the relationship has been and is expected to be effective over the
\n
remaining term of the hedge. In the case of hedging a forecast transaction, the transaction must have a high probability of
\n
occurring and must present an exposure to variations in cash flows that could ultimately affect the reported net profit or loss.
\n
Hedge accounting is discontinued when it is determined that the hedging instrument is no longer effective as a hedge, the
\n
hedging instrument or hedged item is terminated or sold, or the forecast transaction is no longer deemed highly probable. Refer
\n
to Note 9 for the fair value of derivatives and non-derivative instruments categorized by their hedging relationships, as well as
\n
derivatives that are not designated in hedging relationships.
\n
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transitioned to alternative
\n
benchmark rates (ABRs), our prospective effectiveness testing was based on existing hedged cash flows or hedged risks and any
\n
ineffectiveness arising from retrospective testing did not result in a discontinuation of the hedge. Additionally, effectiveness
\n
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
\n
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
\n
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
\n
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
\n
relationships fully transitioned to ABRs, and provided qualifying criteria were met, we amended the related hedge documentation
\n
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
\n
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
\n
Fair value hedges
\n
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
\n
hedged risk and recognized in Non-interest income \u2013 Other. Changes in fair value of the hedged item, to the extent that the
\n
hedging relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
\n
Non-interest income \u2013 Other. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted
\n
and the cumulative fair value adjustments to the carrying value of the hedged items are amortized to Non-interest income \u2013
\n
Other over the expected remaining life of the hedged items.
\n
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
\n
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we
\n
applied hedge accounting to IBOR rates which may not have been contractually specified if that rate was separately identifiable
\n
and reliably measurable at the inception of the hedge relationship.
\n
Cash flow hedges
\n
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
\n
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
\n
portion is recognized in Non-interest income \u2013 Other. When hedge accounting is discontinued, the cumulative amounts
\n
previously recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of
\n
the hedged item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to
\n
Non-interest income \u2013 Other when the hedged item is sold or terminated early, or when the forecast transaction is no longer
\n
expected to occur.
\n
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
\n
Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we treated the highly probable hedged IBORs
\n
based cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform.
\n
In addition, associated cash flow hedge reserves were not recycled into net income solely due to changes related to the
\n
transition from IBORs to ABRs. Subsequently, when some items in the group transitioned to ABRs before other items, the
\n
individual hedged items were allocated to subgroups based on the benchmark interest rate being hedged. We tested hedge
\n
effectiveness based on the defined subgroups, in accordance with the Amendments, if eligibility requirements were met. If a
\n
subgroup failed the eligibility requirements, we would have discontinued hedge accounting prospectively for the hedging
\n
relationship in its entirety.
\n
Net investment hedges
\n
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
\n
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
\n
recognized in Non-interest income \u2013 Other. The amounts, or a portion thereof, previously recognized in Other components of
\n
equity are recognized in Net income on the disposal, or partial disposal, of the foreign operation.
\n
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
\nto 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00790": { "value": "Derivatives
When derivatives are embedded in other financial instruments or host contracts, such combinations are known as hybrid
\n
instruments. If the host contract is a financial asset within the scope of IFRS 9
Financial Instruments
(IFRS 9), the classification
\n
and measurement criteria are applied to the entire hybrid instrument as described in the Classification of financial assets
\n
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
\n
derivatives are separately recognized if the economic characteristics and risks of the embedded derivative are not clearly and
\n
closely related to the host contract, unless an election has been made to elect the fair value option, as described above. The host
\n
contract is accounted for in accordance with the relevant standards. Embedded derivatives are presented on a combined basis
\n
with the host contracts.
\n
All derivative instruments are recorded on our Consolidated Balance Sheets at fair value, inclusive of valuation adjustments.
\n
When derivatives are used in trading activities, the realized and unrealized gains and losses on these derivatives are recognized
\n
in Non-interest income \u2013 Trading revenue. When derivatives are used to manage our own exposures, we determine for each
\n
derivative whether hedge accounting can be applied, as discussed in the Hedge accounting section below. For derivatives used
\n
to manage our own exposures where we do not apply hedge accounting, the realized and unrealized gains and losses are
\nprimarily recognized in Non-interest income \u2013 Other.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00792": { "value": "Derecognition of financial assets
Financial assets are derecognized from our Consolidated Balance Sheets when our contractual rights to the cash flows from the
\n
assets have expired, when we retain the rights to receive the cash flows of the assets but assume an obligation to pay those cash
\n
flows to a third party subject to certain pass-through requirements or when we transfer our contractual rights to receive the cash
\n
flows and substantially all of the risks and rewards of the assets have been transferred. When we retain substantially all of the
\n
risks and rewards of the transferred assets, the transferred assets are not derecognized from our Consolidated Balance Sheets
\n
and are accounted for as secured financing transactions. When we neither retain nor transfer substantially all risks and rewards
\n
of ownership of the assets, we derecognize the assets if control over the assets is relinquished. If we retain control over the
\n
transferred assets, we continue to recognize the transferred assets to the extent of our continuing involvement.
\n
Management judgment is applied in determining whether the contractual rights to the cash flows from the transferred assets
\n
have expired or whether we retain the rights to receive cash flows on the assets but assume an obligation to pay for those cash
\n
flows. We derecognize transferred financial assets if we transfer substantially all the risks and rewards of the ownership in the
\n
assets. When assessing whether we have transferred substantially all of the risk and rewards of the transferred assets,
\n
management considers the Bank\u2019s exposure before and after the transfer with the variability in the amount and timing of the net
\n
cash flows of the transferred assets. In transfers in which we retain the servicing rights, management has applied judgment in
\n
assessing the benefits of servicing against market expectations. When the benefits of servicing are greater than fair value, a
\n
servicing asset is recognized in Other assets in our Consolidated Balance Sheets. When the benefits of servicing are less than fair
\n
value, a servicing liability is recognized in Other liabilities in our Consolidated Balance Sheets.
\n
Derecognition of financial liabilities
\n
We derecognize a financial liability from our Consolidated Balance Sheets when our obligation specified in the contract expires,
\n
or is discharged or cancelled. We recognize the difference between the carrying amount of a financial liability transferred and the
\nconsideration paid in our Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerecognitionOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00793": { "value": "Interest
Interest is recognized in Interest income and Interest expense in the Consolidated Statements of Income for all interest-bearing
\n
financial instruments except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013
\n
Insurance investment result. The effective interest rate is the rate that discounts estimated future cash flows over the expected
\n
life of the financial asset or liability to the net carrying amount upon initial recognition. Significant judgment is applied in
\ndetermining 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00794": { "value": "Dividend income
Dividend income is recognized when the right to receive payment is established and is recorded in Dividend income except for
\n
amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013 Insurance investment result. This is the
\n
ex-dividend date for listed equity securities, and usually the date when shareholders have approved the dividend for unlisted
\nequity securities.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDividendsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00795": { "value": "Transaction costs
Transaction costs are expensed as incurred for financial instruments classified or designated as FVTPL. For other financial
\n
instruments, transaction costs are capitalized on initial recognition. For financial assets and financial liabilities measured at
\n
amortized cost and debt financial assets measured at FVOCI, capitalized transaction costs are amortized through net income
\nover the estimated life of the instrument using the effective interest method.", "dimensions": { "concept": "ry:DescriptionOfAccountingPolicyForTransactionCostsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00796": { "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
\n
enforceable right to offset the recognized amounts and an intention to settle on a net basis, or realize the asset and settle the
\nliability simultaneously.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00797": { "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
\n
monitor the market value of the securities purchased and additional collateral is obtained when appropriate. We have the right
\n
to liquidate the collateral held in the event of counterparty default. Reverse repurchase agreements are treated as collateralized
\n
lending transactions. We also sell securities under agreements to repurchase (repurchase agreements), which are treated as
\n
collateralized borrowing transactions. The securities received under reverse repurchase agreements and securities delivered
\n
under repurchase agreements are not recognized on, or derecognized from, our Consolidated Balance Sheets, respectively,
\n
unless the risks and rewards of ownership are obtained or relinquished.
\n
Reverse repurchase agreements and repurchase agreements are carried on our Consolidated Balance Sheets at the
\n
amounts at which the securities were initially acquired or sold, except when they are classified or designated as FVTPL and are
\n
recorded at fair value. Interest earned on reverse repurchase agreements is included in Interest income, and interest incurred on
\n
repurchase agreements is included in Interest expense in our Consolidated Statements of Income while changes in fair value for
\n
reverse repurchase agreements and repurchase agreements classified or designated as FVTPL are included in Trading revenue or
\n
Other in Non-interest income except for amounts relating to the Insurance segment, which are recorded in Non-interest income \u2013
\nInsurance investment result.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00791": { "value": "Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
\n
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
\n
and other market risks. Our hedging strategies include the use of fair value hedges, cash flow hedges and net investment hedges.
\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. We assess,
\n
both at the inception of the hedge and on an ongoing basis, whether the hedging instruments are \u2018highly effective\u2019 in offsetting
\n
changes in the fair value or cash flows of the hedged items. A hedge is regarded as highly effective only if the following criteria
\n
are met: (i) at inception of the hedge and throughout its life, the hedge is expected to be highly effective in achieving offsetting
\n
changes in fair value or cash flows attributable to the hedged risk, and (ii) actual results of the hedge are within a pre-determined
\n
range. We perform effectiveness testing to demonstrate that the relationship has been and is expected to be effective over the
\n
remaining term of the hedge. In the case of hedging a forecast transaction, the transaction must have a high probability of
\n
occurring and must present an exposure to variations in cash flows that could ultimately affect the reported net profit or loss.
\n
Hedge accounting is discontinued when it is determined that the hedging instrument is no longer effective as a hedge, the
\n
hedging instrument or hedged item is terminated or sold, or the forecast transaction is no longer deemed highly probable. Refer
\n
to Note 9 for the fair value of derivatives and non-derivative instruments categorized by their hedging relationships, as well as
\n
derivatives that are not designated in hedging relationships.
\n
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transitioned to alternative
\n
benchmark rates (ABRs), our prospective effectiveness testing was based on existing hedged cash flows or hedged risks and any
\n
ineffectiveness arising from retrospective testing did not result in a discontinuation of the hedge. Additionally, effectiveness
\n
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
\n
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
\n
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
\n
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
\n
relationships fully transitioned to ABRs, and provided qualifying criteria were met, we amended the related hedge documentation
\n
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
\n
method for assessing hedge effectiveness, without discontinuing the existing hedging relationships.
\n
Fair value hedges
\n
In a fair value hedging relationship, the carrying value of the hedged item is adjusted for changes in fair value attributable to the
\n
hedged risk and recognized in Non-interest income \u2013 Other. Changes in fair value of the hedged item, to the extent that the
\n
hedging relationship is effective, are offset by changes in the fair value of the hedging derivative, which are also recognized in
\n
Non-interest income \u2013 Other. When hedge accounting is discontinued, the carrying value of the hedged item is no longer adjusted
\n
and the cumulative fair value adjustments to the carrying value of the hedged items are amortized to Non-interest income \u2013
\n
Other over the expected remaining life of the hedged items.
\n
We predominantly use interest rate swaps to hedge our exposure to changes in a fixed interest rate instrument\u2019s fair value
\n
caused by changes in interest rates. Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we
\n
applied hedge accounting to IBOR rates which may not have been contractually specified if that rate was separately identifiable
\n
and reliably measurable at the inception of the hedge relationship.
\n
Cash flow hedges
\n
In a cash flow hedging relationship, the effective portion of the change in the fair value of the hedging derivative, net of taxes, is
\n
recognized in OCI and reclassified to profit or loss as the associated hedged forecast transaction occurs, while the ineffective
\n
portion is recognized in Non-interest income \u2013 Other. When hedge accounting is discontinued, the cumulative amounts
\n
previously recognized in OCI are reclassified to Net interest income during the periods when the variability in the cash flows of
\n
the hedged item affects Net interest income. Unrealized gains and losses on derivatives are reclassified immediately to
\n
Non-interest income \u2013 Other when the hedged item is sold or terminated early, or when the forecast transaction is no longer
\n
expected to occur.
\n
We predominantly use interest rate swaps to hedge the variability in cash flows related to a variable-rate asset or liability.
\n
Until the hedging relationships impacted by the Reform fully transitioned to ABRs, we treated the highly probable hedged IBORs
\n
based cash flows of groups of similar assets or liabilities with similar risk characteristics as unchanged as a result of the Reform.
\n
In addition, associated cash flow hedge reserves were not recycled into net income solely due to changes related to the
\n
transition from IBORs to ABRs. Subsequently, when some items in the group transitioned to ABRs before other items, the
\n
individual hedged items were allocated to subgroups based on the benchmark interest rate being hedged. We tested hedge
\n
effectiveness based on the defined subgroups, in accordance with the Amendments, if eligibility requirements were met. If a
\n
subgroup failed the eligibility requirements, we would have discontinued hedge accounting prospectively for the hedging
\n
relationship in its entirety.
\n
Net investment hedges
\n
In hedging our foreign currency exposure to a net investment in a foreign operation, the effective portion of foreign exchange
\n
gains and losses on the hedging instruments, net of applicable taxes, is recognized in OCI and the ineffective portion is
\n
recognized in Non-interest income \u2013 Other. The amounts, or a portion thereof, previously recognized in Other components of
\n
equity are recognized in Net income on the disposal, or partial disposal, of the foreign operation.
\n
We use foreign exchange contracts and foreign currency-denominated liabilities to manage our foreign currency exposures
\nto 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00798": { "value": "Hedge accounting
We have elected to continue to apply the hedge accounting principles under IAS 39 instead of those under IFRS 9.
\n
We use derivatives and non-derivatives in our hedging strategies to manage our exposure to interest rate, currency, credit
\n
and other market risks. Our hedging strategies include the use of fair value hedges, cash flow hedges and net investment hedges.
\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. We assess,
\n
both at the inception of the hedge and on an ongoing basis, whether the hedging instruments are \u2018highly effective\u2019 in offsetting
\n
changes in the fair value or cash flows of the hedged items. A hedge is regarded as highly effective only if the following criteria
\n
are met: (i) at inception of the hedge and throughout its life, the hedge is expected to be highly effective in achieving offsetting
\n
changes in fair value or cash flows attributable to the hedged risk, and (ii) actual results of the hedge are within a pre-determined
\n
range. We perform effectiveness testing to demonstrate that the relationship has been and is expected to be effective over the
\n
remaining term of the hedge. In the case of hedging a forecast transaction, the transaction must have a high probability of
\n
occurring and must present an exposure to variations in cash flows that could ultimately affect the reported net profit or loss.
\n
Hedge accounting is discontinued when it is determined that the hedging instrument is no longer effective as a hedge, the
\n
hedging instrument or hedged item is terminated or sold, or the forecast transaction is no longer deemed highly probable. Refer
\n
to Note 9 for the fair value of derivatives and non-derivative instruments categorized by their hedging relationships, as well as
\n
derivatives that are not designated in hedging relationships.
\n
Until the hedging relationships impacted by the Interest rate benchmark reform (the Reform) fully transitioned to alternative
\n
benchmark rates (ABRs), our prospective effectiveness testing was based on existing hedged cash flows or hedged risks and any
\n
ineffectiveness arising from retrospective testing did not result in a discontinuation of the hedge. Additionally, effectiveness
\n
testing is applied separately to hedged items referencing ABRs and hedged items referencing interbank offered rates (IBORs),
\n
which include USD London Interbank Offered Rate (USD LIBOR) and Canadian Dollar Offered Rate (CDOR), in accordance with
\n
the Phase 2 amendments to IFRS 9
Financial Instruments
, IAS 39
Financial Instruments: Recognition and Measurement
, IFRS 7
\n
Financial Instruments: Disclosures
, IFRS 4
Insurance contracts
, and IFRS 16
Leases
(the Amendments). Subsequently, when these
\n
relationships fully transitioned to ABRs, and provided qualifying criteria were met, we amended the related hedge documentation
\n
for the ABR risk, including consequential changes to the description of the hedging instrument(s), the hedged item(s), and the
\nmethod for assessing hedge effectiveness, without discontinuing the existing hedging relationships.", "dimensions": { "concept": "ifrs-full:DisclosureOfHedgeAccountingExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00799": { "value": "Guarantees
Financial guarantee contracts are contracts that contingently require us to make specified payments (in cash, other assets, our
\n
own shares or provision of services) to reimburse the holder for a loss it incurs because a specified debtor fails to make payment
\n
when due in accordance with the original or modified terms of a debt instrument. Liabilities are recognized on our Consolidated
\n
Balance Sheets at the inception of a guarantee for the fair value of the obligation undertaken in issuing the guarantee. Financial
\n
guarantees are subsequently remeasured at the higher of (i) the amount of expected credit losses and (ii) the amount initially
\n
recognized less, when appropriate, the cumulative amount of income recognized.
\n
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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00800": { "value": "Insurance and reinsurance contracts
Changes in accounting policies
\n
During the first quarter of 2024, we adopted IFRS 17
Insurance Contracts
(IFRS 17), replacing IFRS 4
Insurance Contracts
(IFRS 4).
\n
Our updated accounting policies for insurance and reinsurance contracts are described below. We have applied IFRS 17
\n
retrospectively and restated comparative period results beginning November 1, 2022, where applicable. Adjustments to the
\n
carrying amounts of insurance and reinsurance contracts at the transition date of November 1, 2022 were recognized in Retained
\n
earnings.
\n
As permitted by the transition provisions of IFRS 17, we reclassified certain financial assets between fair value classification
\n
categories at the date of initial application of IFRS 17 as described below. The reclassifications resulted in no adjustments to
\n
carrying amounts of financial assets as at November 1, 2023. Retained earnings and Other components of equity as at
\n
November 1, 2023 were adjusted as a result with no net impact to total equity. We elected not to restate comparative period
\n
results for these changes and accordingly, comparative period information for the impacted financial assets prior to November 1,
\n
2023 is presented in accordance with our previous classifications.
\n
Updated accounting policies
\n
Contracts under which we accept significant insurance risk from a policyholder by agreeing to compensate the policyholder if a
\n
specified uncertain future event adversely affects the policyholder are insurance contracts, which includes reinsurance
\n
contracts issued. Contracts under which we transfer significant insurance risk to a reinsurer that compensates us for claims
\n
relating to underlying insurance contracts issued by us are reinsurance contracts held, and are accounted for separately from
\n
the underlying insurance contracts to which they relate. Embedded derivatives, investment components and promises to provide
\n
non-insurance services are separated from the insurance or reinsurance contract provided specific criteria are met. Insurance
\n
and reinsurance contracts are aggregated into portfolios that are subject to similar risks and are managed together, and then
\n
divided into groups based on the period of issuance and expected profitability. Groups are separately recognized and measured
\n
using one of three measurement models depending on the characteristics of the contracts:
\n
\u2022
For insurance contracts with direct participating features (applicable primarily to our segregated fund insurance
\n
contracts), the variable fee approach (VFA) is applied.
\n
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less (applicable primarily to
\n
our creditor reinsurance contracts issued, group life and health insurance contracts and travel insurance contracts), the
\n
premium allocation approach (PAA) is applied.
\n
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
\n
Under the GMM and VFA, the carrying amount of a group of insurance or reinsurance contracts is measured as the sum of
\n
the fulfilment cash flows and the contractual service margin (CSM). The carrying amount is also the sum of the liability for
\n
remaining coverage and the liability for incurred claims. The liability for remaining coverage comprises the fulfilment cash flows
\n
that relate to services that will be provided under the contracts in future periods and any remaining CSM at that date. The
\n
liability for incurred claims includes the fulfilment cash flows for incurred claims and expenses that have not yet been paid,
\n
including claims that have been incurred but not yet reported. The fulfilment cash flows consist of the present value of future
\n
cash flows and a risk adjustment for non-financial risk, discounted using the current rates as at the reporting date determined
\n
using the discount rate methodology disclosed in Note 15. The estimates of future cash flows consider probability-weighted
\n
scenarios and include all future cash flows that are within the contract boundary. The risk adjustment for non-financial risk
\n
represents the compensation that we require for bearing the uncertainty about the amount and timing of cash flows that arise
\n
from non-financial risk as the insurance contract is fulfilled and is estimated using the margin approach disclosed in Note 15. The
\n
measurement of the groups of contracts requires the use of judgment in setting methodologies and assumptions for morbidity,
\n
mortality, longevity, policy lapses and other policyholder behaviour, policy dividends and directly attributable expenses,
\n
including acquisition costs allocated using a systematic and rational method. Changes to the underlying assumptions and
\n
estimates may have a significant effect on Non-interest income \u2013 Insurance service result and Insurance investment result.
\n
Subsequent changes in fulfilment cash flows related to future services adjust the CSM, unless the group is onerous in which case
\n
such changes are recognized in Non-interest income \u2013 Insurance service result along with changes related to past or current
\n
services.
\n
For insurance contracts, the CSM represents the unearned profit (net inflows) for providing insurance coverage. If there is a
\n
net outflow at the initial recognition of the group, the group is onerous and the net outflow is recognized in Non-interest income \u2013
\n
Insurance service result immediately. For reinsurance contracts held, the CSM represents the net cost or net gain of purchasing
\n
reinsurance. The CSM for insurance and reinsurance contacts are released into income based on coverage units, which represent
\n
the quantity of service (insurance coverage as well as investment-return and investment-related services) provided by a group of
\n
contracts and are determined by considering the quantity of benefits provided under each contract and the expected coverage
\n
duration. Under the GMM, the CSM is adjusted for interest accretion using the discount rates that were locked-in at initial
\n
recognition of the groups or the discount rates that were locked-in at the transition date for groups where the fair value
\n
approach was applied. Under the VFA, the CSM is adjusted for changes in the amount of our share of the fair value of the
\n
underlying items, while the changes to the fair value of the underlying items, reflecting changes in the obligation to pay the
\n
policyholder, are recognized in Non-interest income \u2013 Insurance investment result.
\n
Under the PAA, the liability for remaining coverage for each group is measured as the premiums received less insurance
\n
revenue recognized for services provided, while the liability for incurred claims is measured as the fulfillment cash flows for
\n
incurred claims.
\n
Losses from the recognition of onerous groups of insurance contracts, regardless of the measurement model applied, are
\n
recognized in Non-interest income \u2013 Insurance service result immediately. Any losses recognized relating to future service can be
\n
reversed in subsequent periods if the group of contracts is no longer onerous.
\n
The insurance and reinsurance contract balances are remeasured at the end of each reporting period. We have elected to
\n
update the accounting estimates made in the previous interim period when remeasuring the insurance and reinsurance
\n
contracts in subsequent interim and annual reporting periods.
\n
An insurance or reinsurance contract is derecognized when it is extinguished or modified such that the modification results
\n
in a change in the measurement model, a substantially different contract boundary or a change in the scope of the applicable
\n
standard for measuring a component of the contract.
\n
Insurance service result comprises Insurance revenue less Insurance service expense and Net income (expense) from
\n
reinsurance contracts held.
\n
\u2022
Insurance revenue is recognized as we provide insurance contract services under the groups of insurance contracts. For
\n
contracts measured using the PAA, the insurance revenue is generally recognized based on allocating expected
\n
premium receipts over the passage of time. For contracts measured using the GMM and VFA, insurance revenue
\n
represents the amount of consideration we expect to be entitled to in exchange for services in the period, which
\n
includes expected claims and expenses directly attributable to fulfilling insurance contracts (excluding any investment
\n
components), release of the risk adjustment for the period, CSM amortization to reflect services provided in the period,
\n
an allocation of premiums that relates to recovering insurance acquisition expenses and experience adjustments for
\n
premium receipts relating to current or past services.
\n
\u2022
Insurance service expense arising from insurance contracts includes incurred claims and other directly attributable
\n
expenses in the current period (excluding investment components), amortization and impairment losses relating to
\n
insurance acquisition cash flows where applicable, changes relating to past or current services and changes in loss
\n
components of onerous groups of contracts.
\n
\u2022
Net income (expense) from reinsurance contracts held represents the amounts recovered from the reinsurers less the
\n
allocation of premiums paid on reinsurance contracts held.
\n
Insurance investment result comprises Net investment income, Net insurance finance income (expense) and Net reinsurance
\n
finance income (expense) from reinsurance contracts held.
\n
\u2022
Net investment income primarily comprises interest and dividend income and net gains (losses) on financial
\n
instruments, including segregated fund assets, and derivatives relating to the Insurance segment. Financial assets
\n
supporting the Insurance segment are primarily measured at FVTPL and FVOCI.
\n
\u2022
Insurance and reinsurance finance income (expense) represents the net effect of and changes in the time value of
\n
money (including the time value of money relating to risk adjustment on non-financial risks) and financial risks on
\n
insurance contracts and reinsurance contracts held, respectively.
\n
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
\n
Upon the adoption of IFRS 17, we applied IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at November 1, 2022
\n
and restating the comparative information for the year ended October 31, 2023. The full retrospective approach was applied for all
\n
insurance and reinsurance contracts unless it was impracticable to do so. The full retrospective approach was applied to all contracts
\n
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
\n
had always been applied. Due to data availability and the inability to use hindsight, the fair value approach was applied to contracts
\n
issued before November 1, 2022 that were measured under the GMM and VFA. Under the fair value approach, each portfolio comprises
\n
only one group, and the CSM was calculated as the difference between the fair value of a group of contracts and the fulfilment cash
\n
flows using reasonable and supportable information available at the transition date. To determine the fair value of a group of
\n
contracts, the requirements of IFRS 13 Fair Value Measurement were applied. The adjusted fulfillment cash flows approach was used
\n
to calculate the fair value of groups of insurance contracts at the transition date. This valuation technique adjusts the future cash
\n
flows for changes in the cost of capital to reflect what a market participant would require for accepting such contract obligations. Key
\n
assumptions involve the weighted average cost of capital, required capital targets and underlying insurance assumptions from a
\n
market participant\u2019s perspective. The fulfilment cash flows and discount rates were determined as at the transition using the policies
\n
noted above.
The adoption of IFRS 17 resulted in a reduction in Retained earnings of $2.4 billion, net of taxes, as at November 1, 2022. This
\n
is attributable to the establishment of the CSM and other remeasurement changes to insurance and reinsurance contracts and
\n
related tax effects. The CSM of all insurance contracts net of reinsurance contracts held as at November 1, 2022 was $1.8 billion.
\n
The following details the selected balances and totals impacted on our Consolidated Balance Sheets as at November 1, 2022:
\n\n \n
As at
As at
November 1, 2022
Transition
November 1, 2022
(Millions of Canadian dollars)
before transition
adjustments
after transition
Assets
Segregated fund net assets
(1)
$
2,638
$
(2,638)
$
\u2013
Other
Other assets
(2)
80,300
4,261
84,561
Total assets
$ 1,917,219
$
1,623
$ 1,918,842
Liabilities
Segregated fund net liabilities
(3)
$
2,638
$
(2,638)
$
\u2013
Other
Insurance claims and policy benefit liabilities
(4)
11,511
(11,511)
\u2013
Insurance contract liabilities
(4)
\u2013
18,226
18,226
Other liabilities
(5)
95,235
(95)
95,140
Total liabilities
$ 1,809,044
$
3,982
$ 1,813,026
Total equity
108,175
(2,359)
105,816
Total liabilities and equity
$ 1,917,219
$
1,623
$ 1,918,842
\n
(1)
Segregated fund net assets are now presented within Other assets.
\n
(2)
The increase is primarily attributable to the inclusion of segregated fund net assets, the increases in insurance contract assets and reinsurance contracts held assets,
\n
and the tax effects of the IFRS 17 transition adjustment.
\n
(3)
Segregated fund insurance contracts are now presented within Insurance contract liabilities.
\n
(4)
Insurance claims and policy benefit liabilities measured under IFRS 4 is replaced with Insurance contract liabilities measured under IFRS 17. The increase in these
\n
balances is attributable to presentation changes and remeasurement impacts including the establishment of the CSM for in-force contracts at transition.
\n
(5)
Certain liabilities that were previously presented in Other liabilities are now included in the measurement of insurance contracts or reinsurance contracts held.
\n
Impact of reclassifications of financial assets from IFRS 17 transition
\n
As permitted by IFRS 17, we reclassified certain eligible financial assets held in respect of activities that relate to insurance
\n
contracts upon the adoption of IFRS 17. The changes were primarily a result of changes to the business models based on facts
\n
and circumstances that existed as at November 1, 2023, the date of the initial application of IFRS 17. We have applied these
\n
changes retrospectively by adjusting our Consolidated Balance Sheet as at November 1, 2023 with no restatement of comparative
\n
information. The following were reclassified as at November 1, 2023:
\n
\u2022
$8.3 billion of securities and $2.0 billion of loans from designated as FVTPL to classified as FVTPL;
\n
\u2022
$0.5 billion of securities and $0.3 billion of loans from designated as FVTPL to classified as FVOCI;
\n
\u2022
$1.7 billion of securities from classified as FVOCI to classified as FVTPL; and
\n
\u2022
$0.3 billion of securities from classified as FVTPL to designated as FVOCI.
\n
The impacts of the reclassifications resulted in an increase in Other components of equity by $656 million, net of taxes, and a
\n
decrease in Retained earnings by the same amount, with no net impact to our total equity nor the carrying amounts of those
\nassets.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredAcquisitionCostsArisingFromInsuranceContractsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00801": { "value": "Insurance and reinsurance contracts
Changes in accounting policies
\n
During the first quarter of 2024, we adopted IFRS 17
Insurance Contracts
(IFRS 17), replacing IFRS 4
Insurance Contracts
(IFRS 4).
\n
Our updated accounting policies for insurance and reinsurance contracts are described below. We have applied IFRS 17
\n
retrospectively and restated comparative period results beginning November 1, 2022, where applicable. Adjustments to the
\n
carrying amounts of insurance and reinsurance contracts at the transition date of November 1, 2022 were recognized in Retained
\n
earnings.
\n
As permitted by the transition provisions of IFRS 17, we reclassified certain financial assets between fair value classification
\n
categories at the date of initial application of IFRS 17 as described below. The reclassifications resulted in no adjustments to
\n
carrying amounts of financial assets as at November 1, 2023. Retained earnings and Other components of equity as at
\n
November 1, 2023 were adjusted as a result with no net impact to total equity. We elected not to restate comparative period
\n
results for these changes and accordingly, comparative period information for the impacted financial assets prior to November 1,
\n
2023 is presented in accordance with our previous classifications.
\n
Updated accounting policies
\n
Contracts under which we accept significant insurance risk from a policyholder by agreeing to compensate the policyholder if a
\n
specified uncertain future event adversely affects the policyholder are insurance contracts, which includes reinsurance
\n
contracts issued. Contracts under which we transfer significant insurance risk to a reinsurer that compensates us for claims
\n
relating to underlying insurance contracts issued by us are reinsurance contracts held, and are accounted for separately from
\n
the underlying insurance contracts to which they relate. Embedded derivatives, investment components and promises to provide
\n
non-insurance services are separated from the insurance or reinsurance contract provided specific criteria are met. Insurance
\n
and reinsurance contracts are aggregated into portfolios that are subject to similar risks and are managed together, and then
\n
divided into groups based on the period of issuance and expected profitability. Groups are separately recognized and measured
\n
using one of three measurement models depending on the characteristics of the contracts:
\n
\u2022
For insurance contracts with direct participating features (applicable primarily to our segregated fund insurance
\n
contracts), the variable fee approach (VFA) is applied.
\n
\u2022
For insurance contracts and reinsurance contracts held with a short duration of one year or less (applicable primarily to
\n
our creditor reinsurance contracts issued, group life and health insurance contracts and travel insurance contracts), the
\n
premium allocation approach (PAA) is applied.
\n
\u2022
The general measurement method (GMM) is applied to all remaining contracts.
\n
Under the GMM and VFA, the carrying amount of a group of insurance or reinsurance contracts is measured as the sum of
\n
the fulfilment cash flows and the contractual service margin (CSM). The carrying amount is also the sum of the liability for
\n
remaining coverage and the liability for incurred claims. The liability for remaining coverage comprises the fulfilment cash flows
\n
that relate to services that will be provided under the contracts in future periods and any remaining CSM at that date. The
\n
liability for incurred claims includes the fulfilment cash flows for incurred claims and expenses that have not yet been paid,
\n
including claims that have been incurred but not yet reported. The fulfilment cash flows consist of the present value of future
\n
cash flows and a risk adjustment for non-financial risk, discounted using the current rates as at the reporting date determined
\n
using the discount rate methodology disclosed in Note 15. The estimates of future cash flows consider probability-weighted
\n
scenarios and include all future cash flows that are within the contract boundary. The risk adjustment for non-financial risk
\n
represents the compensation that we require for bearing the uncertainty about the amount and timing of cash flows that arise
\n
from non-financial risk as the insurance contract is fulfilled and is estimated using the margin approach disclosed in Note 15. The
\n
measurement of the groups of contracts requires the use of judgment in setting methodologies and assumptions for morbidity,
\n
mortality, longevity, policy lapses and other policyholder behaviour, policy dividends and directly attributable expenses,
\n
including acquisition costs allocated using a systematic and rational method. Changes to the underlying assumptions and
\n
estimates may have a significant effect on Non-interest income \u2013 Insurance service result and Insurance investment result.
\n
Subsequent changes in fulfilment cash flows related to future services adjust the CSM, unless the group is onerous in which case
\n
such changes are recognized in Non-interest income \u2013 Insurance service result along with changes related to past or current
\n
services.
\n
For insurance contracts, the CSM represents the unearned profit (net inflows) for providing insurance coverage. If there is a
\n
net outflow at the initial recognition of the group, the group is onerous and the net outflow is recognized in Non-interest income \u2013
\n
Insurance service result immediately. For reinsurance contracts held, the CSM represents the net cost or net gain of purchasing
\n
reinsurance. The CSM for insurance and reinsurance contacts are released into income based on coverage units, which represent
\n
the quantity of service (insurance coverage as well as investment-return and investment-related services) provided by a group of
\n
contracts and are determined by considering the quantity of benefits provided under each contract and the expected coverage
\n
duration. Under the GMM, the CSM is adjusted for interest accretion using the discount rates that were locked-in at initial
\n
recognition of the groups or the discount rates that were locked-in at the transition date for groups where the fair value
\n
approach was applied. Under the VFA, the CSM is adjusted for changes in the amount of our share of the fair value of the
\n
underlying items, while the changes to the fair value of the underlying items, reflecting changes in the obligation to pay the
\n
policyholder, are recognized in Non-interest income \u2013 Insurance investment result.
\n
Under the PAA, the liability for remaining coverage for each group is measured as the premiums received less insurance
\n
revenue recognized for services provided, while the liability for incurred claims is measured as the fulfillment cash flows for
\n
incurred claims.
\n
Losses from the recognition of onerous groups of insurance contracts, regardless of the measurement model applied, are
\n
recognized in Non-interest income \u2013 Insurance service result immediately. Any losses recognized relating to future service can be
\n
reversed in subsequent periods if the group of contracts is no longer onerous.
\n
The insurance and reinsurance contract balances are remeasured at the end of each reporting period. We have elected to
\n
update the accounting estimates made in the previous interim period when remeasuring the insurance and reinsurance
\n
contracts in subsequent interim and annual reporting periods.
\n
An insurance or reinsurance contract is derecognized when it is extinguished or modified such that the modification results
\n
in a change in the measurement model, a substantially different contract boundary or a change in the scope of the applicable
\n
standard for measuring a component of the contract.
\n
Insurance service result comprises Insurance revenue less Insurance service expense and Net income (expense) from
\n
reinsurance contracts held.
\n
\u2022
Insurance revenue is recognized as we provide insurance contract services under the groups of insurance contracts. For
\n
contracts measured using the PAA, the insurance revenue is generally recognized based on allocating expected
\n
premium receipts over the passage of time. For contracts measured using the GMM and VFA, insurance revenue
\n
represents the amount of consideration we expect to be entitled to in exchange for services in the period, which
\n
includes expected claims and expenses directly attributable to fulfilling insurance contracts (excluding any investment
\n
components), release of the risk adjustment for the period, CSM amortization to reflect services provided in the period,
\n
an allocation of premiums that relates to recovering insurance acquisition expenses and experience adjustments for
\n
premium receipts relating to current or past services.
\n
\u2022
Insurance service expense arising from insurance contracts includes incurred claims and other directly attributable
\n
expenses in the current period (excluding investment components), amortization and impairment losses relating to
\n
insurance acquisition cash flows where applicable, changes relating to past or current services and changes in loss
\n
components of onerous groups of contracts.
\n
\u2022
Net income (expense) from reinsurance contracts held represents the amounts recovered from the reinsurers less the
\n
allocation of premiums paid on reinsurance contracts held.
\n
Insurance investment result comprises Net investment income, Net insurance finance income (expense) and Net reinsurance
\n
finance income (expense) from reinsurance contracts held.
\n
\u2022
Net investment income primarily comprises interest and dividend income and net gains (losses) on financial
\n
instruments, including segregated fund assets, and derivatives relating to the Insurance segment. Financial assets
\n
supporting the Insurance segment are primarily measured at FVTPL and FVOCI.
\n
\u2022
Insurance and reinsurance finance income (expense) represents the net effect of and changes in the time value of
\n
money (including the time value of money relating to risk adjustment on non-financial risks) and financial risks on
\n
insurance contracts and reinsurance contracts held, respectively.
\n
Impact of IFRS 17 transition excluding the impact of reclassifications of financial assets
\n
Upon the adoption of IFRS 17, we applied IFRS 17 retrospectively by adjusting our Consolidated Balance Sheets as at November 1, 2022
\n
and restating the comparative information for the year ended October 31, 2023. The full retrospective approach was applied for all
\n
insurance and reinsurance contracts unless it was impracticable to do so. The full retrospective approach was applied to all contracts
\n
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
\n
had always been applied. Due to data availability and the inability to use hindsight, the fair value approach was applied to contracts
\n
issued before November 1, 2022 that were measured under the GMM and VFA. Under the fair value approach, each portfolio comprises
\n
only one group, and the CSM was calculated as the difference between the fair value of a group of contracts and the fulfilment cash
\n
flows using reasonable and supportable information available at the transition date. To determine the fair value of a group of
\n
contracts, the requirements of IFRS 13 Fair Value Measurement were applied. The adjusted fulfillment cash flows approach was used
\n
to calculate the fair value of groups of insurance contracts at the transition date. This valuation technique adjusts the future cash
\n
flows for changes in the cost of capital to reflect what a market participant would require for accepting such contract obligations. Key
\n
assumptions involve the weighted average cost of capital, required capital targets and underlying insurance assumptions from a
\n
market participant\u2019s perspective. The fulfilment cash flows and discount rates were determined as at the transition using the policies
\n
noted above.
The adoption of IFRS 17 resulted in a reduction in Retained earnings of $2.4 billion, net of taxes, as at November 1, 2022. This
\n
is attributable to the establishment of the CSM and other remeasurement changes to insurance and reinsurance contracts and
\n
related tax effects. The CSM of all insurance contracts net of reinsurance contracts held as at November 1, 2022 was $1.8 billion.
\n
The following details the selected balances and totals impacted on our Consolidated Balance Sheets as at November 1, 2022:
\n\n \n
As at
As at
November 1, 2022
Transition
November 1, 2022
(Millions of Canadian dollars)
before transition
adjustments
after transition
Assets
Segregated fund net assets
(1)
$
2,638
$
(2,638)
$
\u2013
Other
Other assets
(2)
80,300
4,261
84,561
Total assets
$ 1,917,219
$
1,623
$ 1,918,842
Liabilities
Segregated fund net liabilities
(3)
$
2,638
$
(2,638)
$
\u2013
Other
Insurance claims and policy benefit liabilities
(4)
11,511
(11,511)
\u2013
Insurance contract liabilities
(4)
\u2013
18,226
18,226
Other liabilities
(5)
95,235
(95)
95,140
Total liabilities
$ 1,809,044
$
3,982
$ 1,813,026
Total equity
108,175
(2,359)
105,816
Total liabilities and equity
$ 1,917,219
$
1,623
$ 1,918,842
\n
(1)
Segregated fund net assets are now presented within Other assets.
\n
(2)
The increase is primarily attributable to the inclusion of segregated fund net assets, the increases in insurance contract assets and reinsurance contracts held assets,
\n
and the tax effects of the IFRS 17 transition adjustment.
\n
(3)
Segregated fund insurance contracts are now presented within Insurance contract liabilities.
\n
(4)
Insurance claims and policy benefit liabilities measured under IFRS 4 is replaced with Insurance contract liabilities measured under IFRS 17. The increase in these
\n
balances is attributable to presentation changes and remeasurement impacts including the establishment of the CSM for in-force contracts at transition.
\n
(5)
Certain liabilities that were previously presented in Other liabilities are now included in the measurement of insurance contracts or reinsurance contracts held.
\n
Impact of reclassifications of financial assets from IFRS 17 transition
\n
As permitted by IFRS 17, we reclassified certain eligible financial assets held in respect of activities that relate to insurance
\n
contracts upon the adoption of IFRS 17. The changes were primarily a result of changes to the business models based on facts
\n
and circumstances that existed as at November 1, 2023, the date of the initial application of IFRS 17. We have applied these
\n
changes retrospectively by adjusting our Consolidated Balance Sheet as at November 1, 2023 with no restatement of comparative
\n
information. The following were reclassified as at November 1, 2023:
\n
\u2022
$8.3 billion of securities and $2.0 billion of loans from designated as FVTPL to classified as FVTPL;
\n
\u2022
$0.5 billion of securities and $0.3 billion of loans from designated as FVTPL to classified as FVOCI;
\n
\u2022
$1.7 billion of securities from classified as FVOCI to classified as FVTPL; and
\n
\u2022
$0.3 billion of securities from classified as FVTPL to designated as FVOCI.
\n
The impacts of the reclassifications resulted in an increase in Other components of equity by $656 million, net of taxes, and a
\n
decrease in Retained earnings by the same amount, with no net impact to our total equity nor the carrying amounts of those
\nassets.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForReinsuranceExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00802": { "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
\n
employee pension benefits for the current year\u2019s service, net interest on the net defined benefit liability (asset), past service cost
\n
and gains or losses on settlement. Remeasurements of the net defined benefit obligation, which comprise actuarial gains and
\n
losses and return on plan assets (excluding amounts included in net interest on the net defined benefit liability), are recognized
\n
immediately in OCI in the period in which they occur. Actuarial gains and losses comprise experience adjustments (the effects of
\n
differences between the previous actuarial assumptions and what has actually occurred), as well as the effects of changes in
\n
actuarial assumptions. Amounts recognized in OCI will not be reclassified subsequently to net income. Past service cost is the
\n
change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment and is charged
\n
immediately to income.
\n
For each defined benefit pension plan, we recognize the present value of our defined benefit obligations less the fair value of
\n
the plan assets as a defined benefit liability reported in Other liabilities on our Consolidated Balance Sheets. For plans where
\n
there is a net defined benefit asset, the amount is reported as an asset in Other assets on our Consolidated Balance sheets.
\n
The calculation of defined benefit expenses and obligations requires significant judgment as the recognition is dependent on
\n
discount rates and various actuarial assumptions such as healthcare cost trend rates, projected salary increases, retirement age
\n
and mortality and termination rates. Due to the long-term nature of these plans, such estimates and assumptions are subject to
\n
inherent risks and uncertainties. For our pension and other post-employment benefit plans, the discount rate is determined by
\n
reference to market yields on high quality corporate bonds. Since the discount rate is based on currently available yields, and
\n
involves management\u2019s assessment of market liquidity, it is only a proxy for future yields. Actuarial assumptions, set in
\n
accordance with current practices in the respective countries of our plans, may differ from actual experience as country specific
\n
statistics are only estimates of future employee behaviour. These assumptions are determined by management and are reviewed
\n
by actuaries at least annually. Changes to any of the above assumptions may affect the amounts of benefits obligations,
\n
expenses and remeasurements that we recognize.
\n
Our contributions to defined contribution pension plans are expensed when employees have rendered services in exchange
\nfor 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00803": { "value": "Share-based compensation
We offer share-based compensation plans to certain key employees and to our non-employee directors.
\n
To account for stock options granted to employees, compensation expense is recognized over the applicable vesting period
\n
with a corresponding increase in equity. Fair value is determined by using option valuation models, which take into account the
\n
exercise price of the option, the current share price, the risk free interest rate, the expected volatility of the share price over the
\n
life of the option and other relevant factors. When the options are exercised, the exercise price proceeds together with the
\n
amount initially recorded in equity are credited to common shares. Our other share-based compensation plans include
\n
performance deferred share plans and deferred share unit plans for key employees (the Plans). The obligations for the Plans are
\n
accrued over their vesting periods. The Plans are generally settled in cash.
\n
For cash-settled awards, our accrued obligations are adjusted to their fair value at each balance sheet date. For share-
\n
settled awards, our expected obligations recognized in equity are based on the fair value of our common shares at the date of
\n
grant. Changes in our obligations, net of related hedges, are recorded as Non-interest expense \u2013 Human resources in our
\n
Consolidated Statements of Income with a corresponding increase in Other liabilities for cash-settled awards and in Retained
\n
earnings for share-settled awards. Compensation expense is recognized in the year the awards are earned by plan participants
\n
based on the vesting schedule of the relevant plans, net of estimated forfeitures.
\n
The compensation cost attributable to options and awards granted to employees who are eligible to retire or will become
\n
eligible to retire during the vesting period, is recognized immediately if the employee is eligible to retire on the grant date or over
\n
the period between the grant date and the date the employee becomes eligible to retire.
\nOur contributions to the employee savings and share ownership plans are expensed as incurred.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSharebasedPaymentTransactionsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00804": { "value": "Income taxes
Income tax comprises current tax and deferred tax and is recognized in our Consolidated Statements of Income except to the
\n
extent that it relates to items recognized directly in equity, in which case it is recognized in equity.
\n
Current income tax payable on profits is recognized as an expense based on the applicable tax laws in each jurisdiction in
\n
the period in which profits arise, calculated using tax rates enacted or substantively enacted by the balance sheet date. Deferred
\n
tax is recognized on temporary differences between the carrying amounts of assets and liabilities for accounting and tax
\n
purposes. A deferred income tax asset or liability is determined for each temporary difference, except for earnings related to our
\n
subsidiaries, branches, associates and interests in joint ventures where the temporary differences will not reverse in the
\n
foreseeable future and we have the ability to control the timing of reversal. Deferred tax assets and liabilities are determined
\n
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
\n
tax rates and tax laws that have been enacted or substantively enacted at the balance sheet date. Current tax assets and
\n
liabilities are offset when they are levied by the same taxation authority on either the same taxable entity or different taxable
\n
entities within the same tax reporting group (which intends to settle on a net basis), and when there is a legal right to offset.
\n
Deferred tax assets and liabilities are offset when the same conditions are satisfied. Our Consolidated Statements of Income
\n
include items that are non-taxable or non-deductible for income tax purposes and, accordingly, this causes the income tax
\n
provision to be different from what it would be if based on statutory rates.
\n
Deferred income taxes accumulated as a result of temporary differences and tax loss carryforwards are included in Other
\n
assets and Other liabilities. On a quarterly basis, we review our deferred income tax assets to determine whether it is probable
\n
that the benefits associated with these assets will be realized; this review involves evaluating both positive and negative
\n
evidence.
\n
We are subject to income tax laws in various jurisdictions where we operate, and the complex tax laws are potentially
\n
subject to different interpretations by us and the relevant taxation authorities. Significant judgment is required in the
\n
interpretation of the relevant tax laws and in assessing the probability of acceptance of our tax positions to determine our tax
\n
provision, which includes our best estimate of uncertain tax positions that are under audit or appeal by the relevant tax
\n
authorities. We perform a review on a quarterly basis to incorporate our best assessment based on information available, but
\n
additional liability and income tax expense could result based on the acceptance of our tax positions by the relevant tax
\n
authorities.
\n
The determination of our deferred tax asset or liability also requires significant management judgment as the recognition is
\n
dependent on our projection of future taxable profits and tax rates that are expected to be in effect in the period the asset is
\n
realized or the liability is settled. Any changes in our projection will result in changes in deferred tax assets or liabilities on our
\n
Consolidated Balance Sheets, and also deferred tax expense on our Consolidated Statements of Income.
\n
The IASB issued amendments to IAS 12
Income Taxes (IAS 12)
in May 2023 to address the
Pillar Two Model Rules
for
\n
International Tax Reform
, including a global 15% minimum tax. The amendments introduced, with immediate effect, a temporary
\n
recognition exception in relation to accounting and disclosure for deferred taxes arising from the implementation of the
\ninternational tax reform, which we have applied.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00805": { "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
\n
that the benefits associated with these assets will be realized; this review involves evaluating both positive and negative
\nevidence.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredIncomeTaxExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00806": { "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
\n
their proportionate share of the fair value of identifiable assets and liabilities, unless otherwise indicated. Identifiable intangible
\n
assets are recognized separately from goodwill and included in Other intangibles. Goodwill represents the excess of the price
\npaid 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00807": { "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
\n
their proportionate share of the fair value of identifiable assets and liabilities, unless otherwise indicated. Identifiable intangible
\n
assets are recognized separately from goodwill and included in Other intangibles. Goodwill represents the excess of the price
\n
paid for the business acquired over the fair value of the net identifiable assets acquired on the date of acquisition.
\n
Goodwill
\n
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
\n
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
\n
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
\n
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
\n
its value in use (VIU) and its fair value less costs of disposal (FVLCD). The fair value of a CGU is estimated using valuation
\n
techniques such as a discounted cash flow method, adjusted to reflect the considerations of a prospective third-party buyer.
\n
External evidence such as binding sale agreements or recent transactions for similar businesses within the same industry is
\n
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
\n
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
\n
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management
\n
which are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders.
\n
Discount rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by
\n
differences in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth
\n
Model and peer analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political
\n
risk, devaluation risk and government regulation), currency risk and price risk (including product pricing risk and inflation).
\n
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
\n
operates. If the future cash flows and other assumptions in future periods deviate significantly from the current amounts used in
\n
our impairment testing, the value of our goodwill could become impaired, with any such impairment loss recognized in
\n
Non-interest expense.
\n
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
\n
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
\n
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
\n
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
\n
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
\n
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
\n
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
\nportion to the total CGU.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsAndGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00808": { "value": "Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
\n
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
\n
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
\n
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
\n
its value in use (VIU) and its fair value less costs of disposal (FVLCD). The fair value of a CGU is estimated using valuation
\n
techniques such as a discounted cash flow method, adjusted to reflect the considerations of a prospective third-party buyer.
\n
External evidence such as binding sale agreements or recent transactions for similar businesses within the same industry is
\n
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
\n
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
\n
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management
\n
which are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders.
\n
Discount rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by
\n
differences in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth
\n
Model and peer analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political
\n
risk, devaluation risk and government regulation), currency risk and price risk (including product pricing risk and inflation).
\n
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
\n
operates. If the future cash flows and other assumptions in future periods deviate significantly from the current amounts used in
\n
our impairment testing, the value of our goodwill could become impaired, with any such impairment loss recognized in
\n
Non-interest expense.
\n
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
\n
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
\n
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
\n
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
\n
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
\n
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
\n
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
\n
portion to the total CGU.
\n
Other intangibles
\n
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
\n
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
\n
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
\n
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
\n
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
\n
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
\n
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
\n
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
\n
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
\n
list and relationships \u2013 7 to 20 years. Intangible assets with indefinite useful lives represent mutual fund management contracts.
\n
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
\n
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
\n
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
\n
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
\n
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
\n
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
\n
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
\n
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
\n
been determined (net of amortization) had there been no prior impairment.
\n
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
\n
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
\n
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
\n
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
\n
based on forecast results and business initiatives. Discount rates are based on the bank-wide cost of capital, adjusted for asset-
\nspecific 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00809": { "value": "Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
\n
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
\n
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
\n
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
\n
its value in use (VIU) and its fair value less costs of disposal (FVLCD). The fair value of a CGU is estimated using valuation
\n
techniques such as a discounted cash flow method, adjusted to reflect the considerations of a prospective third-party buyer.
\n
External evidence such as binding sale agreements or recent transactions for similar businesses within the same industry is
\n
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
\n
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
\n
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management
\n
which are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders.
\n
Discount rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by
\n
differences in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth
\n
Model and peer analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political
\n
risk, devaluation risk and government regulation), currency risk and price risk (including product pricing risk and inflation).
\n
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
\n
operates. If the future cash flows and other assumptions in future periods deviate significantly from the current amounts used in
\n
our impairment testing, the value of our goodwill could become impaired, with any such impairment loss recognized in
\n
Non-interest expense.
\n
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
\n
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
\n
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
\n
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
\n
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
\n
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
\n
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
\nportion to the total CGU.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00810": { "value": "Goodwill
Goodwill is allocated to cash-generating units or groups of cash-generating units for the purpose of impairment testing, which is
\n
undertaken at the lowest level at which goodwill is monitored for internal management purposes. Impairment testing is
\n
performed annually as at August 1, or more frequently if there are objective indicators of impairment, by comparing the
\n
recoverable amount of a cash-generating unit (CGU) with its carrying amount. The recoverable amount of a CGU is the higher of
\n
its value in use (VIU) and its fair value less costs of disposal (FVLCD). The fair value of a CGU is estimated using valuation
\n
techniques such as a discounted cash flow method, adjusted to reflect the considerations of a prospective third-party buyer.
\n
External evidence such as binding sale agreements or recent transactions for similar businesses within the same industry is
\n
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
\n
particular future cash flows, discount rates and terminal growth rates, due to the uncertainty in the timing and amount of cash
\n
flows and the forward-looking nature of these inputs. Future cash flows are based on financial plans agreed by management
\n
which are estimated based on forecast results, business initiatives, planned capital investments and returns to shareholders.
\n
Discount rates are based on the bank-wide cost of capital, adjusted for CGU-specific risks and currency exposure as reflected by
\n
differences in expected inflation. Bank-wide cost of capital is based on the Capital Asset Pricing Model, the Dividend Growth
\n
Model and peer analysis. CGU-specific risks include country risk, business/operational risk, geographic risk (including political
\n
risk, devaluation risk and government regulation), currency risk and price risk (including product pricing risk and inflation).
\n
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
\n
operates. If the future cash flows and other assumptions in future periods deviate significantly from the current amounts used in
\n
our impairment testing, the value of our goodwill could become impaired, with any such impairment loss recognized in
\n
Non-interest expense.
\n
The carrying amount of a CGU includes the carrying amount of assets, liabilities and goodwill allocated to the CGU. If the
\n
recoverable amount is less than the carrying value, the impairment loss is allocated first to reduce the carrying amount of any
\n
goodwill allocated to the CGU and then to the other non-financial assets of the CGU proportionately based on the carrying
\n
amount of each asset. Any impairment loss is charged to income in the period in which the impairment is identified. Goodwill is
\n
stated at cost less accumulated impairment losses. Subsequent reversals of goodwill impairment are prohibited.
\n
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
\n
determination of gains or losses on disposal. The carrying amount is determined based on the relative fair value of the disposed
\n
portion to the total CGU.
\n
Other intangibles
\n
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
\n
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
\n
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
\n
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
\n
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
\n
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
\n
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
\n
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
\n
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
\n
list and relationships \u2013 7 to 20 years. Intangible assets with indefinite useful lives represent mutual fund management contracts.
\n
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
\n
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
\n
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
\n
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
\n
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
\n
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
\n
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
\n
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
\n
been determined (net of amortization) had there been no prior impairment.
\n
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
\n
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
\n
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
\n
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
\n
based on forecast results and business initiatives. Discount rates are based on the bank-wide cost of capital, adjusted for asset-
\nspecific 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00811": { "value": "Other intangibles
Intangible assets represent identifiable non-monetary assets and are acquired either separately or through a business
\n
combination, or generated internally. Intangible assets acquired through a business combination are recognized separately from
\n
goodwill when they are separable or arise from contractual or other legal rights, and their fair value can be measured reliably.
\n
The cost of a separately acquired intangible asset includes its purchase price and directly attributable costs of preparing the
\n
asset for its intended use. In respect of internally generated intangible assets, cost includes all directly attributable costs
\n
necessary to create, produce and prepare the asset to be capable of operating in the manner intended by management. Research
\n
and development costs that are not eligible for capitalization are expensed. After initial recognition, an intangible asset is carried
\n
at its cost less any accumulated amortization and accumulated impairment losses, if any. Intangible assets with a finite-life are
\n
amortized on a straight-line basis over their estimated useful lives as follows: computer software \u2013 3 to 10 years; and customer
\n
list and relationships \u2013 7 to 20 years. Intangible assets with indefinite useful lives represent mutual fund management contracts.
\n
Intangible assets are assessed for indicators of impairment at each reporting period. If there is an indication that an
\n
intangible asset may be impaired, an impairment test is performed by comparing the carrying amount of the intangible asset to
\n
its recoverable amount. Where it is not possible to estimate the recoverable amount of an individual asset, we estimate the
\n
recoverable amount of the CGU to which the asset belongs. If the recoverable amount of the asset (or CGU) is less than its
\n
carrying amount, the carrying amount of the intangible asset is written down to its recoverable amount as an impairment loss.
\n
An impairment loss recognized previously is reversed if there is a change in the estimates used to determine the recoverable
\n
amount of the asset (or CGU) since the last impairment loss was recognized. If an impairment loss is subsequently reversed, the
\n
carrying amount of the asset (or CGU) is revised to the lower of its recoverable amount and the carrying amount that would have
\n
been determined (net of amortization) had there been no prior impairment.
\n
Due to the subjective nature of these estimates, significant judgment is required in determining the useful lives and
\n
recoverable amounts of our intangible assets, and assessing whether certain events or circumstances constitute objective
\n
evidence of impairment. Estimates of the recoverable amounts of our intangible assets rely on certain key inputs, including
\n
future cash flows and discount rates. Future cash flows are based on sales projections and allocated costs which are estimated
\n
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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00812": { "value": "Other
Translation of foreign currencies
\n
Monetary assets and liabilities denominated in foreign currencies are translated into Canadian dollars at rates prevailing at the
\n
balance sheet date. Foreign exchange gains and losses resulting from the translation and settlement of these items are
\n
recognized in Non-interest income in the Consolidated Statements of Income.
\n
Non-monetary assets and liabilities that are measured at historical cost are translated into Canadian dollars at historical
\n
rates.
\n
Assets and liabilities of our foreign operations with functional currencies other than Canadian dollars are translated into
\n
Canadian dollars at rates prevailing at the balance sheet date, and income and expenses of these foreign operations are
\n
translated at average rates of exchange for the reporting period.
\n
Unrealized gains or losses arising as a result of the translation of our foreign operations along with the effective portion of
\n
related hedges are reported in Other components of equity on an after-tax basis. Upon disposal or partial disposal of a foreign
\noperation, 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00813": { "value": "Premises and equipment
Premises and equipment includes land, buildings, leasehold improvements, computer equipment, furniture, fixtures and other
\n
equipment, and are stated at cost less accumulated depreciation, except for land which is not depreciated, and accumulated
\n
impairment losses. Cost comprises the purchase price, any costs directly attributable to bringing the asset to the location and
\n
condition necessary for its intended use, and the initial estimate of any disposal costs. Depreciation is recorded principally on a
\n
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
\n
equipment, and 5 to 10 years for furniture, fixtures and other equipment. The amortization period for leasehold improvements is
\n
the lesser of the useful life of the leasehold improvements or the lease term plus the first renewal period, if reasonably assured
\n
of renewal. Depreciation methods, useful lives, and residual values are reassessed at each reporting period and adjusted as
\n
appropriate. Gains and losses on disposal are recorded in Non\u2013interest income.
\n
Premises and equipment are assessed for indicators of impairment at each reporting period. If there is an indication that an
\n
asset may be impaired, an impairment test is performed by comparing the asset\u2019s carrying amount to its recoverable amount.
\n
After the recognition of impairment, the depreciation charge is adjusted in future periods to reflect the asset\u2019s revised
\n
carrying amount. If an impairment is later reversed, the carrying amount of the asset is revised to the lower of the asset\u2019s
\n
recoverable amount and the carrying amount that would have been determined (net of depreciation) had there been no prior
\n
impairment loss. The depreciation charge in future periods is adjusted to reflect the revised carrying amount.
\nRight-of-use assets are also included in premises and equipment.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00814": { "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
\n
equipment, and 5 to 10 years for furniture, fixtures and other equipment. The amortization period for leasehold improvements is
\n
the lesser of the useful life of the leasehold improvements or the lease term plus the first renewal period, if reasonably assured
\n
of renewal. Depreciation methods, useful lives, and residual values are reassessed at each reporting period and adjusted as
\nappropriate. Gains and losses on disposal are recorded in Non\u2013interest income.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDepreciationExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00815": { "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
\n
conveys the right to obtain substantially all of the economic benefits from, and direct the use of, an identified asset for a period
\n
of time in return for consideration.
\n
When we are the lessee in a lease arrangement, we initially record a right-of-use asset and corresponding lease liability,
\n
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.
\n
Low-value assets are unspecialized, common, technologically unsophisticated, widely available and widely used
\n
non-infrastructure assets. For short-term leases and leases of low-value assets, we record the lease payments as an operating
\n
expense on a straight-line basis over the lease term.
\n
Where we are reasonably certain to exercise extension and termination options, they are included in the lease term.
\n
The lease liability is initially measured at the present value of the lease payments that are not paid at the commencement
\n
date, discounted at our incremental borrowing rate. The lease liability is subsequently measured at amortized cost using the
\n
effective interest method, recorded in Interest expense.
\n
The right-of-use asset is initially measured based on the initial amount of the lease liability, adjusted for lease payments
\n
made on or before the commencement date, initial direct costs incurred, and an estimate of costs to dismantle, remove, or
\n
restore the asset, less any lease incentives received. Costs related to dismantling and removing leasehold improvements are
\n
capitalized as part of the leasehold improvement asset (rather than the right-of-use asset of the lease) when the leasehold
\n
improvements are separately capitalized.
\n
The right-of-use asset is depreciated to the earlier of the lease term and the useful life, unless ownership will transfer to RBC
\n
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
\n
apply IAS 36
Impairment of assets
to determine whether a right-of-use asset is impaired and account for any identified
\nimpairment loss as described in the premises and equipment accounting policies above.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForLeasesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00816": { "value": "Provisions
Provisions are liabilities of uncertain timing or amount and are recognized when we have a present legal or constructive
\n
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
\n
reliable estimate can be made of the amount of the obligation. Provisions are measured as the best estimate of the consideration
\n
required to settle the present obligation at the reporting date. Significant judgment is required in determining whether a present
\n
obligation exists and in estimating the probability, timing and amount of any outflows. We record provisions related to litigation,
\n
asset retirement obligations and other items.
\n
We are required to estimate the results of ongoing legal proceedings, and expenses to be incurred to dispose of capital
\n
assets. The forward-looking nature of these estimates requires us to use a significant amount of judgment in projecting the
\n
timing and amount of future cash flows. We record our provisions on the basis of all available information at the end of the
\n
reporting period and make adjustments on a quarterly basis to reflect current expectations. It may not be possible to predict the
\n
resolution of these matters or the timing of their ultimate resolution. Should actual results differ from our expectations, we may
\n
incur expenses in excess of the provisions recognized. Where appropriate, we apply judgment in limiting the extent of our
\n
provisions-related disclosures as not to prejudice our positions in matters of dispute.
\n
When some or all of the economic benefits required to settle a provision are expected to be recovered from a third party,
\nsuch 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00817": { "value": "Commissions and fees
Commissions and fees primarily relate to Investment management and custodial fees, Mutual fund revenue, Securities brokerage
\n
commissions, Services charges, Underwriting and other advisory fees, Card service revenue and Credit fees, and are recognized
\n
based on the applicable service contracts with clients.
\n
Investment management and custodial fees and Mutual fund revenue are generally calculated as a percentage of daily or
\n
period-end net asset values (NAV) based on the terms of the contract with clients and are received monthly, quarterly,
\n
semiannually or annually, depending on the terms of the contract. Investment management and custodial fees are generally
\n
derived from assets under management (AUM) when our clients solicit the investment capabilities of an investment manager or
\n
from assets under administration (AUA) where the investment strategy is directed by the client or a designated third-party
\n
manager. Mutual fund revenue is generally derived from the daily NAV of the mutual funds. Investment management and
\n
custodial fees and Mutual fund revenue are recognized over time when the service is provided to the client, provided that it is
\n
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
\n
transaction-type services are recognized when the service is fulfilled. Where services are provided over time, revenue is
\n
recognized as the services are provided.
\n
Underwriting and other advisory fees primarily relate to underwriting of new issuances of debt or equity and various
\n
advisory services. Underwriting fees are generally expressed as a percentage of the funds raised through issuance and are
\n
recognized when the service has been completed. Advisory fees vary depending on the scope and type of engagement and can be
\n
fixed in nature or contingent on a future event. Advisory fees are recognized over the period in which the service is provided and
\n
are recognized only to the extent that it is highly probable that a significant reversal in the amount of revenue will not occur.
\n
Card service revenue primarily includes interchange revenue and annual card fees. Interchange revenue is calculated as a
\n
fixed percentage of the transaction amount and recognized when the card transaction is settled. Annual card fees are fixed fees
\n
and are recognized over a 12 month period.
\n
Credit fees are primarily earned for arranging syndicated loans and making credit available on undrawn facilities. The timing
\n
of the recognition of credit fees varies based on the nature of the services provided.
\n
When service fees and other costs are incurred in relation to commissions and fees earned, we record these costs on a gross
\n
basis in either Non-interest expense \u2013 Other or Non-interest expense \u2013 Human resources based on our assessment of whether we
\n
have primary responsibility to fulfill the contract with the client and have discretion in establishing the price for the commissions
\nand fees earned, which may require judgment.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFeeAndCommissionIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00824": { "value": "Earnings per share
Earnings per share is computed by dividing Net income available to common shareholders by the weighted average number of
\n
common shares outstanding for the period. Net income available to common shareholders is determined after deducting
\n
dividend entitlements of preferred shareholders and distributions on other equity instruments, any gains (losses) on redemption
\n
of preferred shares and other equity instruments net of related income taxes and the net income attributable to non-controlling
\n
interests.
\n
Diluted earnings per share reflects the potential dilution that could occur if additional common shares are assumed to be
\n
issued under securities or contracts that entitle their holders to obtain common shares in the future, to the extent such
\n
entitlement is not subject to unresolved contingencies. For contracts that may be settled in cash or in common shares at our
\n
option, diluted earnings per share is calculated based on the assumption that such contracts will be settled in shares. Income
\n
and expenses associated with these types of contracts are excluded from the Net income available to common shareholders, and
\n
the additional number of shares that would be issued is included in the diluted earnings per share calculation. For stock options
\n
whose exercise price is less than the average market price of our common shares, using the treasury stock method, they are
\n
assumed to be exercised and the proceeds are used to repurchase common shares at the average market price for the period.
\n
The incremental number of common shares issued under stock options and repurchased from proceeds is included in the
\ncalculation of diluted earnings per share.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForEarningsPerShareExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00825": { "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
\n
the substance of the contractual arrangement.
\n
Our common shares held by us are classified as treasury shares in equity and accounted for at weighted average cost. Upon
\n
the sale of treasury shares, the difference between the sale proceeds and the cost of the shares is recognized in Retained
\n
earnings. Financial instruments issued by us are classified as equity instruments when there is no contractual obligation to
\n
transfer cash or other financial assets. Incremental costs directly attributable to the issue of equity instruments are included in
\n
equity as a deduction from the proceeds, net of tax. Financial instruments that will be settled by a variable number of our
\n
common shares upon their conversion by the holders as well as the related accrued distributions are classified as liabilities on
\n
our Consolidated Balance Sheets. Dividends and yield distributions on these instruments are classified as Interest expense in our
\n
Consolidated Statements of Income. For compound instruments comprised of both liability and equity components, the liability
\ncomponent 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00826": { "value": "Future changes in accounting policy and disclosure
Amendments to the Classification and Measurement of Financial Instruments
\n
In May 2024, the IASB issued
Amendments to the Classification and Measurement of Financial Instruments
which amends IFRS 9
\n
Financial Instruments
and IFRS 7
Financial Instruments: Disclosures
(the Amendments). The Amendments clarify classification
\n
guidance for financial assets with environmental, social and governance-linked features and introduce additional related
\n
disclosure requirements. The Amendments will be effective for us on November 1, 2026. We are currently assessing the impact of
\n
adopting the Amendments on our Consolidated Financial Statements.
\n
IFRS 18 Presentation and Disclosure in Financial Statements (IFRS 18)
\n
In April 2024, the IASB issued IFRS 18, which sets out requirements for the presentation and disclosure of information in the
\n
financial statements. IFRS 18 will replace IAS 1 Presentation of Financial Statements and accompanies limited amendments to
\n
other standards which will be effective upon the adoption of the new standard. The standard introduces new defined subtotals to
\n
be presented in the Consolidated Statements of Income, disclosure of management-defined performance measures and
\n
requirements for grouping of information. This standard will be effective for us on November 1, 2027. We are currently assessing
\n
the impact of adopting this standard on our Consolidated Financial Statements.
\n
Updates related to interest rate benchmark reform
\n
To manage our transition to ABRs, we implemented a comprehensive enterprise-wide program and governance structure that
\n
addresses the key areas of impact including contract remediation, funding and liquidity planning, risk management, financial
\n
reporting and valuation, systems, processes and client education and communication. Our remaining transition activities were
\n
focused on two broad streams of work: (i) developing new ABR linked products, and (ii) conversion of existing CDOR based
\n
contracts to ABRs.
\n
On June 28, 2024, the publication of all remaining Canadian Dollar Offered Rate (CDOR) settings was ceased and relatedly we
\n
have ceased our Bankers\u2019 Acceptance-based lending. Consistent with our transition plan, our exposure to non-derivative
\n
financial assets, non-derivative financial liabilities, derivative notional and undrawn balances of loan commitments referencing
\n
CDOR and interest rates substantially similar to CDOR is no longer material to our financial statements (October 31, 2023 \u2013
\n
$29.5 billion, $24.7 billion, $2,154.3 billion, and $40.0 billion, respectively).
\n
We continue to manage significant exposures to benchmarks that have no announced plans for cessation or further reform,
\nincluding the EURO Interbank Offered Rate (EURIBOR) and Australian Bank Bill Swap Rate (BBSW).", "dimensions": { "concept": "ifrs-full:DescriptionOfExpectedImpactOfInitialApplicationOfNewStandardsOrInterpretations", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00827": { "value": "Future changes in accounting policy and disclosure
Amendments to the Classification and Measurement of Financial Instruments
\n
In May 2024, the IASB issued
Amendments to the Classification and Measurement of Financial Instruments
which amends IFRS 9
\n
Financial Instruments
and IFRS 7
Financial Instruments: Disclosures
(the Amendments). The Amendments clarify classification
\n
guidance for financial assets with environmental, social and governance-linked features and introduce additional related
\n
disclosure requirements. The Amendments will be effective for us on November 1, 2026. We are currently assessing the impact of
\n
adopting the Amendments on our Consolidated Financial Statements.
\n
IFRS 18 Presentation and Disclosure in Financial Statements (IFRS 18)
\n
In April 2024, the IASB issued IFRS 18, which sets out requirements for the presentation and disclosure of information in the
\n
financial statements. IFRS 18 will replace IAS 1 Presentation of Financial Statements and accompanies limited amendments to
\n
other standards which will be effective upon the adoption of the new standard. The standard introduces new defined subtotals to
\n
be presented in the Consolidated Statements of Income, disclosure of management-defined performance measures and
\n
requirements for grouping of information. This standard will be effective for us on November 1, 2027. We are currently assessing
\nthe impact of adopting this standard on our Consolidated Financial Statements.", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesAccountingEstimatesAndErrorsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00830": { "value": "Future changes in accounting policy and disclosure
Amendments to the Classification and Measurement of Financial Instruments
\n
In May 2024, the IASB issued
Amendments to the Classification and Measurement of Financial Instruments
which amends IFRS 9
\n
Financial Instruments
and IFRS 7
Financial Instruments: Disclosures
(the Amendments). The Amendments clarify classification
\n
guidance for financial assets with environmental, social and governance-linked features and introduce additional related
\n
disclosure requirements. The Amendments will be effective for us on November 1, 2026. We are currently assessing the impact of
\n
adopting the Amendments on our Consolidated Financial Statements.
\n
IFRS 18 Presentation and Disclosure in Financial Statements (IFRS 18)
\n
In April 2024, the IASB issued IFRS 18, which sets out requirements for the presentation and disclosure of information in the
\n
financial statements. IFRS 18 will replace IAS 1 Presentation of Financial Statements and accompanies limited amendments to
\n
other standards which will be effective upon the adoption of the new standard. The standard introduces new defined subtotals to
\n
be presented in the Consolidated Statements of Income, disclosure of management-defined performance measures and
\n
requirements for grouping of information. This standard will be effective for us on November 1, 2027. We are currently assessing
\nthe impact of adopting this standard on our Consolidated Financial Statements.", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00831": { "value": "Amendments to the Classification and Measurement of Financial Instruments
In May 2024, the IASB issued
Amendments to the Classification and Measurement of Financial Instruments
which amends IFRS 9
\n
Financial Instruments
and IFRS 7
Financial Instruments: Disclosures
(the Amendments). The Amendments clarify classification
\n
guidance for financial assets with environmental, social and governance-linked features and introduce additional related
\n
disclosure requirements. The Amendments will be effective for us on November 1, 2026. We are currently assessing the impact of
\n
adopting the Amendments on our Consolidated Financial Statements.
\n
IFRS 18 Presentation and Disclosure in Financial Statements (IFRS 18)
\n
In April 2024, the IASB issued IFRS 18, which sets out requirements for the presentation and disclosure of information in the
\n
financial statements. IFRS 18 will replace IAS 1 Presentation of Financial Statements and accompanies limited amendments to
\n
other standards which will be effective upon the adoption of the new standard. The standard introduces new defined subtotals to
\n
be presented in the Consolidated Statements of Income, disclosure of management-defined performance measures and
\n
requirements for grouping of information. This standard will be effective for us on November 1, 2027. We are currently assessing
the impact of adopting this standard on our Consolidated Financial Statements.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInsuranceContracts", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00634": { "value": "Note 3
Fair value of financial instruments
\n
Carrying value and fair value of financial instruments
\n
The following tables provide a comparison of the carrying and fair values for each classification of financial instruments.
\n
Embedded derivatives are presented on a combined basis with the host contracts. For measurement purposes, they are carried
\n
at fair value when conditions requiring separation are met.
\n\n \n
As at October 31, 2024
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
$
53,996
$
\u2013
$
\u2013
$
12,024
$
12,024
$
66,020
$
66,020
Securities
Trading
182,346
954
\u2013
\u2013
\u2013
\u2013
183,300
183,300
Investment, net of applicable allowance
\u2013
\u2013
155,118
1,242
100,258
96,336
256,618
252,696
182,346
954
155,118
1,242
100,258
96,336
439,918
435,996
Assets purchased under reverse repurchase
agreements and securities borrowed
284,311
\u2013
\u2013
\u2013
66,492
66,492
350,803
350,803
Loans, net of applicable allowance
Retail
915
\u2013
580
\u2013
622,098
619,320
623,593
620,815
Wholesale
6,177
2,030
1,003
\u2013
348,577
345,561
357,787
354,771
7,092
2,030
1,583
\u2013
970,675
964,881
981,380
975,586
Other
Derivatives
150,612
\u2013
\u2013
\u2013
\u2013
\u2013
150,612
150,612
Other assets
(1)
11,770
\u2013
\u2013
\u2013
50,093
50,093
61,863
61,863
Financial liabilities
Deposits
Personal
$
508
$
33,799
$
487,832
$
490,170
$
522,139
$
524,477
Business and government
(2)
191
156,238
683,241
684,748
839,670
841,177
Bank
(3)
\u2013
10,530
37,192
37,183
47,722
47,713
699
200,567
1,208,265
1,212,101
1,409,531
1,413,367
Other
Obligations related to securities sold short
35,286
\u2013
\u2013
\u2013
35,286
35,286
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
270,663
34,658
34,658
305,321
305,321
Derivatives
163,763
\u2013
\u2013
\u2013
163,763
163,763
Other liabilities
(4)
(1,407)
\u2013
69,597
69,850
68,190
68,443
Subordinated debentures
\u2013
\u2013
13,546
13,602
13,546
13,602
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
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
$
60,856
$
\u2013
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
Trading
180,651
9,500
\u2013
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
842
91,113
83,667
219,579
212,133
180,651
9,500
127,624
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
agreements and securities borrowed
285,869
\u2013
\u2013
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
Retail
114
362
280
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u2013
275,796
268,843
285,641
278,688
5,743
3,981
877
\u2013
842,172
811,323
852,773
821,924
Other
Derivatives
142,450
\u2013
\u2013
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
7,579
5
\u2013
\u2013
68,450
68,450
76,034
76,034
Financial liabilities
Deposits
Personal
$
109
$
26,702
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
33,204
33,160
44,666
44,622
283
175,618
1,055,786
1,051,306
1,231,687
1,227,207
Other
Obligations related to securities sold short
33,651
\u2013
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
298,679
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
92,539
92,441
91,613
91,515
Subordinated debentures
\u2013
\u2013
11,386
11,213
11,386
11,213
\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, 2024, the change in fair value during the period
\n
attributable to changes in credit risk for positions still held was a gain of $45 million and the cumulative change in fair value
\n
attributable to changes in credit risk for positions still held was a loss of $9 million. For the year ended October 31, 2023, the
\n
change in fair value during the period attributable to changes in credit risk for positions still held was a gain of $360 million and
\n
the cumulative change in fair value attributable to changes in credit risk for positions still held was a loss of $102 million. As at
\n
October 31, 2024, the extent to which credit derivatives or similar instruments mitigate the maximum exposure to credit risk was
\n
$954 million (October 31, 2023 \u2013 $692 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.
\n \n \n
As at or for the year ended October 31, 2024
(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
$
33,552
$
33,799
$
247
$
221
$
163
Business and government
(3)
162,648
156,238
(6,410)
1,204
177
Bank
(4)
10,520
10,530
10
\u2013
\u2013
206,720
200,567
(6,153)
1,425
340
Obligations related to assets sold under
repurchase agreements and securities loaned
270,625
270,663
38
\u2013
\u2013
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
$
477,345
$
471,230
$
(6,115)
$
1,425
$
340
\n \n
As at or for the year ended October 31, 2023 (1)
Difference
between
Changes in fair value attributable
carrying value
to changes in credit risk included
Contractual
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)
\n
(1)
$1 million in changes in fair value attributable to changes in credit risk were recognized in income for the year ended October 31, 2024, and $9 million in cumulative
\n
changes in credit risk were included in income for positions still held life-to-date (October 31, 2023 \u2013 $29 million and $17 million, respectively).
\n
(2)
The cumulative change is measured from the initial designation of the liabilities as FVTPL. For the year ended October 31, 2024, $15 million of fair value gains previously
\n
included in OCI relate to financial liabilities derecognized during the year (October 31, 2023 \u2013 $2 million of fair value gains).
\n
(3)
Business and government term deposits include amounts from regulated deposit-taking institutions other than regulated banks.
\n
(4)
Bank term deposits refer to amounts from regulated banks and central banks.
\n
Net gains (losses) from financial instruments classified and designated as fair value through profit or loss
\n
Financial instruments classified as FVTPL, which includes mainly trading securities, derivatives, trading liabilities, and financial
\n
assets and liabilities designated as FVTPL are measured at fair value with realized and unrealized gains and losses recognized in
\n
Non-interest income.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Net gains (losses)
(1)
Classified as fair value through profit or loss
(2)
$
8,996
$
1,998
Designated as fair value through profit or loss
(3)
(5,847)
1,499
$
3,149
$
3,497
By product line
(1)
Interest rate and credit
(4)
$
2,580
$
3,515
Equities
389
(510)
Foreign exchange and commodities
180
492
$
3,149
$
3,497
\n
(1)
Excludes net gains from financial instruments classified as FVTPL of $2,251 million (October 31, 2023 \u2013 net losses of $107 million for financial instruments classified or
\n
designated as FVTPL) presented in Insurance investment result in the Consolidated Statements of Income.
\n
(2)
Excludes derivatives designated in a hedging relationship. Refer to Note 9 for net gains (losses) on these derivatives.
\n
(3)
For the year ended October 31, 2024, $5,838 million of net fair value losses on financial liabilities designated as FVTPL, other than those attributable to changes in our own
\n
credit risk, were included in Non-interest income (October 31, 2023 \u2013 gains of $1,524 million).
\n
(4)
Includes gains (losses) recognized on cross currency interest rate swaps.
\n
Net interest income from financial instruments
\n
Interest and dividend income arising from financial assets and financial liabilities and the associated costs of funding are
\n
reported in Net interest income.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
\n
(1)
Excludes interest and dividend income of $958 million (October 31, 2023 \u2013 $677 million) and interest expense of $120 million (October 31, 2023 \u2013 $191 million) presented in
\n
Insurance investment result in the Consolidated Statements of Income.
\n
(2)
Includes dividend income for the year ended October 31, 2024 of $3,319 million (October 31, 2023 \u2013 $3,215 million), which is presented in Interest and dividend income in
\n
the Consolidated Statements of Income.
Fee income arising from financial instruments
\n
For the year ended October 31, 2024, we earned $6,347 million in fees from banking services (October 31, 2023 \u2013 $6,112 million). For
\n
the year ended October 31, 2024, we also earned $17,467 million in fees from investment management, trust, custodial,
\n
underwriting, brokerage and other similar fiduciary services to retail and institutional clients (October 31, 2023 \u2013 $15,319 million).
\n
These fees are included in Non-interest income.
\n
Fair value of assets and liabilities measured at fair value on a recurring basis and classified using the fair value hierarchy
\n\n \n
As at
October 31, 2024
October 31, 2023 (Restated \u2013 Note 2)
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
$
53,996
$
\u2013
$
$
53,996
$
\u2013
$ 60,856
$
\u2013
$
$
60,856
Securities
Trading
Debt issued or guaranteed by:
Canadian government
(1)
Federal
11,611
2,173
\u2013
13,784
26,675
2,581
\u2013
29,256
Provincial and municipal
\u2013
16,588
\u2013
16,588
\u2013
16,389
\u2013
16,389
U.S. federal, state, municipal and agencies
(1), (2)
1,852
29,136
\u2013
30,988
2,249
50,439
\u2013
52,688
Other OECD government
(3)
2,481
2,153
\u2013
4,634
2,055
2,577
\u2013
4,632
Mortgage-backed securities
(1)
\u2013
3
\u2013
3
\u2013
2
\u2013
2
Asset-backed securities
\u2013
1,434
\u2013
1,434
\u2013
1,245
\u2013
1,245
Corporate debt and other debt
\u2013
26,195
\u2013
26,195
\u2013
22,615
\u2013
22,615
Equities
84,814
2,316
2,544
89,674
58,826
2,232
2,266
63,324
100,758
79,998
2,544
183,300
89,805
98,080
2,266
190,151
Investment
Debt issued or guaranteed by:
Canadian government
(1)
Federal
4,623
8,546
\u2013
13,169
2,731
3,528
\u2013
6,259
Provincial and municipal
\u2013
7,554
\u2013
7,554
\u2013
2,748
\u2013
2,748
U.S. federal, state, municipal and agencies
(1)
42
80,224
\u2013
80,266
275
73,020
\u2013
73,295
Other OECD government
2,370
7,786
\u2013
10,156
\u2013
6,192
\u2013
6,192
Mortgage-backed securities
(1)
\u2013
2,603
31
2,634
\u2013
2,672
29
2,701
Asset-backed securities
\u2013
9,357
\u2013
9,357
\u2013
8,706
\u2013
8,706
Corporate debt and other debt
\u2013
31,839
143
31,982
\u2013
27,574
149
27,723
Equities
432
304
506
1,242
38
338
466
842
7,467
148,213
680
156,360
3,044
124,778
644
128,466
Assets purchased under reverse repurchase agreements and
securities borrowed
\u2013
284,311
\u2013
284,311
\u2013
285,869
\u2013
285,869
Loans
\u2013
8,924
1,781
10,705
\u2013
8,742
1,859
10,601
Other
Derivatives
Interest rate contracts
\u2013
27,719
354
28,073
\u2013
39,243
290
39,533
Foreign exchange contracts
\u2013
98,480
3
98,483
\u2013
89,644
4
89,648
Credit derivatives
\u2013
273
\u2013
273
\u2013
224
\u2013
224
Other contracts
2,553
23,830
21
26,404
2,352
13,927
111
16,390
Valuation adjustments
\u2013
(1,067)
14
(1,053)
\u2013
(1,805)
4
(1,801)
Total gross derivatives
2,553
149,235
392
152,180
2,352
141,233
409
143,994
Netting adjustments
(1,568)
(1,568)
(1,544)
(1,544)
Total derivatives
150,612
142,450
Other assets
5,291
6,472
7
11,770
4,152
3,421
11
7,584
$116,069
$ 731,149
$ 5,404
$
(1,568)
$ 851,054
$99,353
$722,979
$
5,189
$
(1,544)
$ 825,977
Financial liabilities
Deposits
Personal
$
\u2013
$
33,829
$
478
$
$
34,307
$
\u2013
$ 26,428
$
383
$
$
26,811
Business and government
\u2013
156,429
\u2013
156,429
\u2013
137,628
\u2013
137,628
Bank
\u2013
10,530
\u2013
10,530
\u2013
11,462
\u2013
11,462
Other
Obligations related to securities sold short
15,172
20,114
\u2013
35,286
14,391
19,260
\u2013
33,651
Obligations related to assets sold under repurchase agreements and
securities loaned
\u2013
270,663
\u2013
270,663
\u2013
298,679
\u2013
298,679
Derivatives
Interest rate contracts
\u2013
24,852
847
25,699
\u2013
41,249
952
42,201
Foreign exchange contracts
\u2013
93,164
54
93,218
\u2013
81,750
53
81,803
Credit derivatives
\u2013
218
\u2013
218
\u2013
176
\u2013
176
Other contracts
3,212
42,961
324
46,497
3,119
17,306
549
20,974
Valuation adjustments
\u2013
(297)
(4)
(301)
\u2013
(982)
1
(981)
Total gross derivatives
3,212
160,898
1,221
165,331
3,119
139,499
1,555
144,173
Netting adjustments
(1,568)
(1,568)
(1,544)
(1,544)
Total derivatives
163,763
142,629
Other liabilities
287
(1,694)
\u2013
(1,407)
370
(1,296)
\u2013
(926)
$ 18,671
$ 650,769
$ 1,699
$
(1,568)
$ 669,571
$17,880
$631,660
$
1,938
$
(1,544)
$ 649,934
\n
(1)
As at October 31, 2024, residential and commercial mortgage-backed securities (MBS) included in all fair value levels of trading securities were $17,154 million and $nil
\n
(October 31, 2023 \u2013 $14,345 million and $nil), respectively, and in all fair value levels of Investment securities were $27,048 million and $2,568 million (October 31, 2023 \u2013
\n
$24,365 million and $2,618 million), respectively.
\n
(2)
United States (U.S.).
\n
(3)
Organisation for Economic Co-operation and Development (OECD).
Fair values of our significant assets and liabilities measured on a recurring basis are determined and classified in the fair value
\n
hierarchy table using the following valuation techniques and inputs.
\n
Interest-bearing deposits with banks
\n
The majority of our Interest-bearing deposits with banks are designated as FVTPL. These FVTPL deposits are composed of short-
\n
dated deposits placed with banks, and are included in Interest-bearing deposits with banks in the fair value hierarchy table. The
\n
fair values of these instruments are determined using the discounted cash flow method. The inputs to the valuation models
\n
include interest rate swap curves and credit spreads, where applicable. They are classified as Level 2 instruments in the
\n
hierarchy as the inputs are observable.
\n
Government bonds (Canadian, U.S. and other OECD governments)
\n
Government bonds are included in Canadian government debt, U.S. federal, state, municipal and agencies debt, Other OECD
\n
government debt and Obligations related to securities sold short in the fair value hierarchy table. The fair values of government
\n
issued or guaranteed debt securities in active markets are determined by reference to recent transaction prices, broker quotes,
\n
or third-party vendor prices and are classified as Level 1 in the hierarchy. The fair values of securities that are not traded in
\n
active markets are based on either security prices, or valuation techniques using implied yields and risk spreads derived from
\n
prices of actively traded and similar government securities. Securities with observable prices or rate inputs as compared to
\n
transaction prices, dealer quotes or vendor prices are classified as Level 2 in the hierarchy. Securities where inputs are
\n
unobservable are classified as Level 3 in the hierarchy.
\n
Corporate and U.S. municipal bonds
\n
The fair values of corporate and U.S. municipal bonds, which are included in Corporate debt and other debt, U.S. federal, state,
\n
municipal and agencies debt and Obligations related to securities sold short in the fair value hierarchy table, are determined
\n
using either recently executed transaction prices, broker quotes, pricing services, or in certain instances, the discounted cash
\n
flow method using rate inputs such as benchmark yields (CDOR, Secured Overnight Financing Rate (SOFR) and other similar
\n
reference rates) and risk spreads of comparable securities. Securities with observable prices or rate inputs are classified as
\n
Level 2 in the hierarchy. Securities where inputs are unobservable are classified as Level 3 in the hierarchy.
\n
Asset-backed securities and Mortgage-backed securities
\n
Asset-backed securities (ABS) and MBS are included in Asset-backed securities, Mortgage-backed securities, Canadian
\n
government debt, U.S. federal, state, municipal and agencies debt, and Obligations related to securities sold short in the fair
\n
value hierarchy table. Inputs for valuation of ABS and MBS are, when available, traded prices, dealer or lead manager quotes,
\n
broker quotes and vendor prices of the identical securities. When prices of the identical securities are not readily available, we
\n
use industry standard models with inputs such as discount margins, yields, default, prepayment and loss severity rates that are
\n
implied from transaction prices, dealer quotes or vendor prices of comparable instruments. Where security prices and inputs are
\n
observable, ABS and MBS are classified as Level 2 in the hierarchy. Otherwise, they are classified as Level 3 in the hierarchy.
\n
Equities
\n
Equities consist of listed and unlisted common shares, private equities, mutual funds and hedge funds with certain redemption
\n
restrictions and are included in equities and obligations for securities sold short. The fair values of common shares are based on
\n
quoted prices in active markets, where available, and are classified as Level 1 in the hierarchy. Where quoted prices in active
\n
markets are not readily available, fair value is determined based on quoted market prices for similar securities or through
\n
valuation techniques, such as multiples of earnings and the discounted cash flow method with forecasted cash flows and
\n
discount rate as inputs. Private equities are classified as Level 3 in the hierarchy as their inputs are not observable. Hedge funds
\n
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
\n
classified as Level 2 in the hierarchy. Otherwise, it is classified as Level 3 in the hierarchy.
\n
Loans
\n
Loans include base metal loans, corporate loans, banker acceptances and asset-backed financing loans. Fair values are
\n
determined based on market prices, if available, or discounted cash flow method using the following inputs: market interest
\n
rates, base metal commodity prices, market based spreads of assets with similar credit ratings and terms to maturity, LGD,
\n
expected default frequency implied from credit derivative prices, if available, and relevant pricing information such as
\n
contractual rate, origination and maturity dates, redemption price, coupon payment frequency and day count convention. Loans
\n
with market prices or observable inputs are classified as Level 2 in the hierarchy and loans with unobservable inputs that have
\n
significant impacts on the fair values are classified as Level 3 in the hierarchy.
\n
Derivatives
\n
The fair values of exchange-traded derivatives, such as interest rate and equity options and futures, are based on quoted market
\n
prices and are typically classified as Level 1 in the hierarchy. OTC derivatives primarily consist of interest rate contracts, foreign
\n
exchange contracts, commodity derivatives, equity derivatives and credit derivatives. The exchange-traded or OTC interest rate,
\n
foreign exchange and commodity and equity derivatives are included in Interest rate contracts, Foreign exchange contracts and
\n
Other contracts, respectively, in the fair value hierarchy table. The fair values of OTC derivatives are determined using valuation
\n
models when quoted market prices or third-party consensus pricing information are not available. The valuation models, such as
\n
discounted cash flow method or Black-Scholes option model, incorporate observable or unobservable inputs for interest and
\n
foreign exchange rates, equity and commodity prices (including indices), credit spreads, corresponding market volatility levels,
\n
and other market-based pricing factors. Other adjustments to fair value include bid-offer, CVA, FVA, OIS, parameter and model
\n
uncertainties, and unrealized gain or loss at inception of a transaction. A derivative instrument is classified as Level 2 in the
\n
hierarchy if observable market inputs are available or the unobservable inputs are not significant to the fair value. Otherwise, it
\n
is classified as Level 3 in the hierarchy.
Securities borrowed or purchased under resale agreements and securities loaned or sold under repurchase agreements
\n
In the fair value hierarchy table, these instruments are included in Assets purchased under reverse repurchase agreements and
\n
securities borrowed, and Obligations related to assets sold under repurchase agreements and securities loaned. The fair values
\n
of these contracts are determined using valuation techniques such as the discounted cash flow method using interest rate
\n
curves as inputs. They are classified as Level 2 instruments in the hierarchy as the inputs are observable.
\n
Deposits
\n
A majority of our deposits are measured at amortized cost but certain deposits are designated as FVTPL. These FVTPL deposits
\n
include deposits taken from clients, issuances of certificates of deposits and promissory notes, and interest rate and equity
\n
linked notes. The fair values of these instruments are determined using the discounted cash flow method and derivative option
\n
valuation models. The inputs to the valuation models include benchmark yield curves, credit spreads, interest rates, equity and
\n
interest rate volatility, dividends and correlation, where applicable. They are classified as Level 2 or 3 instruments in the
\n
hierarchy, depending on the significance of the unobservable credit spreads, volatility, dividend and correlation rates.
\n
Quantitative information about fair value measurements using significant unobservable inputs (Level 3 Instruments)
\n
The following table presents fair values of our significant Level 3 financial instruments, valuation techniques used to determine
\n
their fair values, ranges and weighted averages of unobservable inputs.
\n
As at October 31, 2024 (Millions of Canadian dollars, except for prices, percentages and ratios)
\n\n \n
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
$
64.67
$ 116.25
$
92.07
derivatives
Corporate debt and other debt
$
\u2013
Discounted cash flows
Credit spread
1.45%
10.90%
6.17%
Loans
1,781
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
2
Government debt and
municipal bonds
Corporate debt and other debt
143
Discounted cash flows
Yields
6.54%
9.55%
7.54%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
3.20X
17.20X
7.94X
investments and related
Equities
3,050
Price-based
P/E multiples
7.30X
22.60X
11.27X
equity derivatives
Derivative related liabilities
\u2013
Discounted cash flows
EV/Rev multiples
0.70X
5.72X
2.59X
Liquidity discounts
(4)
10.00%
40.00%
10.40%
Discount rate
8.50%
8.50%
8.50%
NAV / prices
(5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
1.89%
4.59%
Even
interest-rate-linked
Derivative related assets
355
Option pricing model
CPI swap rates
1.84%
1.96%
Even
structured notes
(6), (7)
Derivative related liabilities
900
IR-IR correlations
48.00%
86.00%
Even
FX-IR correlations
(76.00)%
66.00%
Even
FX-FX correlations
(74.00)%
61.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
0.00%
10.60%
Lower
notes
(6), (7)
Derivative related assets
21
Option pricing model
Equity (EQ)-EQ correlations
6.30%
95.85%
Middle
Deposits
478
EQ-FX correlations
(77.11)%
50.38%
Middle
Derivative related liabilities
283
EQ volatilities
6.00%
146.87%
Lower
Other
(8)
Derivative related assets
16
Other assets
7
Mortgage-backed securities
31
Derivative related liabilities
36
Total
$ 5,404
$
1,699
As at October 31, 2023 (Millions of Canadian dollars, except for prices, percentages and ratios)
\n\n \n
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)
Derivative related assets
5
Other assets
11
Mortgage-backed securities
29
Derivative related liabilities
73
Total
$
5,189
$
1,938
\n
(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
\n
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
\n
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
\n
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
\n
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
\n
indicated in the table.
\n
(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
\n
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
\n
par value.
\n
(3)
The significant unobservable inputs include the following: (i) Enterprise Value (EV); (ii) Earnings Before Interest, Taxes, Depreciation and Amortization (EBITDA);
\n
(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).
\n
(4)
Fair value of securities with liquidity discount inputs totalled $541 million (October 31, 2023 \u2013 $483 million).
\n
(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
\n
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
\n
investments.
\n
(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
\n
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
\n
throughout the range.
\n
(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.
\n
(8)
Other primarily includes certain insignificant instruments such as auction rate securities, commodity derivatives, foreign exchange derivatives, contingent
\n
considerations, bank-owned life insurance and retractable shares.
\n
n.a.
not applicable
\n
Sensitivity to unobservable inputs and interrelationships between unobservable inputs
\n
Yield, credit spreads/discount margins
\n
A financial instrument\u2019s yield is the interest rate used to discount future cash flows in a valuation model. An increase in the yield,
\n
in isolation, would result in a decrease in a fair value measurement and vice versa. A credit spread/discount margin is the
\n
difference between a debt instrument\u2019s yield and a benchmark instrument\u2019s yield. Benchmark instruments have high credit
\n
quality ratings, similar maturities and are often government bonds. The credit spread/discount margin therefore represents the
\n
discount rate used to determine the present value of future cash flows of an asset to reflect the market return required for
\n
uncertainty in the estimated cash flows. The credit spread/discount margin for an instrument forms part of the yield used in a
\n
discounted cash flow method.
\n
Funding spread
\n
Funding spreads are credit spreads specific to funding or deposit rates. A decrease in funding spreads, on its own, will increase
\n
the fair value of our liabilities, and vice versa.
\n
Default rates
\n
A default rate is the rate at which borrowers fail to make scheduled loan payments. A decrease in the default rate will typically
\n
increase the fair value of the loan, and vice versa. This effect will be significantly more pronounced for a non-government
\n
guaranteed loan than a government guaranteed loan.
Prepayment rates
\n
A prepayment rate is the rate at which a loan will be repaid in advance of its expected amortization schedule. Prepayments
\n
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
\n
the loan interest rate is lower than the current reinvestment rate, and a decrease in the prepayment rate in isolation will result in
\n
a decrease in fair value when the loan interest rate is lower than the current reinvestment rate. Prepayment rates are generally
\n
negatively correlated with interest rates.
\n
Recovery and loss severity rates
\n
A recovery rate is an estimation of the amount that can be collected in a loan default scenario. The recovery rate is the recovered
\n
amount divided by the loan balance due, expressed as a percentage. The inverse concept of recovery is loss severity. Loss
\n
severity rate is an estimation of the loan amount not collected when a loan defaults. The loss severity rate is the loss amount
\n
divided by the loan balance due, expressed as a percentage. Generally, an increase in the recovery rate or a decrease in the loss
\n
severity rate will increase the loan fair value, and vice versa.
\n
Volatility rates
\n
Volatility measures the potential variability of future prices and is often measured as the standard deviation of price movements.
\n
Volatility is an input to option pricing models used to value derivatives and issued structured notes. Volatility is used in valuing
\n
equity, interest rate, commodity and foreign exchange options. A higher volatility rate means that the underlying price or rate
\n
movements are more likely to occur. Higher volatility rates may increase or decrease an option\u2019s fair value depending on the
\n
option\u2019s terms. The determination of volatility rates is dependent on various factors, including but not limited to, the underlying\u2019s
\n
market price, the strike price and maturity.
\n
Dividend yields
\n
A dividend yield is the underlying equity\u2019s expected dividends expressed as an annual percentage of its price. Dividend yield is
\n
used as an input for forward equity price and option models. Higher dividend yields will decrease the forward price, and vice
\n
versa. A higher dividend yield will increase or decrease an option\u2019s value, depending on the option\u2019s terms.
\n
Correlation rates
\n
Correlation is the linear relationship between the movements in two different variables. Correlation is an input to the valuation of
\n
derivative contracts and issued structured notes when an instrument\u2019s payout is determined by correlated variables. When
\n
variables are positively correlated, an increase in one variable will result in an increase in the other variable. When variables are
\n
negatively correlated, an increase in one variable will result in a decrease in the other variable. The referenced variables can be
\n
within a single asset class or market (equity, interest rate, commodities, credit and foreign exchange) or between variables in
\n
different asset classes (equity to foreign exchange, or interest rate to foreign exchange). Changes in correlation will either
\n
increase or decrease a financial instrument\u2019s fair value depending on the terms of the instrument.
\n
Interest rates
\n
An interest rate is the percentage amount charged on a principal or notional amount. Increasing interest rates will decrease the
\n
discounted cash flow value of a financial instrument, and vice versa.
\n
Consumer Price Index swap rates
\n
A CPI swap rate is expressed as a percentage of an increase in the average price of a basket of consumer goods and services,
\n
such as transportation, food and medical care. An increase in the CPI swap rate will cause inflation swap payments to be larger,
\n
and vice versa.
\n
EV/EBITDA multiples, P/E multiples, EV/Rev multiples, and liquidity discounts
\n
Private equity valuation inputs include EV/EBITDA multiples, P/E multiples and EV/Rev multiples. These are used to calculate
\n
either enterprise value or share value of a company based on a multiple of earnings or revenue estimates. Higher multiples
\n
equate to higher fair values for all multiple types, and vice versa. A liquidity discount may be applied when few or no transactions
\n
exist to support the valuations.
\n
Credit Enhancement
\n
Credit enhancement is an input to the valuation of securitized transactions and is the amount of loan loss protection for a senior
\n
tranche. Credit enhancement is expressed as a percentage of the transaction sizes. An increase in credit enhancement will cause
\n
the credit spread to decrease and the tranche fair value to increase, and vice versa.
\n
Interrelationships between unobservable inputs
\n
Unobservable inputs, including the above discount margin, default rate, prepayment rate, and recovery and loss severity rates,
\n
may not be independent of each other. For example, the discount margin can be affected by a change in default rate, prepayment
\n
rate, or recovery and loss severity rates. Discount margins will generally decrease when default rates decline or when recovery
\n
rates increase.
Changes in fair value measurement for instruments measured on a recurring basis and categorized in Level 3
\n\n \n
For the year ended October 31, 2024
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
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
Asset-backed securities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Corporate debt and other debt
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Equities
2,266
(195)
5
577
(88)
1
(22)
2,544
(128)
2,266
(195)
5
577
(88)
1
(22)
2,544
(128)
Investment
Mortgage-backed securities
29
\u2013
2
\u2013
\u2013
\u2013
\u2013
31
n.a.
Corporate debt and other debt
149
\u2013
11
\u2013
(17)
\u2013
\u2013
143
n.a.
Equities
466
\u2013
35
6
(3)
2
\u2013
506
n.a.
644
\u2013
48
6
(20)
2
\u2013
680
n.a.
Loans
1,859
(25)
37
513
(445)
70
(228)
1,781
63
Other
Net derivative balances
(3)
Interest rate contracts
(662)
46
1
(47)
145
30
(6)
(493)
51
Foreign exchange contracts
(49)
(15)
7
14
3
3
(14)
(51)
(9)
Other contracts
(438)
(139)
2
(106)
8
(330)
700
(303)
31
Valuation adjustments
3
\u2013
\u2013
(4)
19
\u2013
\u2013
18
\u2013
Other assets
11
\u2013
\u2013
\u2013
(4)
\u2013
\u2013
7
\u2013
$ 3,634
$ (328)
$
100
$
953
$ (382)
$ (224)
$
430
$ 4,183
$
8
Liabilities
Deposits
$
(383)
$ (119)
$
\u2013
$
(583)
$
165
$ (120)
$
562
$
(478)
$ (40)
$
(383)
$ (119)
$
\u2013
$
(583)
$
165
$ (120)
$
562
$
(478)
$ (40)
\n\n \n
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
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
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
\n
(1)
These amounts include the foreign currency translation gains or losses arising on consolidation of foreign subsidiaries relating to the Level 3 instruments, where
\n
applicable. The unrealized gains on Investment securities recognized in OCI were $38 million for the year ended October 31, 2024 (October 31, 2023 \u2013 gains of $65 million)
\n
excluding the translation gains or losses arising on consolidation.
\n
(2)
Other includes amortization of premiums or discounts recognized in net income.
\n
(3)
Net derivatives as at October 31, 2024 included derivative assets of $392 million (October 31, 2023 \u2013 $409 million) and derivative liabilities of $1,221 million
\n
(October 31, 2023 \u2013 $1,555 million).
\n
n.a.
not applicable
Transfers between fair value hierarchy levels for instruments carried at fair value on a recurring basis
\n
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
\n
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
\n
Gains (losses) included in earnings for positions still held column of the above reconciliation, whereas for transfers out of Level 3
\n
during the period, the entire change in fair value for the period is included in the same column of the above reconciliation.
\n
Transfers between Level 1 and 2 are dependent on whether fair value is obtained on the basis of quoted market prices in active
\n
markets (Level 1).
\n
During the year ended October 31, 2024, transfers out of Level 1 to Level 2 included Investment U.S. federal, state, municipal
\n
and agencies debt of $1,038 million and Trading U.S. federal, state, municipal and agencies debt of $822 million. During the year
\n
ended October 31, 2023, transfers out of Level 1 to Level 2 included Trading U.S. federal, state, municipal and agencies debt of
\n
$763 million, Investment U.S. federal, state, municipal and agencies debt of $435 million and Obligations related to securities sold
\n
short of $151 million.
\n
During the years ended October 31, 2024 and October 31, 2023, there were no significant transfers out of Level 2 to Level 1.
\n
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
\n
an unobservable input\u2019s significance to a financial instrument\u2019s fair value.
\n
During the year ended October 31, 2024, transfers out of Level 2 to Level 3 included Other contracts and Deposits due to
\n
changes in the significance of unobservable inputs and changes in the market observability of inputs. During the year ended
\n
October 31, 2023, transfers out of Level 2 to Level 3 included Other contracts and Deposits due to changes in the significance of
\n
unobservable inputs and changes in the market observability of inputs.
\n
During the year ended October 31, 2024, transfers out of Level 3 to Level 2 included Other contracts, Deposits and Loans due
\n
to changes in the significance of unobservable inputs and changes in the market observability of inputs. During the year ended
\n
October 31, 2023, transfers out of Level 3 to Level 2 included Other contracts, Loans and Deposits due to changes in the market
\n
observability of inputs and changes in the significance of unobservable inputs.
\n
Positive and negative fair value movements of Level 3 financial instruments from using reasonably possible alternative
\n
assumptions
\n
A financial instrument is classified as Level 3 in the fair value hierarchy if one or more of its unobservable inputs may
\n
significantly affect the measurement of its fair value. In preparing the financial statements, appropriate levels for these
\n
unobservable input parameters are chosen so that they are consistent with prevailing market evidence or management
\n
judgment. Due to the unobservable nature of the prices or rates, there may be uncertainty about the valuation of these Level 3
\n
financial instruments.
\n
The following table summarizes the impacts to fair values of Level 3 financial instruments using reasonably possible
\n
alternative assumptions. This sensitivity disclosure is intended to illustrate the potential impact of the relative uncertainty in the
\n
fair value of Level 3 financial instruments. In reporting the sensitivities below, we offset balances in instances where: (i) the move
\n
in valuation factors cause an offsetting positive and negative fair value movement, (ii) both offsetting instruments are in Level 3,
\n
and (iii) exposures are managed and reported on a net basis. With respect to overall sensitivity, it is unlikely in practice that all
\n
reasonably possible alternative assumptions would simultaneously be realized.
\n\n \n
As at
October 31, 2024
October 31, 2023
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
Equities
$
2,544
$
50
$
(46)
$
2,266
$
50
$
(43)
Investment
Mortgage-backed securities
31
4
(4)
29
4
(4)
Corporate debt and other debt
143
9
(8)
149
11
(10)
Equities
506
45
(44)
466
48
(47)
Loans
1,781
19
(20)
1,859
33
(37)
Derivatives
392
5
(4)
409
10
(7)
Other assets
7
\u2013
\u2013
11
\u2013
\u2013
$
5,404
$
132
$
(126)
$
5,189
$
156
$
(148)
Deposits
$
(478)
$
15
$
(15)
$
(383)
$
26
$
(26)
Derivatives
(1,221)
54
(57)
(1,555)
59
(66)
$ (1,699)
$
69
$
(72)
$ (1,938)
$
85
$
(92)
\n
Sensitivity results
\n
As at October 31, 2024, the effects of applying other reasonably possible alternative assumptions to the Level 3 asset positions
\n
would be an increase of $132 million and a reduction of $126 million in fair value, of which $58 million and $56 million would be
\n
recorded in Other components of equity, respectively. The effects of applying these assumptions to the Level 3 liability positions
\n
would result in a decrease of $69 million and an increase of $72 million in fair value.
Level 3 valuation inputs and approaches to developing reasonably possible alternative assumptions
\n
The following is a summary of the unobservable inputs used in the valuation of the Level 3 instruments and our approaches to
\n
developing reasonably possible alternative assumptions used to determine sensitivity.
\n\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.
\n
Fair value for financial instruments that are carried at amortized cost and classified using the fair value hierarchy
\n\n \n
As at October 31, 2024
Fair value may not approximate carrying value
Fair 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
$
12,024
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
12,024
Amortized cost securities
(2)
\u2013
68
96,268
\u2013
96,336
96,336
Assets purchased under reverse
repurchase agreements and
securities borrowed
54,331
\u2013
12,161
\u2013
12,161
66,492
Loans
Retail
79,960
\u2013
533,708
5,652
539,360
619,320
Wholesale
16,022
\u2013
321,684
7,855
329,539
345,561
95,982
\u2013
855,392
13,507
868,899
964,881
Other assets
49,414
\u2013
412
267
679
50,093
211,751
68
964,233
13,774
978,075
1,189,826
Deposits
Personal
273,228
\u2013
216,675
267
216,942
490,170
Business and government
443,077
\u2013
241,204
467
241,671
684,748
Bank
23,942
\u2013
13,241
\u2013
13,241
37,183
740,247
\u2013
471,120
734
471,854
1,212,101
Obligations related to assets sold
under repurchase agreements and
securities loaned
34,658
\u2013
\u2013
\u2013
\u2013
34,658
Other liabilities
51,561
\u2013
1,983
16,306
18,289
69,850
Subordinated debentures
\u2013
\u2013
13,602
\u2013
13,602
13,602
$ 826,466
$
\u2013
$ 486,705
$ 17,040
$ 503,745
$ 1,330,211
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
Fair value may not approximate carrying value
Fair 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
67,313
\u2013
914
223
1,137
68,450
195,908
34
820,645
11,405
832,084
1,027,992
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
77,021
\u2013
1,856
13,564
15,420
92,441
Subordinated debentures
\u2013
\u2013
11,213
\u2013
11,213
11,213
$
768,988
$
\u2013
$
407,750
$ 14,781
$
422,531
$ 1,191,519
\n
(1)
Certain financial instruments have not been assigned to a level as the carrying amount approximates their fair values.
\n
(2)
Included in Securities \u2013 Investment, net of applicable allowance on the Consolidated Balance Sheets.
\n
Fair values of financial assets and liabilities carried at amortized cost and disclosed in the table above are determined using the
\n
following valuation techniques and inputs.
\n
Amortized cost securities
\n
Fair values of government bonds, corporate bonds, and ABS are based on quoted prices. Fair values of certain Non-OECD
\n
government bonds are based on vendor prices or the discounted cash flow method with yield curves of other countries\u2019
\n
government bonds as inputs. For ABS, where market prices are not available, the fair value is determined using the discounted
\n
cash flow method. The inputs to the valuation model generally include market interest rates, spreads and yields derived from
\n
comparable securities, prepayment, and LGD.
\n
Assets purchased under reverse repurchase agreements and securities borrowed, and Obligations related to assets sold
\n
under repurchase agreements and securities loaned
\n
Valuation methods used for the long-term instruments are described in the Fair value of assets and liabilities measured on a
\n
recurring basis and classified using the fair value hierarchy section of this note. The carrying values of short-term instruments
\n
generally approximate their fair values.
\n
Loans \u2013 Retail
\n
Retail loans include residential mortgages, personal and small business loans and credit cards. For residential mortgages, and
\n
personal and small business loans, we segregate the portfolio based on certain attributes such as product type, contractual
\n
interest rate, term to maturity and credit scores, if applicable. Fair values of these loans are determined by the discounted cash
\n
flow method using applicable inputs such as prevailing interest rates, contractual and posted client rates, client discounts, credit
\n
spreads, prepayment rates and loan-to-value (LTV) ratios. Fair values of credit card receivables are also calculated based on a
\n
discounted cash flow method with portfolio yields, write-offs and monthly payment rates as inputs. The carrying values of short-
\n
term and variable rate loans generally approximate their fair values.
\n
Loans \u2013 Wholesale
\n
Where market prices are available, wholesale loans are valued based on market prices. Otherwise, fair value is determined by
\n
the discounted cash flow method using the following inputs: market interest rates and market based spreads of assets with
\n
similar credit ratings and terms to maturity, LGD, expected default frequency implied from credit default swap prices, if available,
\n
and relevant pricing information such as contractual rate, origination and maturity dates, redemption price, coupon payment
\n
frequency and date convention.
Deposits
\n
Deposits are comprised of demand, notice, and term deposits which include senior deposit notes we have issued to provide us
\n
with long-term funding. Fair values of term deposits are determined by one of several valuation techniques: (i) for term deposits
\n
and similar instruments, we segregate the portfolio based on term to maturity. Fair values of these instruments are determined
\n
by the discounted cash flow method using inputs such as client rates for new sales of the corresponding terms; and (ii) for senior
\n
deposit notes, we use actual traded prices, vendor prices or the discounted cash flow method using a market interest rate curve
\n
and our funding spreads as inputs. The carrying values of demand, notice, and short-term term deposits generally approximate
\n
their fair values.
\n
Other assets and Other liabilities
\n
Other assets and Other liabilities include receivables and payables relating to certain commodities. Fair values of the commodity
\n
receivables and payables are calculated by the discounted cash flow method using applicable inputs such as market interest
\n
rates, counterparties\u2019 credit spreads, our funding spreads, commodity forward prices and spot prices.
\n
Subordinated debentures
\n
Fair values of Subordinated debentures are based on market prices, dealer quotes or vendor prices when available. Where prices
\n
cannot be observed, fair value is determined using the discounted cash flow method, with applicable inputs such as market
\ninterest rates and credit spreads.Note 9
Derivative financial instruments and hedging activities
\n
Derivative instruments are categorized as either financial or non-financial derivatives. Financial derivatives are financial
\n
contracts whose value is derived from an underlying interest rate, foreign exchange rate, credit risk, and equity or equity index.
\n
Non-financial derivatives are contracts whose value is derived from a precious metal, commodity instrument or index. The
\n
notional amount of derivatives represents the contract amount used as a reference point to calculate payments. Notional
\n
amounts are generally not exchanged by counterparties, and do not reflect our EAD.
\n
Financial derivatives
\n
Forwards and futures
\n
Forward contracts are non-standardized agreements that are transacted between counterparties in the OTC market, whereas
\n
futures are standardized contracts with respect to amounts and settlement dates, and are traded on regular futures exchanges.
\n
Examples of forwards and futures are described below.
\n
Interest rate forwards (forward rate agreements) and futures are contractual obligations to buy or sell an interest-rate
\n
sensitive financial instrument on a predetermined future date at a specified price.
\n
Foreign exchange forwards and futures are contractual obligations to exchange one currency for another at a specified price
\n
for settlement at a predetermined future date.
\n
Equity forwards and futures are contractual obligations to buy or sell at a fixed value (the specified price) of an equity index,
\n
a basket of stocks or a single stock at a predetermined future date.
Swaps
\n
Swaps are OTC contracts in which two counterparties exchange a series of cash flows based on agreed upon rates applied to a
\n
notional amount. Examples of swap agreements are described below.
\n
Interest rate swaps are agreements where two counterparties exchange a series of payments based on different interest rates
\n
applied to a notional amount in a single currency. Certain interest rate swaps are transacted and settled through clearing houses
\n
which act as central counterparties. Cross currency swaps involve the exchange of fixed payments in one currency for the receipt
\n
of fixed payments in another currency. Cross currency interest rate swaps involve the exchange of both interest and notional
\n
amounts in two different currencies.
\n
Equity swaps are contracts in which one counterparty agrees to pay or receive from the other cash flows based on changes
\n
in the value of an equity index, a basket of stocks or a single stock.
\n
Options
\n
Options are contractual agreements under which the seller (writer) grants the purchaser the right, but not the obligation, either
\n
to buy (call option) or sell (put option) a security, exchange rate, interest rate, or other financial instrument or commodity at a
\n
specified price, at or by a predetermined future date. The seller (writer) of an option can also settle the contract by paying the
\n
cash settlement value of the purchaser\u2019s right. The seller (writer) receives a premium from the purchaser for this right. The
\n
various option agreements that we enter into include but are not limited to interest rate options, foreign currency options, equity
\n
options and index options.
\n
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. Certain credit default swaps are transacted and settled through clearing houses which act as
\n
central counterparties. 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 derivative products include stable value derivatives.
\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 activities
\n
involve identifying and profiting from price differentials between markets and product types.
\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 rate,
\n
credit, equity and foreign exchange risk related to our funding, lending, investment activities and asset/liability 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 derivative
\n
transactions to economically hedge certain exposures that do not otherwise qualify for hedge accounting, or where hedge accounting is
\n
not considered economically feasible to implement.
Notional amount of derivatives by term to maturity (absolute amounts)
(1)
\n\n \n
As at October 31, 2024
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
$
1,097,367
$
672,436
$
7,017
$
1,776,820
$
1,776,820
$
\u2013
Swaps
6,181,369
8,714,891
5,597,447
20,493,707
19,291,405
1,202,302
Options purchased
206,649
407,730
155,843
770,222
770,181
41
Options written
217,379
384,448
179,408
781,235
781,113
122
Foreign exchange contracts
Forward contracts
2,939,019
136,442
7,465
3,082,926
2,966,914
116,012
Cross currency swaps
23,204
108,912
75,843
207,959
199,481
8,478
Cross currency interest rate swaps
1,298,173
2,544,878
1,380,858
5,223,909
5,168,677
55,232
Options purchased
475,980
75,804
2,015
553,799
553,799
\u2013
Options written
488,878
66,828
983
556,689
556,689
\u2013
Credit derivatives
(2)
4,055
135,505
118,732
258,292
257,333
959
Other contracts
(3)
389,424
149,475
10,122
549,021
538,604
10,417
Exchange-traded contracts
Interest rate contracts
Futures \u2013 long positions
93,985
45,015
56
139,056
139,056
\u2013
Futures \u2013 short positions
114,425
64,759
301
179,485
179,244
241
Options purchased
7,075
991
\u2013
8,066
8,066
\u2013
Options written
2,262
14
\u2013
2,276
2,276
\u2013
Foreign exchange contracts
Futures \u2013 long positions
1
\u2013
\u2013
1
1
\u2013
Other contracts
367,023
68,132
2,574
437,729
437,729
\u2013
$
13,906,268
$ 13,576,260
$ 7,538,664
$ 35,021,192
$ 33,627,388
$ 1,393,804
\n\n \n
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
(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, 2023 \u2013 $1 billion) are economic hedges. Trading credit derivatives comprise protection purchased of
\n
$135 billion (October 31, 2023 \u2013 $119 billion) and protection sold of $122 billion (October 31, 2023 \u2013 $115 billion).
\n
(3)
Other contracts exclude loan underwriting commitments of $3 billion (October 31, 2023 \u2013 $2 billion), which are not classified as derivatives under CAR guidelines.
Fair value of derivative instruments
(1)
\n\n \n
As at
October 31, 2024
October 31, 2023
(Millions of Canadian dollars)
Positive
Negative
Positive
Negative
Held or issued for trading purposes
Interest rate contracts
Forward rate agreements
$
147
$
68
$
76
$
24
Swaps
21,155
16,482
26,320
22,965
Options purchased
5,556
\u2013
11,230
\u2013
Options written
\u2013
6,049
\u2013
11,776
26,858
22,599
37,626
34,765
Foreign exchange contracts
Forward contracts
26,339
23,758
22,972
22,655
Cross currency swaps
7,316
4,912
7,370
5,815
Cross currency interest rate swaps
60,105
59,733
55,268
46,550
Options purchased
2,407
\u2013
2,623
\u2013
Options written
\u2013
1,800
\u2013
1,790
96,167
90,203
88,233
76,810
Credit derivatives
270
216
175
176
Other contracts
26,325
46,420
16,319
20,865
149,620
159,438
142,353
132,616
Held or issued for other-than-trading purposes
Interest rate contracts
Swaps
1,215
3,100
1,907
7,436
1,215
3,100
1,907
7,436
Foreign exchange contracts
Forward contracts
1,235
682
860
509
Cross currency swaps
207
46
\u2013
\u2013
Cross currency interest rate swaps
874
2,287
555
4,484
2,316
3,015
1,415
4,993
Credit derivatives
3
2
49
\u2013
Other contracts
79
77
71
109
3,613
6,194
3,442
12,538
Total gross fair values before:
153,233
165,632
145,795
145,154
Valuation adjustments determined on a pooled basis
(1,053)
(301)
(1,801)
(981)
Impact of netting agreements that qualify for balance sheet offset
(1,568)
(1,568)
(1,544)
(1,544)
$ 150,612
$ 163,763
$ 142,450
$ 142,629
\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 \n
As at
October 31, 2024
October 31, 2023
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
$ 54,660
48,765
47,187
$ 150,612
$ 46,148
52,165
44,137
$ 142,450
Derivative liabilities
67,886
51,170
44,707
163,763
47,707
51,690
43,232
142,629
\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
Interest rate benchmark reform
\n
We use interest rate contracts in fair value hedges and cash flow hedges to manage our exposure to interest rate risk from our
\n
existing and/or forecast assets and liabilities. We also use foreign denominated deposit liabilities in net investment hedges to
\n
manage the foreign exchange risk arising from our investments in foreign operations. The hedging instruments designated to
\n
manage these risks referenced IBORs in multiple jurisdictions and were affected by the Reform as the markets transitioned to
\n
ABRs as discussed in Note 2.
\n
The notional amounts of our interest rate contracts and total return swaps which referenced IBORs and were affected by the
\n
Reform are no longer material to our financial statements (October 31, 2023 \u2013 $115 billion and $1 billion, respectively).
Derivative-related credit risk
\n
Credit risk from derivative transactions is generated by the potential for the counterparty to default on its contractual
\n
obligations when one or more transactions have a positive market value to us. Therefore, derivative-related credit risk is
\n
represented by the positive fair value of the instrument and is normally a small fraction of the contract\u2019s notional amount.
\n
We subject our derivative transactions to the same credit approval, limit and monitoring standards that we use for managing
\n
other transactions that create credit exposure. This includes evaluating the creditworthiness of counterparties, and managing
\n
the size, diversification and maturity structure of the portfolio. Credit utilization for all products is compared with established
\n
limits on a continual basis and is subject to a standard exception reporting process. We use a single internal rating system for all
\n
credit risk exposure, as outlined in the internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
\n
Offsetting is a technique that can reduce credit exposure from derivatives and is generally facilitated through the use of
\n
master netting agreements and achieved when specific criteria are met in accordance with our accounting policy in Note 2. A
\n
master netting agreement provides for a single net settlement of all financial instruments covered by the agreement in the event
\n
of default. However, credit risk is reduced only to the extent that our financial obligations to the same counterparty can be set off
\n
against obligations of the counterparty to us. We maximize the use of master netting agreements to reduce derivative-related
\n
credit exposure. Our overall exposure to credit risk that is reduced through master netting agreements may change substantially
\n
following the reporting date as the exposure is affected by each transaction subject to the agreement as well as by changes in
\n
underlying market rates. Measurement of our credit exposure arising out of derivative transactions is reduced to reflect the
\n
effects of netting in cases where the enforceability of that netting is supported by appropriate legal analysis as documented in
\n
our trading credit risk policies.
\n
The use of collateral is another significant credit mitigation technique for managing derivative-related counterparty credit
\n
risk. Mark-to-market provisions in our agreements with some counterparties, typically in the form of a Credit Support Annex,
\n
provide us with the right to request that the counterparty collateralize the current market value of its derivatives positions when
\n
the value exceeds a specified threshold amount.
\n
Replacement cost and credit equivalent amounts are determined using SA-CCR in accordance with the OSFI CAR guidelines.
\n
The replacement cost represents the total fair value of all outstanding contracts in a gain position after factoring in the master
\n
netting agreements and applicable margins. The credit equivalent amount is defined as the replacement cost plus an additional
\n
amount for potential future credit exposure, scaled by a regulatory factor. The risk-weighted equivalent is determined by
\n
applying appropriate risk-weights to the credit equivalent amount, including those risk weights reflective of model approval
\n
under the internal ratings based approach.
\n
Derivative-related credit risk
(1)
\n\n \n
As at
October 31, 2024
October 31, 2023
Credit
Credit
Replacement
equivalent
Risk-weighted
Replacement
equivalent
Risk-weighted
(Millions of Canadian dollars)
cost
amount
equivalent
(2), (3)
cost
amount
equivalent
(2)
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
8
$
231
$
43
$
58
$
94
$
6
Swaps
6,926
17,760
2,747
9,613
24,448
3,721
Options purchased
317
859
135
610
1,547
353
Options written
49
398
104
123
564
152
Foreign exchange contracts
Forward contracts
8,077
33,908
6,693
5,655
27,862
5,611
Swaps
3,915
21,709
2,703
4,261
21,483
4,274
Options purchased
877
2,315
587
841
1,742
383
Options written
117
476
98
95
441
109
Credit derivatives
608
2,336
191
356
1,834
219
Other contracts
1,773
20,981
4,756
1,933
16,002
4,929
Exchange-traded contracts
10,084
19,023
380
7,186
16,191
324
$ 32,751
$ 119,996
$ 18,437
$ 30,731
$ 112,208
$ 20,081
\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 $18 billion (October 31, 2023 \u2013 $13 billion).
\n
(3)
The amounts presented reflect our adoption of the revised market risk and CVA frameworks that came into effect on November 1, 2023.
Replacement cost of derivative instruments by risk rating and by counterparty type
\n\n \n
As at October 31, 2024
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
$ 31,561
$ 77,933
$ 25,206
$ 18,533
$ 153,233
$ 75,119
$ 24,655
$ 53,459
$ 153,233
Impact of master netting agreements and
applicable margins
18,644
67,995
19,046
14,797
120,482
73,763
24,289
22,430
120,482
Replacement cost (after netting agreements)
$ 12,917
$
9,938
$
6,160
$
3,736
$
32,751
$
1,356
$
366
$ 31,029
$
32,751
\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
(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. Refer to Note 2 for our policies on
\n
hedge accounting including presentation of hedge effectiveness and ineffectiveness amounts.
\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:
\n
Interest rate risk
\n
We use interest rate contracts to manage our exposure to interest rate risk by modifying the repricing characteristics of existing
\n
and/or forecasted assets and liabilities, including funding and investment activities. The swaps are designated in either a fair
\n
value hedge or a cash flow hedge. Certain swaps were affected by the Reform as the market transitioned from referencing IBORs
\n
to ABRs.
\n
For fair value hedges, we use interest rate contracts to manage the fair value movements of our fixed rate instruments due
\n
to changes in benchmark interest. The interest rate swaps are entered into on a one-to-one basis to manage the benchmark
\n
interest rate risk, and its terms are critically matched to the specified fixed rate instruments.
\n
We also use interest rate swaps in fair value hedges to manage interest rate risk from residential mortgage assets and
\n
funding liabilities. Our exposure from this portfolio changes with the origination of new loans, repayments of existing loans and
\n
sale of securitized mortgages. Accordingly, we have adopted dynamic hedging for that portfolio, in which the hedge relationship
\n
is rebalanced on a more frequent basis, such as on a bi-weekly or on a monthly basis.
\n
For cash flow hedges, we use interest rate contracts to manage the exposure to cash flow variability of our variable rate
\n
instruments as a result of changes in benchmark interest rates. The variable rate instruments and forecast transactions that
\n
referenced certain IBORs were affected by the Reform. Whilst some of the interest rate swaps are entered into on a one-to-one
\n
basis to manage a specific exposure, other interest rate swaps may be entered into for managing interest rate risks of a portfolio
\n
of assets and liabilities.
\n
Foreign exchange risk
\n
We manage our exposure to foreign currency risk with cross currency swaps in a cash flow hedge, and foreign exchange forward
\n
contracts in a net investment hedge. Certain cash instruments may also be designated in a net investment hedge, where
\n
applicable.
\n
For cash flow hedges, we use cross currency swaps and forward contracts to manage the cash flow variability arising from
\n
fluctuations in foreign exchange rates on our issued foreign denominated fixed rate liabilities and highly probable forecasted
\n
transactions. The maturity profile and repayment terms of these swaps are matched to those of our foreign denominated
\n
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
\n
denominated deposit liabilities, to manage our foreign exchange risk arising from our investments in foreign operations. Our
\n
most significant exposures include USD, GBP and Euro. When hedging net investments in foreign operations using foreign
\n
exchange forwards, only the undiscounted spot element of the foreign exchange forward is designated as the hedging
\n
instrument. Accordingly, changes in the fair value of the hedging instrument as a result of changes in forward rates and the
\n
effects of discounting are not included in the hedging effectiveness assessment. Foreign operations are only hedged to the extent
\n
of the principal of the foreign denominated deposit liabilities or notional amount of the derivative; we generally do not expect to
\n
incur significant ineffectiveness on hedges of net investments in foreign operations.
\n
Equity price risk
\n
We use total return swaps in cash flow hedges to mitigate the cash flow variability of the expected payment associated with our
\n
cash settled share-based compensation plan for certain key employees by exchanging interest payments for indexed RBC share
\n
price change and dividend returns.
\n
Credit risk
\n
We predominantly use credit derivatives to economically hedge our credit exposures. We mitigate industry sector concentrations
\n
and single-name exposures related to our credit portfolio by purchasing credit derivatives to transfer credit risk to third parties.
\n
Derivative instruments designated in hedging relationships
(1)
\n
The following table presents the fair values of the derivative instruments and the principal amounts of the non-derivative
\n
liabilities, categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
\n\n \n
As at
October 31, 2024
October 31, 2023
Designated as hedging instruments
Designated as hedging instruments
in hedging relationships
in hedging relationships
Not designated
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
$
18
$
298
$
4
$
150,292
$
156
$
19
$
13
$
142,262
Liabilities
Derivative instruments
59
27
433
163,244
50
100
409
142,070
Non-derivative instruments
\u2013
\u2013
37,833
n.a.
\u2013
\u2013
25,427
n.a.
\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
n.a.
not applicable
\n
The following tables provide the remaining term to maturity analysis of the notional amounts and the weighted average rates of
\n
the hedging instruments and their carrying amounts by types of hedging relationships:
\n
Fair value hedges
\n\n \n
As at October 31, 2024
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
$ 11,396
$ 68,563
$ 38,343
$ 118,302
$
10
$
55
Hedge of fixed rate liabilities
32,496
71,668
17,267
121,431
8
4
Weighted average fixed interest rate
Hedge of fixed rate assets
3.8%
3.8%
3.5%
3.7%
Hedge of fixed rate liabilities
2.9%
2.8%
3.1%
2.8%
\n\n \n
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 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
Hedge of fixed rate assets
4.3%
3.6%
3.2%
3.6%
Hedge of fixed rate liabilities
2.1%
2.4%
2.6%
2.3%
\n
(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
\n
counterparties.
Cash flow hedges
\n\n \n
As at October 31, 2024
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
$ 91,698
$ 133,684
$
6,831
$ 232,213
$
\u2013
$
\u2013
Hedge of variable rate liabilities
46,390
101,339
33,845
181,574
\u2013
\u2013
Weighted average fixed interest rate
Hedge of variable rate assets
4.1%
3.5%
3.5%
3.7%
Hedge of variable rate liabilities
4.1%
3.6%
2.9%
3.6%
Foreign exchange risk
Cross currency swaps
Hedge of fixed rate assets
$
\u2013
$
936
$
\u2013
$
936
$
9
$
21
Hedge of fixed rate liabilities
\u2013
4,163
\u2013
4,163
198
6
Weighted average CAD-EUR exchange rate
n.a.
1.43
n.a.
1.43
Weighted average CAD-USD exchange rate
n.a.
1.34
n.a.
1.34
\n\n \n
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
Hedge of fixed rate assets
$
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
\n
(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
\n
counterparties.
\n
n.a.
not applicable
\n
Net investment hedges
\n\n \n
As at October 31, 2024
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
$
4,540
$
27,649
$
6,505
$
38,694
n.a.
$ 37,833
Weighted average CAD-USD exchange rate
1.33
1.34
1.34
1.34
Weighted average CAD-EUR exchange rate
n.a.
n.a.
n.a.
n.a.
Weighted average CAD-GBP exchange rate
1.71
1.76
n.a.
1.73
Forward contracts
$ 19,926
$
\u2013
$
\u2013
$
19,926
$
4
$
433
Weighted average CAD-USD exchange rate
1.36
n.a.
n.a.
1.36
Weighted average CAD-EUR exchange rate
1.50
n.a.
n.a.
1.50
Weighted average CAD-GBP exchange rate
1.79
n.a.
n.a.
1.79
\n\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
n.a.
1.71
n.a.
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.a.
not applicable
The following tables present the details of the hedged items categorized by their hedging relationships:
\n
Fair value hedges \u2013 Assets and liabilities designated as hedged items
\n\n \n
As at and for the year ended October 31, 2024
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;
$ 114,354
$
\u2013
$
(666)
$
\u2013
Loans \u2013 Wholesale
$
2,702
Fixed rate liabilities
(1)
Deposits \u2013 Personal;
Deposits \u2013 Business and government;
Subordinated debentures;
\u2013
118,116
\u2013
(2,312)
Deposits \u2013 Bank
(3,963)
\n\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
(1)
As at October 31, 2024, the accumulated amount of fair value hedge adjustments remaining on our Consolidated Balance Sheets for hedged items that have ceased to be
\n
adjusted for hedging gains and losses is a loss of $238 million for fixed rate assets and a gain of $118 million for fixed rate liabilities (October 31, 2023 \u2013 loss of $539 million
\n
and gain of $259 million, respectively).
\n
Cash flow and net investment hedges \u2013 Assets and liabilities designated as hedged items
\n\n \n
As at and for the year ended October 31, 2024
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;
Loans \u2013 Wholesale;
$
(4,415)
$
2,645
$
(2,216)
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
4,437
(1,801)
4,557
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
7
13
\u2013
Fixed rate liabilities
Deposits \u2013 Business and government
(106)
(52)
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
710
(8,005)
(382)
\n \n
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
$
2,248
$
(2,115)
$
(3,126)
applicable allowance; Loans \u2013 Retail;
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
(2,558)
3,535
5,607
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
50
\u2013
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
1,513
(7,297)
(382)
\n
n.a.
not applicable
\n
Effectiveness of designated hedging relationships
\n\n \n
For the year ended October 31, 2024
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
$
(2,761)
$
(59)
n.a.
n.a.
Interest rate contracts \u2013 fixed rate liabilities
3,961
(2)
n.a.
n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts \u2013 variable rate assets
4,416
15
$
2,559
$
(3,195)
Interest rate contracts \u2013 variable rate liabilities
(4,325)
(19)
(2,600)
3,872
Foreign exchange risk
Cross currency swap \u2013 fixed rate assets
(6)
\u2013
1
(12)
Cross currency swap \u2013 fixed rate liabilities
107
2
70
122
Net investment hedges
Foreign exchange risk
Foreign currency liabilities
(455)
\u2013
(455)
\u2013
Forward contracts
(255)
\u2013
(254)
(1)
\n\n \n
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)
\n
(1)
Hedge ineffectiveness recognized in income included losses of $50 million that are excluded from the assessment of hedge effectiveness and are offset by economic
\n
hedges (October 31, 2023 \u2013 gains of $3 million).
\n
n.a.
not applicable
Reconciliation of components of equity
\n
The following table provides a reconciliation by risk category of each component of equity and an analysis of other
\n
comprehensive income relating to hedge accounting:
\n\n \n
For the year ended October 31, 2024
For the year ended October 31, 2023
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
$
2,756
$
6,612
$
2,394
$
5,688
Cash flow hedges
Effective portion of changes in fair value:
Interest rate risk
(40)
568
Foreign exchange risk
71
(44)
Equity price risk
413
(119)
Net amount reclassified to profit or loss:
Ongoing hedges:
Interest rate risk
134
(377)
Foreign exchange risk
(110)
37
Equity price risk
(350)
93
De-designated hedges:
Interest rate risk
(811)
453
Hedges of net investment in foreign operations
Foreign exchange denominated debt
(455)
(684)
Forward foreign exchange contracts
(254)
(828)
Foreign currency translation differences for foreign
operations
1,018
2,164
Reclassification of losses (gains) on foreign currency
translation to income
\u2013
(160)
Reclassification of losses (gains) on net investment
hedging activities to income
1
191
Tax on movements on reserves during the period
204
206
(249)
241
Balance at the end of the year
$
2,267
$
7,128
$
2,756
$
6,612
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00635": { "value": "Note 3
Fair value of financial instruments
\n
Carrying value and fair value of financial instruments
\n
The following tables provide a comparison of the carrying and fair values for each classification of financial instruments.
\n
Embedded derivatives are presented on a combined basis with the host contracts. For measurement purposes, they are carried
\n
at fair value when conditions requiring separation are met.
\n\n \n
As at October 31, 2024
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
$
53,996
$
\u2013
$
\u2013
$
12,024
$
12,024
$
66,020
$
66,020
Securities
Trading
182,346
954
\u2013
\u2013
\u2013
\u2013
183,300
183,300
Investment, net of applicable allowance
\u2013
\u2013
155,118
1,242
100,258
96,336
256,618
252,696
182,346
954
155,118
1,242
100,258
96,336
439,918
435,996
Assets purchased under reverse repurchase
agreements and securities borrowed
284,311
\u2013
\u2013
\u2013
66,492
66,492
350,803
350,803
Loans, net of applicable allowance
Retail
915
\u2013
580
\u2013
622,098
619,320
623,593
620,815
Wholesale
6,177
2,030
1,003
\u2013
348,577
345,561
357,787
354,771
7,092
2,030
1,583
\u2013
970,675
964,881
981,380
975,586
Other
Derivatives
150,612
\u2013
\u2013
\u2013
\u2013
\u2013
150,612
150,612
Other assets
(1)
11,770
\u2013
\u2013
\u2013
50,093
50,093
61,863
61,863
Financial liabilities
Deposits
Personal
$
508
$
33,799
$
487,832
$
490,170
$
522,139
$
524,477
Business and government
(2)
191
156,238
683,241
684,748
839,670
841,177
Bank
(3)
\u2013
10,530
37,192
37,183
47,722
47,713
699
200,567
1,208,265
1,212,101
1,409,531
1,413,367
Other
Obligations related to securities sold short
35,286
\u2013
\u2013
\u2013
35,286
35,286
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
270,663
34,658
34,658
305,321
305,321
Derivatives
163,763
\u2013
\u2013
\u2013
163,763
163,763
Other liabilities
(4)
(1,407)
\u2013
69,597
69,850
68,190
68,443
Subordinated debentures
\u2013
\u2013
13,546
13,602
13,546
13,602
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
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
$
60,856
$
\u2013
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
Trading
180,651
9,500
\u2013
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
842
91,113
83,667
219,579
212,133
180,651
9,500
127,624
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
agreements and securities borrowed
285,869
\u2013
\u2013
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
Retail
114
362
280
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u2013
275,796
268,843
285,641
278,688
5,743
3,981
877
\u2013
842,172
811,323
852,773
821,924
Other
Derivatives
142,450
\u2013
\u2013
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
7,579
5
\u2013
\u2013
68,450
68,450
76,034
76,034
Financial liabilities
Deposits
Personal
$
109
$
26,702
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
33,204
33,160
44,666
44,622
283
175,618
1,055,786
1,051,306
1,231,687
1,227,207
Other
Obligations related to securities sold short
33,651
\u2013
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
298,679
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
92,539
92,441
91,613
91,515
Subordinated debentures
\u2013
\u2013
11,386
11,213
11,386
11,213
\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, 2024, the change in fair value during the period
\n
attributable to changes in credit risk for positions still held was a gain of $45 million and the cumulative change in fair value
\n
attributable to changes in credit risk for positions still held was a loss of $9 million. For the year ended October 31, 2023, the
\n
change in fair value during the period attributable to changes in credit risk for positions still held was a gain of $360 million and
\n
the cumulative change in fair value attributable to changes in credit risk for positions still held was a loss of $102 million. As at
\n
October 31, 2024, the extent to which credit derivatives or similar instruments mitigate the maximum exposure to credit risk was
\n
$954 million (October 31, 2023 \u2013 $692 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.
\n \n \n
As at or for the year ended October 31, 2024
(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
$
33,552
$
33,799
$
247
$
221
$
163
Business and government
(3)
162,648
156,238
(6,410)
1,204
177
Bank
(4)
10,520
10,530
10
\u2013
\u2013
206,720
200,567
(6,153)
1,425
340
Obligations related to assets sold under
repurchase agreements and securities loaned
270,625
270,663
38
\u2013
\u2013
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
$
477,345
$
471,230
$
(6,115)
$
1,425
$
340
\n\n \n
As at or for the year ended October 31, 2023 (1)
Difference
between
Changes in fair value attributable
carrying value
to changes in credit risk included
Contractual
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)
\n
(1)
$1 million in changes in fair value attributable to changes in credit risk were recognized in income for the year ended October 31, 2024, and $9 million in cumulative
\n
changes in credit risk were included in income for positions still held life-to-date (October 31, 2023 \u2013 $29 million and $17 million, respectively).
\n
(2)
The cumulative change is measured from the initial designation of the liabilities as FVTPL. For the year ended October 31, 2024, $15 million of fair value gains previously
\n
included in OCI relate to financial liabilities derecognized during the year (October 31, 2023 \u2013 $2 million of fair value gains).
\n
(3)
Business and government term deposits include amounts from regulated deposit-taking institutions other than regulated banks.
\n
(4)
Bank term deposits refer to amounts from regulated banks and central banks.
\n
Net gains (losses) from financial instruments classified and designated as fair value through profit or loss
\n
Financial instruments classified as FVTPL, which includes mainly trading securities, derivatives, trading liabilities, and financial
\n
assets and liabilities designated as FVTPL are measured at fair value with realized and unrealized gains and losses recognized in
\n
Non-interest income.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Net gains (losses)
(1)
Classified as fair value through profit or loss
(2)
$
8,996
$
1,998
Designated as fair value through profit or loss
(3)
(5,847)
1,499
$
3,149
$
3,497
By product line
(1)
Interest rate and credit
(4)
$
2,580
$
3,515
Equities
389
(510)
Foreign exchange and commodities
180
492
$
3,149
$
3,497
\n
(1)
Excludes net gains from financial instruments classified as FVTPL of $2,251 million (October 31, 2023 \u2013 net losses of $107 million for financial instruments classified or
\n
designated as FVTPL) presented in Insurance investment result in the Consolidated Statements of Income.
\n
(2)
Excludes derivatives designated in a hedging relationship. Refer to Note 9 for net gains (losses) on these derivatives.
\n
(3)
For the year ended October 31, 2024, $5,838 million of net fair value losses on financial liabilities designated as FVTPL, other than those attributable to changes in our own
\n
credit risk, were included in Non-interest income (October 31, 2023 \u2013 gains of $1,524 million).
\n
(4)
Includes gains (losses) recognized on cross currency interest rate swaps.
\n
Net interest income from financial instruments
\n
Interest and dividend income arising from financial assets and financial liabilities and the associated costs of funding are
\n
reported in Net interest income.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
\n
(1)
Excludes interest and dividend income of $958 million (October 31, 2023 \u2013 $677 million) and interest expense of $120 million (October 31, 2023 \u2013 $191 million) presented in
\n
Insurance investment result in the Consolidated Statements of Income.
\n
(2)
Includes dividend income for the year ended October 31, 2024 of $3,319 million (October 31, 2023 \u2013 $3,215 million), which is presented in Interest and dividend income in
\n
the Consolidated Statements of Income.
Fee income arising from financial instruments
\n
For the year ended October 31, 2024, we earned $6,347 million in fees from banking services (October 31, 2023 \u2013 $6,112 million). For
\n
the year ended October 31, 2024, we also earned $17,467 million in fees from investment management, trust, custodial,
\n
underwriting, brokerage and other similar fiduciary services to retail and institutional clients (October 31, 2023 \u2013 $15,319 million).
\n
These fees are included in Non-interest income.
\n
Fair value of assets and liabilities measured at fair value on a recurring basis and classified using the fair value hierarchy
\n\n \n
As at
October 31, 2024
October 31, 2023 (Restated \u2013 Note 2)
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
$
53,996
$
\u2013
$
$
53,996
$
\u2013
$ 60,856
$
\u2013
$
$
60,856
Securities
Trading
Debt issued or guaranteed by:
Canadian government
(1)
Federal
11,611
2,173
\u2013
13,784
26,675
2,581
\u2013
29,256
Provincial and municipal
\u2013
16,588
\u2013
16,588
\u2013
16,389
\u2013
16,389
U.S. federal, state, municipal and agencies
(1), (2)
1,852
29,136
\u2013
30,988
2,249
50,439
\u2013
52,688
Other OECD government
(3)
2,481
2,153
\u2013
4,634
2,055
2,577
\u2013
4,632
Mortgage-backed securities
(1)
\u2013
3
\u2013
3
\u2013
2
\u2013
2
Asset-backed securities
\u2013
1,434
\u2013
1,434
\u2013
1,245
\u2013
1,245
Corporate debt and other debt
\u2013
26,195
\u2013
26,195
\u2013
22,615
\u2013
22,615
Equities
84,814
2,316
2,544
89,674
58,826
2,232
2,266
63,324
100,758
79,998
2,544
183,300
89,805
98,080
2,266
190,151
Investment
Debt issued or guaranteed by:
Canadian government
(1)
Federal
4,623
8,546
\u2013
13,169
2,731
3,528
\u2013
6,259
Provincial and municipal
\u2013
7,554
\u2013
7,554
\u2013
2,748
\u2013
2,748
U.S. federal, state, municipal and agencies
(1)
42
80,224
\u2013
80,266
275
73,020
\u2013
73,295
Other OECD government
2,370
7,786
\u2013
10,156
\u2013
6,192
\u2013
6,192
Mortgage-backed securities
(1)
\u2013
2,603
31
2,634
\u2013
2,672
29
2,701
Asset-backed securities
\u2013
9,357
\u2013
9,357
\u2013
8,706
\u2013
8,706
Corporate debt and other debt
\u2013
31,839
143
31,982
\u2013
27,574
149
27,723
Equities
432
304
506
1,242
38
338
466
842
7,467
148,213
680
156,360
3,044
124,778
644
128,466
Assets purchased under reverse repurchase agreements and
securities borrowed
\u2013
284,311
\u2013
284,311
\u2013
285,869
\u2013
285,869
Loans
\u2013
8,924
1,781
10,705
\u2013
8,742
1,859
10,601
Other
Derivatives
Interest rate contracts
\u2013
27,719
354
28,073
\u2013
39,243
290
39,533
Foreign exchange contracts
\u2013
98,480
3
98,483
\u2013
89,644
4
89,648
Credit derivatives
\u2013
273
\u2013
273
\u2013
224
\u2013
224
Other contracts
2,553
23,830
21
26,404
2,352
13,927
111
16,390
Valuation adjustments
\u2013
(1,067)
14
(1,053)
\u2013
(1,805)
4
(1,801)
Total gross derivatives
2,553
149,235
392
152,180
2,352
141,233
409
143,994
Netting adjustments
(1,568)
(1,568)
(1,544)
(1,544)
Total derivatives
150,612
142,450
Other assets
5,291
6,472
7
11,770
4,152
3,421
11
7,584
$116,069
$ 731,149
$ 5,404
$
(1,568)
$ 851,054
$99,353
$722,979
$
5,189
$
(1,544)
$ 825,977
Financial liabilities
Deposits
Personal
$
\u2013
$
33,829
$
478
$
$
34,307
$
\u2013
$ 26,428
$
383
$
$
26,811
Business and government
\u2013
156,429
\u2013
156,429
\u2013
137,628
\u2013
137,628
Bank
\u2013
10,530
\u2013
10,530
\u2013
11,462
\u2013
11,462
Other
Obligations related to securities sold short
15,172
20,114
\u2013
35,286
14,391
19,260
\u2013
33,651
Obligations related to assets sold under repurchase agreements and
securities loaned
\u2013
270,663
\u2013
270,663
\u2013
298,679
\u2013
298,679
Derivatives
Interest rate contracts
\u2013
24,852
847
25,699
\u2013
41,249
952
42,201
Foreign exchange contracts
\u2013
93,164
54
93,218
\u2013
81,750
53
81,803
Credit derivatives
\u2013
218
\u2013
218
\u2013
176
\u2013
176
Other contracts
3,212
42,961
324
46,497
3,119
17,306
549
20,974
Valuation adjustments
\u2013
(297)
(4)
(301)
\u2013
(982)
1
(981)
Total gross derivatives
3,212
160,898
1,221
165,331
3,119
139,499
1,555
144,173
Netting adjustments
(1,568)
(1,568)
(1,544)
(1,544)
Total derivatives
163,763
142,629
Other liabilities
287
(1,694)
\u2013
(1,407)
370
(1,296)
\u2013
(926)
$ 18,671
$ 650,769
$ 1,699
$
(1,568)
$ 669,571
$17,880
$631,660
$
1,938
$
(1,544)
$ 649,934
\n
(1)
As at October 31, 2024, residential and commercial mortgage-backed securities (MBS) included in all fair value levels of trading securities were $17,154 million and $nil
\n
(October 31, 2023 \u2013 $14,345 million and $nil), respectively, and in all fair value levels of Investment securities were $27,048 million and $2,568 million (October 31, 2023 \u2013
\n
$24,365 million and $2,618 million), respectively.
\n
(2)
United States (U.S.).
\n
(3)
Organisation for Economic Co-operation and Development (OECD).
\n
Fair values of our significant assets and liabilities measured on a recurring basis are determined and classified in the fair value
\n
hierarchy table using the following valuation techniques and inputs.
\n
Interest-bearing deposits with banks
\n
The majority of our Interest-bearing deposits with banks are designated as FVTPL. These FVTPL deposits are composed of short-
\n
dated deposits placed with banks, and are included in Interest-bearing deposits with banks in the fair value hierarchy table. The
\n
fair values of these instruments are determined using the discounted cash flow method. The inputs to the valuation models
\n
include interest rate swap curves and credit spreads, where applicable. They are classified as Level 2 instruments in the
\n
hierarchy as the inputs are observable.
\n
Government bonds (Canadian, U.S. and other OECD governments)
\n
Government bonds are included in Canadian government debt, U.S. federal, state, municipal and agencies debt, Other OECD
\n
government debt and Obligations related to securities sold short in the fair value hierarchy table. The fair values of government
\n
issued or guaranteed debt securities in active markets are determined by reference to recent transaction prices, broker quotes,
\n
or third-party vendor prices and are classified as Level 1 in the hierarchy. The fair values of securities that are not traded in
\n
active markets are based on either security prices, or valuation techniques using implied yields and risk spreads derived from
\n
prices of actively traded and similar government securities. Securities with observable prices or rate inputs as compared to
\n
transaction prices, dealer quotes or vendor prices are classified as Level 2 in the hierarchy. Securities where inputs are
\n
unobservable are classified as Level 3 in the hierarchy.
\n
Corporate and U.S. municipal bonds
\n
The fair values of corporate and U.S. municipal bonds, which are included in Corporate debt and other debt, U.S. federal, state,
\n
municipal and agencies debt and Obligations related to securities sold short in the fair value hierarchy table, are determined
\n
using either recently executed transaction prices, broker quotes, pricing services, or in certain instances, the discounted cash
\n
flow method using rate inputs such as benchmark yields (CDOR, Secured Overnight Financing Rate (SOFR) and other similar
\n
reference rates) and risk spreads of comparable securities. Securities with observable prices or rate inputs are classified as
\n
Level 2 in the hierarchy. Securities where inputs are unobservable are classified as Level 3 in the hierarchy.
\n
Asset-backed securities and Mortgage-backed securities
\n
Asset-backed securities (ABS) and MBS are included in Asset-backed securities, Mortgage-backed securities, Canadian
\n
government debt, U.S. federal, state, municipal and agencies debt, and Obligations related to securities sold short in the fair
\n
value hierarchy table. Inputs for valuation of ABS and MBS are, when available, traded prices, dealer or lead manager quotes,
\n
broker quotes and vendor prices of the identical securities. When prices of the identical securities are not readily available, we
\n
use industry standard models with inputs such as discount margins, yields, default, prepayment and loss severity rates that are
\n
implied from transaction prices, dealer quotes or vendor prices of comparable instruments. Where security prices and inputs are
\n
observable, ABS and MBS are classified as Level 2 in the hierarchy. Otherwise, they are classified as Level 3 in the hierarchy.
\n
Equities
\n
Equities consist of listed and unlisted common shares, private equities, mutual funds and hedge funds with certain redemption
\n
restrictions and are included in equities and obligations for securities sold short. The fair values of common shares are based on
\n
quoted prices in active markets, where available, and are classified as Level 1 in the hierarchy. Where quoted prices in active
\n
markets are not readily available, fair value is determined based on quoted market prices for similar securities or through
\n
valuation techniques, such as multiples of earnings and the discounted cash flow method with forecasted cash flows and
\n
discount rate as inputs. Private equities are classified as Level 3 in the hierarchy as their inputs are not observable. Hedge funds
\n
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
\n
classified as Level 2 in the hierarchy. Otherwise, it is classified as Level 3 in the hierarchy.
\n
Loans
\n
Loans include base metal loans, corporate loans, banker acceptances and asset-backed financing loans. Fair values are
\n
determined based on market prices, if available, or discounted cash flow method using the following inputs: market interest
\n
rates, base metal commodity prices, market based spreads of assets with similar credit ratings and terms to maturity, LGD,
\n
expected default frequency implied from credit derivative prices, if available, and relevant pricing information such as
\n
contractual rate, origination and maturity dates, redemption price, coupon payment frequency and day count convention. Loans
\n
with market prices or observable inputs are classified as Level 2 in the hierarchy and loans with unobservable inputs that have
\n
significant impacts on the fair values are classified as Level 3 in the hierarchy.
\n
Derivatives
\n
The fair values of exchange-traded derivatives, such as interest rate and equity options and futures, are based on quoted market
\n
prices and are typically classified as Level 1 in the hierarchy. OTC derivatives primarily consist of interest rate contracts, foreign
\n
exchange contracts, commodity derivatives, equity derivatives and credit derivatives. The exchange-traded or OTC interest rate,
\n
foreign exchange and commodity and equity derivatives are included in Interest rate contracts, Foreign exchange contracts and
\n
Other contracts, respectively, in the fair value hierarchy table. The fair values of OTC derivatives are determined using valuation
\n
models when quoted market prices or third-party consensus pricing information are not available. The valuation models, such as
\n
discounted cash flow method or Black-Scholes option model, incorporate observable or unobservable inputs for interest and
\n
foreign exchange rates, equity and commodity prices (including indices), credit spreads, corresponding market volatility levels,
\n
and other market-based pricing factors. Other adjustments to fair value include bid-offer, CVA, FVA, OIS, parameter and model
\n
uncertainties, and unrealized gain or loss at inception of a transaction. A derivative instrument is classified as Level 2 in the
\n
hierarchy if observable market inputs are available or the unobservable inputs are not significant to the fair value. Otherwise, it
\n
is classified as Level 3 in the hierarchy.
Securities borrowed or purchased under resale agreements and securities loaned or sold under repurchase agreements
\n
In the fair value hierarchy table, these instruments are included in Assets purchased under reverse repurchase agreements and
\n
securities borrowed, and Obligations related to assets sold under repurchase agreements and securities loaned. The fair values
\n
of these contracts are determined using valuation techniques such as the discounted cash flow method using interest rate
\n
curves as inputs. They are classified as Level 2 instruments in the hierarchy as the inputs are observable.
\n
Deposits
\n
A majority of our deposits are measured at amortized cost but certain deposits are designated as FVTPL. These FVTPL deposits
\n
include deposits taken from clients, issuances of certificates of deposits and promissory notes, and interest rate and equity
\n
linked notes. The fair values of these instruments are determined using the discounted cash flow method and derivative option
\n
valuation models. The inputs to the valuation models include benchmark yield curves, credit spreads, interest rates, equity and
\n
interest rate volatility, dividends and correlation, where applicable. They are classified as Level 2 or 3 instruments in the
\n
hierarchy, depending on the significance of the unobservable credit spreads, volatility, dividend and correlation rates.
\n
Quantitative information about fair value measurements using significant unobservable inputs (Level 3 Instruments)
\n
The following table presents fair values of our significant Level 3 financial instruments, valuation techniques used to determine
\n
their fair values, ranges and weighted averages of unobservable inputs.
\n
As at October 31, 2024 (Millions of Canadian dollars, except for prices, percentages and ratios)
\n\n \n
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
$
64.67
$ 116.25
$
92.07
derivatives
Corporate debt and other debt
$
\u2013
Discounted cash flows
Credit spread
1.45%
10.90%
6.17%
Loans
1,781
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
2
Government debt and
municipal bonds
Corporate debt and other debt
143
Discounted cash flows
Yields
6.54%
9.55%
7.54%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
3.20X
17.20X
7.94X
investments and related
Equities
3,050
Price-based
P/E multiples
7.30X
22.60X
11.27X
equity derivatives
Derivative related liabilities
\u2013
Discounted cash flows
EV/Rev multiples
0.70X
5.72X
2.59X
Liquidity discounts
(4)
10.00%
40.00%
10.40%
Discount rate
8.50%
8.50%
8.50%
NAV / prices
(5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
1.89%
4.59%
Even
interest-rate-linked
Derivative related assets
355
Option pricing model
CPI swap rates
1.84%
1.96%
Even
structured notes
(6), (7)
Derivative related liabilities
900
IR-IR correlations
48.00%
86.00%
Even
FX-IR correlations
(76.00)%
66.00%
Even
FX-FX correlations
(74.00)%
61.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
0.00%
10.60%
Lower
notes
(6), (7)
Derivative related assets
21
Option pricing model
Equity (EQ)-EQ correlations
6.30%
95.85%
Middle
Deposits
478
EQ-FX correlations
(77.11)%
50.38%
Middle
Derivative related liabilities
283
EQ volatilities
6.00%
146.87%
Lower
Other
(8)
Derivative related assets
16
Other assets
7
Mortgage-backed securities
31
Derivative related liabilities
36
Total
$ 5,404
$
1,699
\n
As at October 31, 2023 (Millions of Canadian dollars, except for prices, percentages and ratios)
\n\n \n
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)
Derivative related assets
5
Other assets
11
Mortgage-backed securities
29
Derivative related liabilities
73
Total
$
5,189
$
1,938
\n
(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
\n
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
\n
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
\n
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
\n
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
\n
indicated in the table.
\n
(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
\n
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
\n
par value.
\n
(3)
The significant unobservable inputs include the following: (i) Enterprise Value (EV); (ii) Earnings Before Interest, Taxes, Depreciation and Amortization (EBITDA);
\n
(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).
\n
(4)
Fair value of securities with liquidity discount inputs totalled $541 million (October 31, 2023 \u2013 $483 million).
\n
(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
\n
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
\n
investments.
\n
(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
\n
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
\n
throughout the range.
\n
(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.
\n
(8)
Other primarily includes certain insignificant instruments such as auction rate securities, commodity derivatives, foreign exchange derivatives, contingent
\n
considerations, bank-owned life insurance and retractable shares.
\n
n.a.
not applicable
\n
Sensitivity to unobservable inputs and interrelationships between unobservable inputs
\n
Yield, credit spreads/discount margins
\n
A financial instrument\u2019s yield is the interest rate used to discount future cash flows in a valuation model. An increase in the yield,
\n
in isolation, would result in a decrease in a fair value measurement and vice versa. A credit spread/discount margin is the
\n
difference between a debt instrument\u2019s yield and a benchmark instrument\u2019s yield. Benchmark instruments have high credit
\n
quality ratings, similar maturities and are often government bonds. The credit spread/discount margin therefore represents the
\n
discount rate used to determine the present value of future cash flows of an asset to reflect the market return required for
\n
uncertainty in the estimated cash flows. The credit spread/discount margin for an instrument forms part of the yield used in a
\n
discounted cash flow method.
\n
Funding spread
\n
Funding spreads are credit spreads specific to funding or deposit rates. A decrease in funding spreads, on its own, will increase
\n
the fair value of our liabilities, and vice versa.
\n
Default rates
\n
A default rate is the rate at which borrowers fail to make scheduled loan payments. A decrease in the default rate will typically
\n
increase the fair value of the loan, and vice versa. This effect will be significantly more pronounced for a non-government
\n
guaranteed loan than a government guaranteed loan.
Prepayment rates
\n
A prepayment rate is the rate at which a loan will be repaid in advance of its expected amortization schedule. Prepayments
\n
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
\n
the loan interest rate is lower than the current reinvestment rate, and a decrease in the prepayment rate in isolation will result in
\n
a decrease in fair value when the loan interest rate is lower than the current reinvestment rate. Prepayment rates are generally
\n
negatively correlated with interest rates.
\n
Recovery and loss severity rates
\n
A recovery rate is an estimation of the amount that can be collected in a loan default scenario. The recovery rate is the recovered
\n
amount divided by the loan balance due, expressed as a percentage. The inverse concept of recovery is loss severity. Loss
\n
severity rate is an estimation of the loan amount not collected when a loan defaults. The loss severity rate is the loss amount
\n
divided by the loan balance due, expressed as a percentage. Generally, an increase in the recovery rate or a decrease in the loss
\n
severity rate will increase the loan fair value, and vice versa.
\n
Volatility rates
\n
Volatility measures the potential variability of future prices and is often measured as the standard deviation of price movements.
\n
Volatility is an input to option pricing models used to value derivatives and issued structured notes. Volatility is used in valuing
\n
equity, interest rate, commodity and foreign exchange options. A higher volatility rate means that the underlying price or rate
\n
movements are more likely to occur. Higher volatility rates may increase or decrease an option\u2019s fair value depending on the
\n
option\u2019s terms. The determination of volatility rates is dependent on various factors, including but not limited to, the underlying\u2019s
\n
market price, the strike price and maturity.
\n
Dividend yields
\n
A dividend yield is the underlying equity\u2019s expected dividends expressed as an annual percentage of its price. Dividend yield is
\n
used as an input for forward equity price and option models. Higher dividend yields will decrease the forward price, and vice
\n
versa. A higher dividend yield will increase or decrease an option\u2019s value, depending on the option\u2019s terms.
\n
Correlation rates
\n
Correlation is the linear relationship between the movements in two different variables. Correlation is an input to the valuation of
\n
derivative contracts and issued structured notes when an instrument\u2019s payout is determined by correlated variables. When
\n
variables are positively correlated, an increase in one variable will result in an increase in the other variable. When variables are
\n
negatively correlated, an increase in one variable will result in a decrease in the other variable. The referenced variables can be
\n
within a single asset class or market (equity, interest rate, commodities, credit and foreign exchange) or between variables in
\n
different asset classes (equity to foreign exchange, or interest rate to foreign exchange). Changes in correlation will either
\n
increase or decrease a financial instrument\u2019s fair value depending on the terms of the instrument.
\n
Interest rates
\n
An interest rate is the percentage amount charged on a principal or notional amount. Increasing interest rates will decrease the
\n
discounted cash flow value of a financial instrument, and vice versa.
\n
Consumer Price Index swap rates
\n
A CPI swap rate is expressed as a percentage of an increase in the average price of a basket of consumer goods and services,
\n
such as transportation, food and medical care. An increase in the CPI swap rate will cause inflation swap payments to be larger,
\n
and vice versa.
\n
EV/EBITDA multiples, P/E multiples, EV/Rev multiples, and liquidity discounts
\n
Private equity valuation inputs include EV/EBITDA multiples, P/E multiples and EV/Rev multiples. These are used to calculate
\n
either enterprise value or share value of a company based on a multiple of earnings or revenue estimates. Higher multiples
\n
equate to higher fair values for all multiple types, and vice versa. A liquidity discount may be applied when few or no transactions
\n
exist to support the valuations.
\n
Credit Enhancement
\n
Credit enhancement is an input to the valuation of securitized transactions and is the amount of loan loss protection for a senior
\n
tranche. Credit enhancement is expressed as a percentage of the transaction sizes. An increase in credit enhancement will cause
\n
the credit spread to decrease and the tranche fair value to increase, and vice versa.
\n
Interrelationships between unobservable inputs
\n
Unobservable inputs, including the above discount margin, default rate, prepayment rate, and recovery and loss severity rates,
\n
may not be independent of each other. For example, the discount margin can be affected by a change in default rate, prepayment
\n
rate, or recovery and loss severity rates. Discount margins will generally decrease when default rates decline or when recovery
\n
rates increase.
\n
Changes in fair value measurement for instruments measured on a recurring basis and categorized in Level 3
\n\n \n
For the year ended October 31, 2024
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
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
Asset-backed securities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Corporate debt and other debt
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Equities
2,266
(195)
5
577
(88)
1
(22)
2,544
(128)
2,266
(195)
5
577
(88)
1
(22)
2,544
(128)
Investment
Mortgage-backed securities
29
\u2013
2
\u2013
\u2013
\u2013
\u2013
31
n.a.
Corporate debt and other debt
149
\u2013
11
\u2013
(17)
\u2013
\u2013
143
n.a.
Equities
466
\u2013
35
6
(3)
2
\u2013
506
n.a.
644
\u2013
48
6
(20)
2
\u2013
680
n.a.
Loans
1,859
(25)
37
513
(445)
70
(228)
1,781
63
Other
Net derivative balances
(3)
Interest rate contracts
(662)
46
1
(47)
145
30
(6)
(493)
51
Foreign exchange contracts
(49)
(15)
7
14
3
3
(14)
(51)
(9)
Other contracts
(438)
(139)
2
(106)
8
(330)
700
(303)
31
Valuation adjustments
3
\u2013
\u2013
(4)
19
\u2013
\u2013
18
\u2013
Other assets
11
\u2013
\u2013
\u2013
(4)
\u2013
\u2013
7
\u2013
$ 3,634
$ (328)
$
100
$
953
$ (382)
$ (224)
$
430
$ 4,183
$
8
Liabilities
Deposits
$
(383)
$ (119)
$
\u2013
$
(583)
$
165
$ (120)
$
562
$
(478)
$ (40)
$
(383)
$ (119)
$
\u2013
$
(583)
$
165
$ (120)
$
562
$
(478)
$ (40)
\n\n \n
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
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
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
\n
(1)
These amounts include the foreign currency translation gains or losses arising on consolidation of foreign subsidiaries relating to the Level 3 instruments, where
\n
applicable. The unrealized gains on Investment securities recognized in OCI were $38 million for the year ended October 31, 2024 (October 31, 2023 \u2013 gains of $65 million)
\n
excluding the translation gains or losses arising on consolidation.
\n
(2)
Other includes amortization of premiums or discounts recognized in net income.
\n
(3)
Net derivatives as at October 31, 2024 included derivative assets of $392 million (October 31, 2023 \u2013 $409 million) and derivative liabilities of $1,221 million
\n
(October 31, 2023 \u2013 $1,555 million).
\n
n.a.
not applicable
Transfers between fair value hierarchy levels for instruments carried at fair value on a recurring basis
\n
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
\n
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
\n
Gains (losses) included in earnings for positions still held column of the above reconciliation, whereas for transfers out of Level 3
\n
during the period, the entire change in fair value for the period is included in the same column of the above reconciliation.
\n
Transfers between Level 1 and 2 are dependent on whether fair value is obtained on the basis of quoted market prices in active
\n
markets (Level 1).
\n
During the year ended October 31, 2024, transfers out of Level 1 to Level 2 included Investment U.S. federal, state, municipal
\n
and agencies debt of $1,038 million and Trading U.S. federal, state, municipal and agencies debt of $822 million. During the year
\n
ended October 31, 2023, transfers out of Level 1 to Level 2 included Trading U.S. federal, state, municipal and agencies debt of
\n
$763 million, Investment U.S. federal, state, municipal and agencies debt of $435 million and Obligations related to securities sold
\n
short of $151 million.
\n
During the years ended October 31, 2024 and October 31, 2023, there were no significant transfers out of Level 2 to Level 1.
\n
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
\n
an unobservable input\u2019s significance to a financial instrument\u2019s fair value.
\n
During the year ended October 31, 2024, transfers out of Level 2 to Level 3 included Other contracts and Deposits due to
\n
changes in the significance of unobservable inputs and changes in the market observability of inputs. During the year ended
\n
October 31, 2023, transfers out of Level 2 to Level 3 included Other contracts and Deposits due to changes in the significance of
\n
unobservable inputs and changes in the market observability of inputs.
\n
During the year ended October 31, 2024, transfers out of Level 3 to Level 2 included Other contracts, Deposits and Loans due
\n
to changes in the significance of unobservable inputs and changes in the market observability of inputs. During the year ended
\n
October 31, 2023, transfers out of Level 3 to Level 2 included Other contracts, Loans and Deposits due to changes in the market
\n
observability of inputs and changes in the significance of unobservable inputs.
\n
Positive and negative fair value movements of Level 3 financial instruments from using reasonably possible alternative
\n
assumptions
\n
A financial instrument is classified as Level 3 in the fair value hierarchy if one or more of its unobservable inputs may
\n
significantly affect the measurement of its fair value. In preparing the financial statements, appropriate levels for these
\n
unobservable input parameters are chosen so that they are consistent with prevailing market evidence or management
\n
judgment. Due to the unobservable nature of the prices or rates, there may be uncertainty about the valuation of these Level 3
\n
financial instruments.
\n
The following table summarizes the impacts to fair values of Level 3 financial instruments using reasonably possible
\n
alternative assumptions. This sensitivity disclosure is intended to illustrate the potential impact of the relative uncertainty in the
\n
fair value of Level 3 financial instruments. In reporting the sensitivities below, we offset balances in instances where: (i) the move
\n
in valuation factors cause an offsetting positive and negative fair value movement, (ii) both offsetting instruments are in Level 3,
\n
and (iii) exposures are managed and reported on a net basis. With respect to overall sensitivity, it is unlikely in practice that all
\n
reasonably possible alternative assumptions would simultaneously be realized.
\n\n \n
As at
October 31, 2024
October 31, 2023
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
Equities
$
2,544
$
50
$
(46)
$
2,266
$
50
$
(43)
Investment
Mortgage-backed securities
31
4
(4)
29
4
(4)
Corporate debt and other debt
143
9
(8)
149
11
(10)
Equities
506
45
(44)
466
48
(47)
Loans
1,781
19
(20)
1,859
33
(37)
Derivatives
392
5
(4)
409
10
(7)
Other assets
7
\u2013
\u2013
11
\u2013
\u2013
$
5,404
$
132
$
(126)
$
5,189
$
156
$
(148)
Deposits
$
(478)
$
15
$
(15)
$
(383)
$
26
$
(26)
Derivatives
(1,221)
54
(57)
(1,555)
59
(66)
$ (1,699)
$
69
$
(72)
$ (1,938)
$
85
$
(92)
\n
Sensitivity results
\n
As at October 31, 2024, the effects of applying other reasonably possible alternative assumptions to the Level 3 asset positions
\n
would be an increase of $132 million and a reduction of $126 million in fair value, of which $58 million and $56 million would be
\n
recorded in Other components of equity, respectively. The effects of applying these assumptions to the Level 3 liability positions
\n
would result in a decrease of $69 million and an increase of $72 million in fair value.
\n
Level 3 valuation inputs and approaches to developing reasonably possible alternative assumptions
\n
The following is a summary of the unobservable inputs used in the valuation of the Level 3 instruments and our approaches to
\n
developing reasonably possible alternative assumptions used to determine sensitivity.
\n\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.
\n
Fair value for financial instruments that are carried at amortized cost and classified using the fair value hierarchy
\n\n \n
As at October 31, 2024
Fair value may not approximate carrying value
Fair 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
$
12,024
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
12,024
Amortized cost securities
(2)
\u2013
68
96,268
\u2013
96,336
96,336
Assets purchased under reverse
repurchase agreements and
securities borrowed
54,331
\u2013
12,161
\u2013
12,161
66,492
Loans
Retail
79,960
\u2013
533,708
5,652
539,360
619,320
Wholesale
16,022
\u2013
321,684
7,855
329,539
345,561
95,982
\u2013
855,392
13,507
868,899
964,881
Other assets
49,414
\u2013
412
267
679
50,093
211,751
68
964,233
13,774
978,075
1,189,826
Deposits
Personal
273,228
\u2013
216,675
267
216,942
490,170
Business and government
443,077
\u2013
241,204
467
241,671
684,748
Bank
23,942
\u2013
13,241
\u2013
13,241
37,183
740,247
\u2013
471,120
734
471,854
1,212,101
Obligations related to assets sold
under repurchase agreements and
securities loaned
34,658
\u2013
\u2013
\u2013
\u2013
34,658
Other liabilities
51,561
\u2013
1,983
16,306
18,289
69,850
Subordinated debentures
\u2013
\u2013
13,602
\u2013
13,602
13,602
$ 826,466
$
\u2013
$ 486,705
$ 17,040
$ 503,745
$ 1,330,211
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
Fair value may not approximate carrying value
Fair 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
67,313
\u2013
914
223
1,137
68,450
195,908
34
820,645
11,405
832,084
1,027,992
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
77,021
\u2013
1,856
13,564
15,420
92,441
Subordinated debentures
\u2013
\u2013
11,213
\u2013
11,213
11,213
$
768,988
$
\u2013
$
407,750
$ 14,781
$
422,531
$ 1,191,519
\n
(1)
Certain financial instruments have not been assigned to a level as the carrying amount approximates their fair values.
\n
(2)
Included in Securities \u2013 Investment, net of applicable allowance on the Consolidated Balance Sheets.
\n
Fair values of financial assets and liabilities carried at amortized cost and disclosed in the table above are determined using the
\n
following valuation techniques and inputs.
\n
Amortized cost securities
\n
Fair values of government bonds, corporate bonds, and ABS are based on quoted prices. Fair values of certain Non-OECD
\n
government bonds are based on vendor prices or the discounted cash flow method with yield curves of other countries\u2019
\n
government bonds as inputs. For ABS, where market prices are not available, the fair value is determined using the discounted
\n
cash flow method. The inputs to the valuation model generally include market interest rates, spreads and yields derived from
\n
comparable securities, prepayment, and LGD.
\n
Assets purchased under reverse repurchase agreements and securities borrowed, and Obligations related to assets sold
\n
under repurchase agreements and securities loaned
\n
Valuation methods used for the long-term instruments are described in the Fair value of assets and liabilities measured on a
\n
recurring basis and classified using the fair value hierarchy section of this note. The carrying values of short-term instruments
\n
generally approximate their fair values.
\n
Loans \u2013 Retail
\n
Retail loans include residential mortgages, personal and small business loans and credit cards. For residential mortgages, and
\n
personal and small business loans, we segregate the portfolio based on certain attributes such as product type, contractual
\n
interest rate, term to maturity and credit scores, if applicable. Fair values of these loans are determined by the discounted cash
\n
flow method using applicable inputs such as prevailing interest rates, contractual and posted client rates, client discounts, credit
\n
spreads, prepayment rates and loan-to-value (LTV) ratios. Fair values of credit card receivables are also calculated based on a
\n
discounted cash flow method with portfolio yields, write-offs and monthly payment rates as inputs. The carrying values of short-
\n
term and variable rate loans generally approximate their fair values.
\n
Loans \u2013 Wholesale
\n
Where market prices are available, wholesale loans are valued based on market prices. Otherwise, fair value is determined by
\n
the discounted cash flow method using the following inputs: market interest rates and market based spreads of assets with
\n
similar credit ratings and terms to maturity, LGD, expected default frequency implied from credit default swap prices, if available,
\n
and relevant pricing information such as contractual rate, origination and maturity dates, redemption price, coupon payment
\n
frequency and date convention.
\n
Deposits
\n
Deposits are comprised of demand, notice, and term deposits which include senior deposit notes we have issued to provide us
\n
with long-term funding. Fair values of term deposits are determined by one of several valuation techniques: (i) for term deposits
\n
and similar instruments, we segregate the portfolio based on term to maturity. Fair values of these instruments are determined
\n
by the discounted cash flow method using inputs such as client rates for new sales of the corresponding terms; and (ii) for senior
\n
deposit notes, we use actual traded prices, vendor prices or the discounted cash flow method using a market interest rate curve
\n
and our funding spreads as inputs. The carrying values of demand, notice, and short-term term deposits generally approximate
\n
their fair values.
\n
Other assets and Other liabilities
\n
Other assets and Other liabilities include receivables and payables relating to certain commodities. Fair values of the commodity
\n
receivables and payables are calculated by the discounted cash flow method using applicable inputs such as market interest
\n
rates, counterparties\u2019 credit spreads, our funding spreads, commodity forward prices and spot prices.
\n
Subordinated debentures
\n
Fair values of Subordinated debentures are based on market prices, dealer quotes or vendor prices when available. Where prices
\n
cannot be observed, fair value is determined using the discounted cash flow method, with applicable inputs such as market
\ninterest rates and credit spreads.", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00636": { "value": "\n \n
As at October 31, 2024
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
$
53,996
$
\u2013
$
\u2013
$
12,024
$
12,024
$
66,020
$
66,020
Securities
Trading
182,346
954
\u2013
\u2013
\u2013
\u2013
183,300
183,300
Investment, net of applicable allowance
\u2013
\u2013
155,118
1,242
100,258
96,336
256,618
252,696
182,346
954
155,118
1,242
100,258
96,336
439,918
435,996
Assets purchased under reverse repurchase
agreements and securities borrowed
284,311
\u2013
\u2013
\u2013
66,492
66,492
350,803
350,803
Loans, net of applicable allowance
Retail
915
\u2013
580
\u2013
622,098
619,320
623,593
620,815
Wholesale
6,177
2,030
1,003
\u2013
348,577
345,561
357,787
354,771
7,092
2,030
1,583
\u2013
970,675
964,881
981,380
975,586
Other
Derivatives
150,612
\u2013
\u2013
\u2013
\u2013
\u2013
150,612
150,612
Other assets
(1)
11,770
\u2013
\u2013
\u2013
50,093
50,093
61,863
61,863
Financial liabilities
Deposits
Personal
$
508
$
33,799
$
487,832
$
490,170
$
522,139
$
524,477
Business and government
(2)
191
156,238
683,241
684,748
839,670
841,177
Bank
(3)
\u2013
10,530
37,192
37,183
47,722
47,713
699
200,567
1,208,265
1,212,101
1,409,531
1,413,367
Other
Obligations related to securities sold short
35,286
\u2013
\u2013
\u2013
35,286
35,286
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
270,663
34,658
34,658
305,321
305,321
Derivatives
163,763
\u2013
\u2013
\u2013
163,763
163,763
Other liabilities
(4)
(1,407)
\u2013
69,597
69,850
68,190
68,443
Subordinated debentures
\u2013
\u2013
13,546
13,602
13,546
13,602
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
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
$
60,856
$
\u2013
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
Trading
180,651
9,500
\u2013
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
842
91,113
83,667
219,579
212,133
180,651
9,500
127,624
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
agreements and securities borrowed
285,869
\u2013
\u2013
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
Retail
114
362
280
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u2013
275,796
268,843
285,641
278,688
5,743
3,981
877
\u2013
842,172
811,323
852,773
821,924
Other
Derivatives
142,450
\u2013
\u2013
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
7,579
5
\u2013
\u2013
68,450
68,450
76,034
76,034
Financial liabilities
Deposits
Personal
$
109
$
26,702
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
33,204
33,160
44,666
44,622
283
175,618
1,055,786
1,051,306
1,231,687
1,227,207
Other
Obligations related to securities sold short
33,651
\u2013
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
298,679
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
92,539
92,441
91,613
91,515
Subordinated debentures
\u2013
\u2013
11,386
11,213
11,386
11,213
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00637": { "value": "\n \n
As at October 31, 2024
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
$
53,996
$
\u2013
$
\u2013
$
12,024
$
12,024
$
66,020
$
66,020
Securities
Trading
182,346
954
\u2013
\u2013
\u2013
\u2013
183,300
183,300
Investment, net of applicable allowance
\u2013
\u2013
155,118
1,242
100,258
96,336
256,618
252,696
182,346
954
155,118
1,242
100,258
96,336
439,918
435,996
Assets purchased under reverse repurchase
agreements and securities borrowed
284,311
\u2013
\u2013
\u2013
66,492
66,492
350,803
350,803
Loans, net of applicable allowance
Retail
915
\u2013
580
\u2013
622,098
619,320
623,593
620,815
Wholesale
6,177
2,030
1,003
\u2013
348,577
345,561
357,787
354,771
7,092
2,030
1,583
\u2013
970,675
964,881
981,380
975,586
Other
Derivatives
150,612
\u2013
\u2013
\u2013
\u2013
\u2013
150,612
150,612
Other assets
(1)
11,770
\u2013
\u2013
\u2013
50,093
50,093
61,863
61,863
Financial liabilities
Deposits
Personal
$
508
$
33,799
$
487,832
$
490,170
$
522,139
$
524,477
Business and government
(2)
191
156,238
683,241
684,748
839,670
841,177
Bank
(3)
\u2013
10,530
37,192
37,183
47,722
47,713
699
200,567
1,208,265
1,212,101
1,409,531
1,413,367
Other
Obligations related to securities sold short
35,286
\u2013
\u2013
\u2013
35,286
35,286
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
270,663
34,658
34,658
305,321
305,321
Derivatives
163,763
\u2013
\u2013
\u2013
163,763
163,763
Other liabilities
(4)
(1,407)
\u2013
69,597
69,850
68,190
68,443
Subordinated debentures
\u2013
\u2013
13,546
13,602
13,546
13,602
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
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
$
60,856
$
\u2013
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
Trading
180,651
9,500
\u2013
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
842
91,113
83,667
219,579
212,133
180,651
9,500
127,624
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
agreements and securities borrowed
285,869
\u2013
\u2013
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
Retail
114
362
280
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u2013
275,796
268,843
285,641
278,688
5,743
3,981
877
\u2013
842,172
811,323
852,773
821,924
Other
Derivatives
142,450
\u2013
\u2013
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
7,579
5
\u2013
\u2013
68,450
68,450
76,034
76,034
Financial liabilities
Deposits
Personal
$
109
$
26,702
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
33,204
33,160
44,666
44,622
283
175,618
1,055,786
1,051,306
1,231,687
1,227,207
Other
Obligations related to securities sold short
33,651
\u2013
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
298,679
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
92,539
92,441
91,613
91,515
Subordinated debentures
\u2013
\u2013
11,386
11,213
11,386
11,213
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00638": { "value": "\n \n
As at October 31, 2024
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
$
53,996
$
\u2013
$
\u2013
$
12,024
$
12,024
$
66,020
$
66,020
Securities
Trading
182,346
954
\u2013
\u2013
\u2013
\u2013
183,300
183,300
Investment, net of applicable allowance
\u2013
\u2013
155,118
1,242
100,258
96,336
256,618
252,696
182,346
954
155,118
1,242
100,258
96,336
439,918
435,996
Assets purchased under reverse repurchase
agreements and securities borrowed
284,311
\u2013
\u2013
\u2013
66,492
66,492
350,803
350,803
Loans, net of applicable allowance
Retail
915
\u2013
580
\u2013
622,098
619,320
623,593
620,815
Wholesale
6,177
2,030
1,003
\u2013
348,577
345,561
357,787
354,771
7,092
2,030
1,583
\u2013
970,675
964,881
981,380
975,586
Other
Derivatives
150,612
\u2013
\u2013
\u2013
\u2013
\u2013
150,612
150,612
Other assets
(1)
11,770
\u2013
\u2013
\u2013
50,093
50,093
61,863
61,863
Financial liabilities
Deposits
Personal
$
508
$
33,799
$
487,832
$
490,170
$
522,139
$
524,477
Business and government
(2)
191
156,238
683,241
684,748
839,670
841,177
Bank
(3)
\u2013
10,530
37,192
37,183
47,722
47,713
699
200,567
1,208,265
1,212,101
1,409,531
1,413,367
Other
Obligations related to securities sold short
35,286
\u2013
\u2013
\u2013
35,286
35,286
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
270,663
34,658
34,658
305,321
305,321
Derivatives
163,763
\u2013
\u2013
\u2013
163,763
163,763
Other liabilities
(4)
(1,407)
\u2013
69,597
69,850
68,190
68,443
Subordinated debentures
\u2013
\u2013
13,546
13,602
13,546
13,602
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
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
$
60,856
$
\u2013
$
\u2013
$
10,230
$
10,230
$
71,086
$
71,086
Securities
Trading
180,651
9,500
\u2013
\u2013
\u2013
\u2013
190,151
190,151
Investment, net of applicable allowance
\u2013
\u2013
127,624
842
91,113
83,667
219,579
212,133
180,651
9,500
127,624
842
91,113
83,667
409,730
402,284
Assets purchased under reverse repurchase
agreements and securities borrowed
285,869
\u2013
\u2013
\u2013
54,322
54,322
340,191
340,191
Loans, net of applicable allowance
Retail
114
362
280
\u2013
566,376
542,480
567,132
543,236
Wholesale
5,629
3,619
597
\u2013
275,796
268,843
285,641
278,688
5,743
3,981
877
\u2013
842,172
811,323
852,773
821,924
Other
Derivatives
142,450
\u2013
\u2013
\u2013
\u2013
\u2013
142,450
142,450
Other assets
(1)
7,579
5
\u2013
\u2013
68,450
68,450
76,034
76,034
Financial liabilities
Deposits
Personal
$
109
$
26,702
$
415,135
$
412,886
$
441,946
$
439,697
Business and government
(2)
174
137,454
607,447
605,260
745,075
742,888
Bank
(3)
\u2013
11,462
33,204
33,160
44,666
44,622
283
175,618
1,055,786
1,051,306
1,231,687
1,227,207
Other
Obligations related to securities sold short
33,651
\u2013
\u2013
\u2013
33,651
33,651
Obligations related to assets sold under
repurchase agreements and securities
loaned
\u2013
298,679
36,559
36,559
335,238
335,238
Derivatives
142,629
\u2013
\u2013
\u2013
142,629
142,629
Other liabilities
(4)
(937)
11
92,539
92,441
91,613
91,515
Subordinated debentures
\u2013
\u2013
11,386
11,213
11,386
11,213
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00639": { "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, 2024, the change in fair value during the period
\n
attributable to changes in credit risk for positions still held was a gain of $45 million and the cumulative change in fair value
\n
attributable to changes in credit risk for positions still held was a loss of $9 million. For the year ended October 31, 2023, the
\n
change in fair value during the period attributable to changes in credit risk for positions still held was a gain of $360 million and
\n
the cumulative change in fair value attributable to changes in credit risk for positions still held was a loss of $102 million. As at
\n
October 31, 2024, the extent to which credit derivatives or similar instruments mitigate the maximum exposure to credit risk was
\n
$954 million (October 31, 2023 \u2013 $692 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.
\n \n \n
As at or for the year ended October 31, 2024
(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
$
33,552
$
33,799
$
247
$
221
$
163
Business and government
(3)
162,648
156,238
(6,410)
1,204
177
Bank
(4)
10,520
10,530
10
\u2013
\u2013
206,720
200,567
(6,153)
1,425
340
Obligations related to assets sold under
repurchase agreements and securities loaned
270,625
270,663
38
\u2013
\u2013
Other liabilities
\u2013
\u2013
\u2013
\u2013
\u2013
$
477,345
$
471,230
$
(6,115)
$
1,425
$
340
\n\n \n
As at or for the year ended October 31, 2023 (1)
Difference
between
Changes in fair value attributable
carrying value
to changes in credit risk included
Contractual
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)
\n
(1)
$1 million in changes in fair value attributable to changes in credit risk were recognized in income for the year ended October 31, 2024, and $9 million in cumulative
\n
changes in credit risk were included in income for positions still held life-to-date (October 31, 2023 \u2013 $29 million and $17 million, respectively).
\n
(2)
The cumulative change is measured from the initial designation of the liabilities as FVTPL. For the year ended October 31, 2024, $15 million of fair value gains previously
\n
included in OCI relate to financial liabilities derecognized during the year (October 31, 2023 \u2013 $2 million of fair value gains).
\n
(3)
Business and government term deposits include amounts from regulated deposit-taking institutions other than regulated banks.
\n
(4)
Bank term deposits refer to amounts from regulated banks and central banks.
\n
Net gains (losses) from financial instruments classified and designated as fair value through profit or loss
\n
Financial instruments classified as FVTPL, which includes mainly trading securities, derivatives, trading liabilities, and financial
\n
assets and liabilities designated as FVTPL are measured at fair value with realized and unrealized gains and losses recognized in
\n
Non-interest income.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Net gains (losses)
(1)
Classified as fair value through profit or loss
(2)
$
8,996
$
1,998
Designated as fair value through profit or loss
(3)
(5,847)
1,499
$
3,149
$
3,497
By product line
(1)
Interest rate and credit
(4)
$
2,580
$
3,515
Equities
389
(510)
Foreign exchange and commodities
180
492
$
3,149
$
3,497
\n
(1)
Excludes net gains from financial instruments classified as FVTPL of $2,251 million (October 31, 2023 \u2013 net losses of $107 million for financial instruments classified or
\n
designated as FVTPL) presented in Insurance investment result in the Consolidated Statements of Income.
\n
(2)
Excludes derivatives designated in a hedging relationship. Refer to Note 9 for net gains (losses) on these derivatives.
\n
(3)
For the year ended October 31, 2024, $5,838 million of net fair value losses on financial liabilities designated as FVTPL, other than those attributable to changes in our own
\n
credit risk, were included in Non-interest income (October 31, 2023 \u2013 gains of $1,524 million).
\n
(4)
Includes gains (losses) recognized on cross currency interest rate swaps.", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsDesignatedAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00641": { "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
\n
reported in Net interest income.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
\n
(1)
Excludes interest and dividend income of $958 million (October 31, 2023 \u2013 $677 million) and interest expense of $120 million (October 31, 2023 \u2013 $191 million) presented in
\n
Insurance investment result in the Consolidated Statements of Income.
\n
(2)
Includes dividend income for the year ended October 31, 2024 of $3,319 million (October 31, 2023 \u2013 $3,215 million), which is presented in Interest and dividend income in
\nthe Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00642": { "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
\n
reported in Net interest income.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
\n
(1)
Excludes interest and dividend income of $958 million (October 31, 2023 \u2013 $677 million) and interest expense of $120 million (October 31, 2023 \u2013 $191 million) presented in
\n
Insurance investment result in the Consolidated Statements of Income.
\n
(2)
Includes dividend income for the year ended October 31, 2024 of $3,319 million (October 31, 2023 \u2013 $3,215 million), which is presented in Interest and dividend income in
\nthe Consolidated Statements of Income.", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00643": { "value": "\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00644": { "value": "\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinanceIncomeExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00645": { "value": "\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinanceIncomeExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00646": { "value": "\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Interest and dividend income
(1), (2)
Financial instruments measured at fair value through profit or loss
$
35,550
$
31,464
Financial instruments measured at fair value through other comprehensive income
7,109
5,127
Financial instruments measured at amortized cost
62,292
50,400
104,951
86,991
Interest expense
(1)
Financial instruments measured at fair value through profit or loss
$
34,150
$
28,446
Financial instruments measured at amortized cost
42,848
33,416
76,998
61,862
Net interest income
$
27,953
$
25,129
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinanceCostExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00640": { "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, 2024
October 31, 2023 (Restated \u2013 Note 2)
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
$
53,996
$
\u2013
$
$
53,996
$
\u2013
$ 60,856
$
\u2013
$
$
60,856
Securities
Trading
Debt issued or guaranteed by:
Canadian government
(1)
Federal
11,611
2,173
\u2013
13,784
26,675
2,581
\u2013
29,256
Provincial and municipal
\u2013
16,588
\u2013
16,588
\u2013
16,389
\u2013
16,389
U.S. federal, state, municipal and agencies
(1), (2)
1,852
29,136
\u2013
30,988
2,249
50,439
\u2013
52,688
Other OECD government
(3)
2,481
2,153
\u2013
4,634
2,055
2,577
\u2013
4,632
Mortgage-backed securities
(1)
\u2013
3
\u2013
3
\u2013
2
\u2013
2
Asset-backed securities
\u2013
1,434
\u2013
1,434
\u2013
1,245
\u2013
1,245
Corporate debt and other debt
\u2013
26,195
\u2013
26,195
\u2013
22,615
\u2013
22,615
Equities
84,814
2,316
2,544
89,674
58,826
2,232
2,266
63,324
100,758
79,998
2,544
183,300
89,805
98,080
2,266
190,151
Investment
Debt issued or guaranteed by:
Canadian government
(1)
Federal
4,623
8,546
\u2013
13,169
2,731
3,528
\u2013
6,259
Provincial and municipal
\u2013
7,554
\u2013
7,554
\u2013
2,748
\u2013
2,748
U.S. federal, state, municipal and agencies
(1)
42
80,224
\u2013
80,266
275
73,020
\u2013
73,295
Other OECD government
2,370
7,786
\u2013
10,156
\u2013
6,192
\u2013
6,192
Mortgage-backed securities
(1)
\u2013
2,603
31
2,634
\u2013
2,672
29
2,701
Asset-backed securities
\u2013
9,357
\u2013
9,357
\u2013
8,706
\u2013
8,706
Corporate debt and other debt
\u2013
31,839
143
31,982
\u2013
27,574
149
27,723
Equities
432
304
506
1,242
38
338
466
842
7,467
148,213
680
156,360
3,044
124,778
644
128,466
Assets purchased under reverse repurchase agreements and
securities borrowed
\u2013
284,311
\u2013
284,311
\u2013
285,869
\u2013
285,869
Loans
\u2013
8,924
1,781
10,705
\u2013
8,742
1,859
10,601
Other
Derivatives
Interest rate contracts
\u2013
27,719
354
28,073
\u2013
39,243
290
39,533
Foreign exchange contracts
\u2013
98,480
3
98,483
\u2013
89,644
4
89,648
Credit derivatives
\u2013
273
\u2013
273
\u2013
224
\u2013
224
Other contracts
2,553
23,830
21
26,404
2,352
13,927
111
16,390
Valuation adjustments
\u2013
(1,067)
14
(1,053)
\u2013
(1,805)
4
(1,801)
Total gross derivatives
2,553
149,235
392
152,180
2,352
141,233
409
143,994
Netting adjustments
(1,568)
(1,568)
(1,544)
(1,544)
Total derivatives
150,612
142,450
Other assets
5,291
6,472
7
11,770
4,152
3,421
11
7,584
$116,069
$ 731,149
$ 5,404
$
(1,568)
$ 851,054
$99,353
$722,979
$
5,189
$
(1,544)
$ 825,977
Financial liabilities
Deposits
Personal
$
\u2013
$
33,829
$
478
$
$
34,307
$
\u2013
$ 26,428
$
383
$
$
26,811
Business and government
\u2013
156,429
\u2013
156,429
\u2013
137,628
\u2013
137,628
Bank
\u2013
10,530
\u2013
10,530
\u2013
11,462
\u2013
11,462
Other
Obligations related to securities sold short
15,172
20,114
\u2013
35,286
14,391
19,260
\u2013
33,651
Obligations related to assets sold under repurchase agreements and
securities loaned
\u2013
270,663
\u2013
270,663
\u2013
298,679
\u2013
298,679
Derivatives
Interest rate contracts
\u2013
24,852
847
25,699
\u2013
41,249
952
42,201
Foreign exchange contracts
\u2013
93,164
54
93,218
\u2013
81,750
53
81,803
Credit derivatives
\u2013
218
\u2013
218
\u2013
176
\u2013
176
Other contracts
3,212
42,961
324
46,497
3,119
17,306
549
20,974
Valuation adjustments
\u2013
(297)
(4)
(301)
\u2013
(982)
1
(981)
Total gross derivatives
3,212
160,898
1,221
165,331
3,119
139,499
1,555
144,173
Netting adjustments
(1,568)
(1,568)
(1,544)
(1,544)
Total derivatives
163,763
142,629
Other liabilities
287
(1,694)
\u2013
(1,407)
370
(1,296)
\u2013
(926)
$ 18,671
$ 650,769
$ 1,699
$
(1,568)
$ 669,571
$17,880
$631,660
$
1,938
$
(1,544)
$ 649,934
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
\n
their fair values, ranges and weighted averages of unobservable inputs.
\n
As at October 31, 2024 (Millions of Canadian dollars, except for prices, percentages and ratios)
\n\n \n
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
$
64.67
$ 116.25
$
92.07
derivatives
Corporate debt and other debt
$
\u2013
Discounted cash flows
Credit spread
1.45%
10.90%
6.17%
Loans
1,781
Credit enhancement
11.70%
15.60%
13.00%
Derivative related liabilities
$
2
Government debt and
municipal bonds
Corporate debt and other debt
143
Discounted cash flows
Yields
6.54%
9.55%
7.54%
Private equities, hedge fund
Market comparable
EV/EBITDA multiples
3.20X
17.20X
7.94X
investments and related
Equities
3,050
Price-based
P/E multiples
7.30X
22.60X
11.27X
equity derivatives
Derivative related liabilities
\u2013
Discounted cash flows
EV/Rev multiples
0.70X
5.72X
2.59X
Liquidity discounts
(4)
10.00%
40.00%
10.40%
Discount rate
8.50%
8.50%
8.50%
NAV / prices
(5)
n.a.
n.a.
n.a.
Interest rate derivatives and
Discounted cash flows
Interest rates
1.89%
4.59%
Even
interest-rate-linked
Derivative related assets
355
Option pricing model
CPI swap rates
1.84%
1.96%
Even
structured notes
(6), (7)
Derivative related liabilities
900
IR-IR correlations
48.00%
86.00%
Even
FX-IR correlations
(76.00)%
66.00%
Even
FX-FX correlations
(74.00)%
61.00%
Even
Equity derivatives and equity-
linked structured
Discounted cash flows
Dividend yields
0.00%
10.60%
Lower
notes
(6), (7)
Derivative related assets
21
Option pricing model
Equity (EQ)-EQ correlations
6.30%
95.85%
Middle
Deposits
478
EQ-FX correlations
(77.11)%
50.38%
Middle
Derivative related liabilities
283
EQ volatilities
6.00%
146.87%
Lower
Other
(8)
Derivative related assets
16
Other assets
7
Mortgage-backed securities
31
Derivative related liabilities
36
Total
$ 5,404
$
1,699
\n
As at October 31, 2023 (Millions of Canadian dollars, except for prices, percentages and ratios)
\n\n \n
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)
Derivative related assets
5
Other assets
11
Mortgage-backed securities
29
Derivative related liabilities
73
Total
$
5,189
$
1,938
Changes in fair value measurement for instruments measured on a recurring basis and categorized in Level 3 \n \n
For the year ended October 31, 2024
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
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
\u2013
Asset-backed securities
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Corporate debt and other debt
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Equities
2,266
(195)
5
577
(88)
1
(22)
2,544
(128)
2,266
(195)
5
577
(88)
1
(22)
2,544
(128)
Investment
Mortgage-backed securities
29
\u2013
2
\u2013
\u2013
\u2013
\u2013
31
n.a.
Corporate debt and other debt
149
\u2013
11
\u2013
(17)
\u2013
\u2013
143
n.a.
Equities
466
\u2013
35
6
(3)
2
\u2013
506
n.a.
644
\u2013
48
6
(20)
2
\u2013
680
n.a.
Loans
1,859
(25)
37
513
(445)
70
(228)
1,781
63
Other
Net derivative balances
(3)
Interest rate contracts
(662)
46
1
(47)
145
30
(6)
(493)
51
Foreign exchange contracts
(49)
(15)
7
14
3
3
(14)
(51)
(9)
Other contracts
(438)
(139)
2
(106)
8
(330)
700
(303)
31
Valuation adjustments
3
\u2013
\u2013
(4)
19
\u2013
\u2013
18
\u2013
Other assets
11
\u2013
\u2013
\u2013
(4)
\u2013
\u2013
7
\u2013
$ 3,634
$ (328)
$
100
$
953
$ (382)
$ (224)
$
430
$ 4,183
$
8
Liabilities
Deposits
$
(383)
$ (119)
$
\u2013
$
(583)
$
165
$ (120)
$
562
$
(478)
$ (40)
$
(383)
$ (119)
$
\u2013
$
(583)
$
165
$ (120)
$
562
$
(478)
$ (40)
\n\n \n
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
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
$
(241)
$
5
$
\u2013
$
(260)
$
23
$ (134)
$
224
$
(383)
$
24
Fair value for financial instruments that are carried at amortized cost and classified using the fair value hierarchy \n \n
As at October 31, 2024
Fair value may not approximate carrying value
Fair 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
$
12,024
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
12,024
Amortized cost securities
(2)
\u2013
68
96,268
\u2013
96,336
96,336
Assets purchased under reverse
repurchase agreements and
securities borrowed
54,331
\u2013
12,161
\u2013
12,161
66,492
Loans
Retail
79,960
\u2013
533,708
5,652
539,360
619,320
Wholesale
16,022
\u2013
321,684
7,855
329,539
345,561
95,982
\u2013
855,392
13,507
868,899
964,881
Other assets
49,414
\u2013
412
267
679
50,093
211,751
68
964,233
13,774
978,075
1,189,826
Deposits
Personal
273,228
\u2013
216,675
267
216,942
490,170
Business and government
443,077
\u2013
241,204
467
241,671
684,748
Bank
23,942
\u2013
13,241
\u2013
13,241
37,183
740,247
\u2013
471,120
734
471,854
1,212,101
Obligations related to assets sold
under repurchase agreements and
securities loaned
34,658
\u2013
\u2013
\u2013
\u2013
34,658
Other liabilities
51,561
\u2013
1,983
16,306
18,289
69,850
Subordinated debentures
\u2013
\u2013
13,602
\u2013
13,602
13,602
$ 826,466
$
\u2013
$ 486,705
$ 17,040
$ 503,745
$ 1,330,211
\n \n
As at October 31, 2023 (Restated \u2013 Note 2)
Fair value may not approximate carrying value
Fair 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
67,313
\u2013
914
223
1,137
68,450
195,908
34
820,645
11,405
832,084
1,027,992
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
77,021
\u2013
1,856
13,564
15,420
92,441
Subordinated debentures
\u2013
\u2013
11,213
\u2013
11,213
11,213
$
768,988
$
\u2013
$
407,750
$ 14,781
$
422,531
$ 1,191,519
", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00647": { "value": "Prepayment rates
A prepayment rate is the rate at which a loan will be repaid in advance of its expected amortization schedule. Prepayments
\n
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
\n
the loan interest rate is lower than the current reinvestment rate, and a decrease in the prepayment rate in isolation will result in
\n
a decrease in fair value when the loan interest rate is lower than the current reinvestment rate. Prepayment rates are generally
\nnegatively correlated with interest rates.", "dimensions": { "concept": "ifrs-full:DisclosureOfPrepaymentsAndOtherAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00648": { "value": "Assets purchased under reverse repurchase agreements and securities borrowed, and Obligations related to assets sold
under repurchase agreements and securities loaned
\n
Valuation methods used for the long-term instruments are described in the Fair value of assets and liabilities measured on a
\n
recurring basis and classified using the fair value hierarchy section of this note. The carrying values of short-term instruments
\ngenerally approximate their fair values.", "dimensions": { "concept": "ifrs-full:DisclosureOfRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00649": { "value": "Note 4
Securities
\n
Carrying value of securities
\n\n \n
As at October 31, 2024
Term to maturity
(1)
With no
Within
3 months
1 year to 5
5 years to
Over
specific
(Millions of Canadian dollars)
3 months
to 1 year
years
10 years
10 years
maturity
Total
Trading
(2)
Debt issued or guaranteed by:
Canadian government
$
2,026
$
8,712
$
6,054
$
3,509
$ 10,071
$
\u2013
$
30,372
U.S. federal, state, municipal
and agencies
2,599
1,423
13,648
4,336
8,982
\u2013
30,988
Other OECD government
710
246
1,578
972
1,128
\u2013
4,634
Mortgage-backed securities
\u2013
\u2013
\u2013
\u2013
3
\u2013
3
Asset-backed securities
289
213
387
406
139
\u2013
1,434
Corporate debt and other debt
Bankers\u2019 acceptances
4
\u2013
\u2013
\u2013
\u2013
\u2013
4
Other
(3)
2,026
3,178
8,170
4,200
8,617
\u2013
26,191
Equities
89,674
89,674
7,654
13,772
29,837
13,423
28,940
89,674
183,300
Fair value through other
comprehensive income
(2)
Debt issued or guaranteed by:
Canadian government
Federal
Amortized cost
2,068
2,810
7,893
394
\u2013
\u2013
13,165
Fair value
2,068
2,803
7,904
394
\u2013
\u2013
13,169
Yield
(4)
3.2%
2.4%
2.9%
2.9%
\u2013
\u2013
2.9%
Provincial and municipal
Amortized cost
154
2,768
3,827
334
480
\u2013
7,563
Fair value
154
2,767
3,833
333
467
\u2013
7,554
Yield
(4)
3.6%
2.2%
3.3%
2.7%
4.3%
\u2013
3.0%
U.S. federal, state, municipal
and agencies
Amortized cost
1,154
1,198
30,773
33,906
14,601
\u2013
81,632
Fair value
1,182
1,196
30,797
33,831
13,260
\u2013
80,266
Yield
(4)
5.6%
2.1%
3.1%
3.9%
3.3%
\u2013
3.5%
Other OECD government
Amortized cost
300
1,510
8,389
\u2013
\u2013
\u2013
10,199
Fair value
300
1,511
8,345
\u2013
\u2013
\u2013
10,156
Yield
(4)
1.2%
3.6%
3.5%
\u2013
\u2013
\u2013
3.4%
Mortgage-backed securities
Amortized cost
\u2013
\u2013
\u2013
58
2,588
\u2013
2,646
Fair value
\u2013
\u2013
\u2013
56
2,578
\u2013
2,634
Yield
(4)
\u2013
\u2013
\u2013
6.1%
5.9%
\u2013
5.9%
Asset-backed securities
Amortized cost
\u2013
\u2013
\u2013
4,258
5,085
\u2013
9,343
Fair value
\u2013
\u2013
\u2013
4,263
5,094
\u2013
9,357
Yield
(4)
\u2013
\u2013
\u2013
6.2%
6.4%
\u2013
6.3%
Corporate debt and other debt
Amortized cost
7,028
2,703
20,830
991
380
\u2013
31,932
Fair value
7,027
2,707
20,858
1,010
380
\u2013
31,982
Yield
(4)
3.2%
3.8%
4.0%
5.0%
5.3%
\u2013
3.9%
Equities
Cost
728
728
Fair value
(5)
1,242
1,242
Amortized cost
10,704
10,989
71,712
39,941
23,134
728
157,208
Fair value
10,731
10,984
71,737
39,887
21,779
1,242
156,360
Amortized cost
(2)
Debt issued or guaranteed by:
Canadian government
216
7,516
17,571
6,160
\u2013
\u2013
31,463
Yield
(4)
2.4%
1.7%
3.0%
2.0%
\u2013
\u2013
2.4%
U.S. federal, state, municipal
and agencies
2,029
5,659
13,197
4,882
20,221
\u2013
45,988
Yield
(4)
2.5%
3.6%
3.4%
3.2%
2.6%
\u2013
3.0%
Other OECD government
61
1,133
5,169
202
\u2013
\u2013
6,565
Yield
(4)
0.9%
2.3%
3.2%
3.3%
\u2013
\u2013
3.0%
Asset-backed securities
\u2013
\u2013
2
32
\u2013
\u2013
34
Yield
(4)
\u2013
\u2013
0.3%
5.6%
\u2013
\u2013
5.2%
Corporate debt and other debt
526
3,677
11,724
259
22
\u2013
16,208
Yield
(4)
2.9%
3.1%
3.6%
3.5%
5.3%
\u2013
3.5%
Amortized cost, net of allowance
2,832
17,985
47,663
11,535
20,243
\u2013
100,258
Fair value
2,826
17,855
47,481
10,701
17,473
\u2013
96,336
Total carrying value of securities
$ 21,217
$ 42,741
$ 149,237
$
64,845
$ 70,962
$ 90,916
$ 439,918
\n \n
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
\n
(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.
\n
(2)
Trading securities and FVOCI securities are recorded at fair value. Amortized cost securities, included in Investment securities, are recorded at amortized cost and
\n
presented net of allowance for credit losses.
\n
(3)
Primarily composed of corporate debt, supra-national debt, and commercial paper.
\n
(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.
\n
(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 \n
As at
October 31, 2024
(3)
October 31, 2023
Cost/
Gross
Gross
Cost/
Gross
Gross
Amortized
unrealized
unrealized
Amortized
unrealized
unrealized
(Millions of Canadian dollars)
cost
gains
losses
Fair value
cost
gains
losses
Fair value
Debt issued or guaranteed by:
Canadian government
Federal
$
13,165
$
31
$
(27)
$
13,169
$
6,609
$
1
$
(351)
$
6,259
Provincial and municipal
7,563
27
(36)
7,554
3,396
2
(650)
2,748
U.S. federal, state, municipal and
agencies
81,632
333
(1,699)
80,266
75,326
343
(2,374)
73,295
Other OECD government
10,199
6
(49)
10,156
6,200
1
(9)
6,192
Mortgage-backed securities
2,646
3
(15)
2,634
2,762
\u2013
(61)
2,701
Asset-backed securities
9,343
17
(3)
9,357
8,752
5
(51)
8,706
Corporate debt and other debt
31,932
101
(51)
31,982
27,774
44
(95)
27,723
Equities
728
519
(5)
1,242
493
357
(8)
842
$ 157,208
$
1,037
$
(1,885)
$ 156,360
$ 131,312
$
753
$
(3,599)
$ 128,466
\n
(1)
Excludes $100,258 million of held-to-collect securities as at October 31, 2024 that are carried at amortized cost, net of allowance for credit losses (October 31, 2023 \u2013
\n
$91,113 million).
\n
(2)
Gross unrealized gains and losses includes $(35) million of allowance for credit losses on debt securities at FVOCI as at October 31, 2024 (October 31, 2023 \u2013 $(33) million)
\n
recognized in income and Other components of equity.
\n
(3)
These amounts reflect certain reclassifications made upon the adoption of IFRS 17 as at November 1, 2023 with no restatement of comparative information. Refer to
\n
Note 2 for further details.
\n
Allowance for credit losses on investment securities
\n
The following tables reconcile the opening and closing allowance for debt securities at FVOCI and amortized cost by stage.
\n
Reconciling items include the following:
\n
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurement of the allowance.
\n
\u2022
Purchases, which reflect the allowance related to assets newly recognized during the period, including those assets that
\n
were derecognized following a modification of terms.
\n
\u2022
Sales and maturities, which reflect the allowance related to assets derecognized during the period without a credit loss
\n
being incurred, including those assets that were derecognized following a modification of terms.
\n
\u2022
Changes in risk, parameters and exposures, which comprise the impact of changes in model inputs or assumptions, including
\n
changes in forward-looking macroeconomic conditions; partial repayments; changes in the measurement following a
\n
transfer between stages; and unwinding of the time value discount due to the passage of time.
\n
Allowance for credit losses \u2013 securities at FVOCI
(1)
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
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
$
4
$
\u2013
$
(37)
$
(33)
$
3
$
1
$
(23)
$
(19)
Provision for credit losses
Transfers to stage 1
\u2013
\u2013
\u2013
\u2013
1
(1)
\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
7
\u2013
\u2013
7
Sales and maturities
(4)
\u2013
\u2013
(4)
(2)
\u2013
\u2013
(2)
Changes in risk, parameters and
exposures
(4)
\u2013
(8)
(12)
(5)
\u2013
(17)
(22)
Exchange rate and other
\u2013
\u2013
4
4
\u2013
\u2013
3
3
Balance at end of period
$
6
$
\u2013
$
(41)
$
(35)
$
4
$
\u2013
$
(37)
$
(33)
\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.
\n
The cumulative amount of credit losses recognized in income is presented in Other components of equity.
\n
(2)
Reflects changes in the allowance for purchased credit impaired securities.
Allowance for credit losses \u2013 securities at amortized cost
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
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
$
15
$
\u2013
$
23
$
8
$
14
$
\u2013
$
22
Provision for credit losses
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
7
\u2013
\u2013
7
10
\u2013
\u2013
10
Sales and maturities
(2)
\u2013
\u2013
(2)
(1)
\u2013
\u2013
(1)
Changes in risk, parameters and
exposures
(8)
(6)
\u2013
(14)
(9)
\u2013
\u2013
(9)
Exchange rate and other
1
(1)
\u2013
\u2013
\u2013
1
\u2013
1
Balance at end of period
$
6
$
8
$
\u2013
$
14
$
8
$
15
$
\u2013
$
23
\n
Credit risk exposure by internal risk rating
\n
The following table presents the fair value of debt securities at FVOCI and gross carrying amount of securities at amortized cost.
\n
Risk ratings are based on internal ratings used in the measurement of expected credit losses, as at the reporting date, as outlined
\n
in the internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
\n\n \n
As at
October 31, 2024
October 31, 2023
Performing
Impaired
Performing
Impaired
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage
3 (1)
Total
Stage 1
Stage 2
Stage 3 (1)
Total
Investment securities
Securities at FVOCI
Investment grade
$ 154,100
$
\u2013
$
\u2013
$ 154,100
$ 126,732
$
1
$
\u2013
$ 126,733
Non-investment grade
875
\u2013
\u2013
875
742
\u2013
\u2013
742
Impaired
\u2013
\u2013
143
143
\u2013
\u2013
149
149
154,975
\u2013
143
155,118
127,474
1
149
127,624
Items not subject to impairment
(2)
1,242
842
$ 156,360
$ 128,466
Securities at amortized cost
Investment grade
$
99,224
$
\u2013
$
\u2013
$
99,224
$
89,947
$
\u2013
$
\u2013
$
89,947
Non-investment grade
856
192
\u2013
1,048
990
199
\u2013
1,189
100,080
192
\u2013
100,272
90,937
199
\u2013
91,136
Allowance for credit losses
6
8
\u2013
14
8
15
\u2013
23
$ 100,074
$
184
$
\u2013
$ 100,258
$
90,929
$
184
$
\u2013
$
91,113
\n
(1)
Reflects $143 million of purchased credit impaired securities (October 31, 2023 \u2013 $149 million).
\n
(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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00650": { "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.
\n
Reconciling items include the following:
\n
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurement of the allowance.
\n
\u2022
Purchases, which reflect the allowance related to assets newly recognized during the period, including those assets that
\n
were derecognized following a modification of terms.
\n
\u2022
Sales and maturities, which reflect the allowance related to assets derecognized during the period without a credit loss
\n
being incurred, including those assets that were derecognized following a modification of terms.
\n
\u2022
Changes in risk, parameters and exposures, which comprise the impact of changes in model inputs or assumptions, including
\n
changes in forward-looking macroeconomic conditions; partial repayments; changes in the measurement following a
\n
transfer between stages; and unwinding of the time value discount due to the passage of time.
\n
Allowance for credit losses \u2013 securities at FVOCI
(1)
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
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
$
4
$
\u2013
$
(37)
$
(33)
$
3
$
1
$
(23)
$
(19)
Provision for credit losses
Transfers to stage 1
\u2013
\u2013
\u2013
\u2013
1
(1)
\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
7
\u2013
\u2013
7
Sales and maturities
(4)
\u2013
\u2013
(4)
(2)
\u2013
\u2013
(2)
Changes in risk, parameters and
exposures
(4)
\u2013
(8)
(12)
(5)
\u2013
(17)
(22)
Exchange rate and other
\u2013
\u2013
4
4
\u2013
\u2013
3
3
Balance at end of period
$
6
$
\u2013
$
(41)
$
(35)
$
4
$
\u2013
$
(37)
$
(33)
\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.
\n
The cumulative amount of credit losses recognized in income is presented in Other components of equity.
\n
(2)
Reflects changes in the allowance for purchased credit impaired securities.
\n
Allowance for credit losses \u2013 securities at amortized cost
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
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
$
15
$
\u2013
$
23
$
8
$
14
$
\u2013
$
22
Provision for credit losses
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
7
\u2013
\u2013
7
10
\u2013
\u2013
10
Sales and maturities
(2)
\u2013
\u2013
(2)
(1)
\u2013
\u2013
(1)
Changes in risk, parameters and
exposures
(8)
(6)
\u2013
(14)
(9)
\u2013
\u2013
(9)
Exchange rate and other
1
(1)
\u2013
\u2013
\u2013
1
\u2013
1
Balance at end of period
$
6
$
8
$
\u2013
$
14
$
8
$
15
$
\u2013
$
23
\n
Credit risk exposure by internal risk rating
\n
The following table presents the fair value of debt securities at FVOCI and gross carrying amount of securities at amortized cost.
\n
Risk ratings are based on internal ratings used in the measurement of expected credit losses, as at the reporting date, as outlined
\n
in the internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
\n\n \n
As at
October 31, 2024
October 31, 2023
Performing
Impaired
Performing
Impaired
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage
3 (1)
Total
Stage 1
Stage 2
Stage 3 (1)
Total
Investment securities
Securities at FVOCI
Investment grade
$ 154,100
$
\u2013
$
\u2013
$ 154,100
$ 126,732
$
1
$
\u2013
$ 126,733
Non-investment grade
875
\u2013
\u2013
875
742
\u2013
\u2013
742
Impaired
\u2013
\u2013
143
143
\u2013
\u2013
149
149
154,975
\u2013
143
155,118
127,474
1
149
127,624
Items not subject to impairment
(2)
1,242
842
$ 156,360
$ 128,466
Securities at amortized cost
Investment grade
$
99,224
$
\u2013
$
\u2013
$
99,224
$
89,947
$
\u2013
$
\u2013
$
89,947
Non-investment grade
856
192
\u2013
1,048
990
199
\u2013
1,189
100,080
192
\u2013
100,272
90,937
199
\u2013
91,136
Allowance for credit losses
6
8
\u2013
14
8
15
\u2013
23
$ 100,074
$
184
$
\u2013
$ 100,258
$
90,929
$
184
$
\u2013
$
91,113
\n
(1)
Reflects $143 million of purchased credit impaired securities (October 31, 2023 \u2013 $149 million).
\n
(2)
Investment securities at FVOCI not subject to impairment represent equity securities designated as FVOCI.
Note 5
Loans and allowance for credit losses
\n
Loans by geography and portfolio net of allowance
\n\n \n
As at October 31, 2024
United
Other
Allowance for
Total net
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
of allowance
Retail
(2)
Residential mortgages
$ 441,191
$
33,092
$
3,261
$ 477,544
$
(572)
$
476,972
Personal
86,977
18,148
3,213
108,338
(1,389)
106,949
Credit cards
(3)
24,619
653
293
25,565
(1,164)
24,401
Small business
(4)
15,531
\u2013
\u2013
15,531
(258)
15,273
Wholesale
(2), (5)
189,378
119,231
51,830
360,439
(2,654)
357,785
Total loans
$ 757,696
$ 171,124
$
58,597
$ 987,417
$
(6,037)
$
981,380
Undrawn loan commitments \u2013 Retail
300,071
5,099
4,100
309,270
(172)
Undrawn loan commitments \u2013 Wholesale
180,687
264,309
88,787
533,783
(139)
\n\n \n
As at October 31, 2023
United
Other
Allowance for
Total net of
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
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)
\n
(1)
Excludes allowance for loans measured at FVOCI of $4 million (October 31, 2023 \u2013 $6 million).
\n
(2)
Geographic information is based on residence of the borrower.
\n
(3)
The credit cards business is managed as a single portfolio and includes both consumer and business cards.
\n
(4)
Includes small business exposure managed on a pooled basis.
\n
(5)
Includes small business exposure managed on an individual client basis.
\n
Loans maturity and rate sensitivity
\n\n \n
As at October 31, 2024
Maturity term
(1)
Rate sensitivity
Under
1 to 5
Over 5
Fixed
Non-rate-
(Millions of Canadian dollars)
1 year
(2)
years
years
Total
Floating
Rate
sensitive
Total
Retail
$ 342,552
$ 240,995
$ 43,431
$ 626,978
$ 211,027
$ 407,455
$
8,496
$ 626,978
Wholesale
302,024
44,977
13,438
360,439
80,385
277,599
2,455
360,439
Total loans
$ 644,576
$ 285,972
$ 56,869
$ 987,417
$ 291,412
$ 685,054
$ 10,951
$ 987,417
Allowance for loan losses
(6,037)
(6,037)
Total loans net of allowance for loan losses
$ 644,576
$ 285,972
$ 50,832
$ 981,380
$ 291,412
$ 685,054
$
4,914
$ 981,380
\n\n \n
As at October 31, 2023
Maturity term
(1)
Rate sensitivity
Under
1 to 5
Over 5
Fixed
Non-rate-
(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
(5,004)
(5,004)
Total loans net of allowance for loan losses
$ 852,773
$ 852,773
\n
(1)
Generally, based on the earlier of contractual repricing or maturity date.
\n
(2)
Includes variable rate loans that can be repriced at the clients\u2019 discretion without penalty.
Allowance for credit losses
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
Balance at
Provision
Exchange
Balance
Balance at
Provision
Exchange
Balance
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
Residential mortgages
$
481
$
114
$
(10)
$
(13)
$
572
$
432
$
74
$
(17)
$
(8)
$
481
Personal
1,228
877
(616)
(7)
1,482
1,043
593
(404)
(4)
1,228
Credit cards
1,069
831
(669)
2
1,233
893
636
(460)
\u2013
1,069
Small business
194
178
(84)
(16)
272
194
43
(39)
(4)
194
Wholesale
2,326
1,297
(700)
(130)
2,793
1,574
1,145
(293)
(100)
2,326
Customers\u2019 liability under
acceptances
50
(50)
\u2013
\u2013
\u2013
45
5
\u2013
\u2013
50
$ 5,348
$ 3,247
$
(2,079)
$
(164)
$ 6,352
$
4,181
$ 2,496
$
(1,213)
$
(116)
$ 5,348
Presented as:
Allowance for loan losses
$ 5,004
$ 6,037
$
3,753
$ 5,004
Other liabilities \u2013 Provisions
288
311
378
288
Customers\u2019 liability under
acceptances
50
\u2013
45
50
Other components of equity
6
4
5
6
\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
\n
during the year ended October 31, 2024 that are no longer subject to enforcement activity was $359 million (October 31, 2023 \u2013 $139 million).
\n
The following table reconciles the opening and closing allowance for each major product of loans and commitments as
\n
determined by our modelled, scenario-weighted allowance and the application of expert credit judgment as applicable.
\n
Reconciling items include the following:
\n
\u2022
Model changes, which generally comprise the impact of significant changes to the quantitative models used to estimate
\n
expected credit losses and any staging impacts that may arise.
\n
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurements of the allowance.
\n
\u2022
Originations, which reflect the allowance related to assets newly recognized during the period, including those assets that
\n
were derecognized following a modification of terms.
\n
\u2022
Maturities, which reflect the allowance related to assets derecognized during the period without a credit loss being incurred,
\n
including those assets that were derecognized following a modification of terms.
\n
\u2022
Changes in risk, parameters and exposures, which comprise the impact of changes in model inputs or assumptions, including
\n
changes in forward-looking macroeconomic conditions; partial repayments and additional draws on existing facilities;
\n
changes in the measurement following a transfer between stages; and unwinding of the time value discount due to the
\n
passage of time in Stage 1 and Stage 2.
Allowance for credit losses \u2013 Retail and wholesale loans
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
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
$
223
$
90
$
168
$
481
$
235
$
65
$
132
$
432
Provision for credit losses
Transfers to stage 1
99
(97)
(2)
\u2013
95
(95)
\u2013
\u2013
Transfers to stage 2
(23)
36
(13)
\u2013
(26)
38
(12)
\u2013
Transfers to stage 3
(5)
(42)
47
\u2013
(2)
(13)
15
\u2013
Originations
94
\u2013
\u2013
94
89
\u2013
\u2013
89
Maturities
(19)
(17)
\u2013
(36)
(17)
(9)
\u2013
(26)
Changes in risk, parameters and
exposures
(155)
157
54
56
(152)
103
60
11
Write-offs
\u2013
\u2013
(23)
(23)
\u2013
\u2013
(30)
(30)
Recoveries
\u2013
\u2013
13
13
\u2013
\u2013
13
13
Exchange rate and other
1
(1)
(13)
(13)
1
1
(10)
(8)
Balance at end of period
$
215
$
126
$
231
$
572
$
223
$
90
$
168
$
481
Personal
Balance at beginning of period
$
280
$
793
$
155
$
1,228
$
285
$
661
$
97
$
1,043
Provision for credit losses
Transfers to stage 1
537
(537)
\u2013
\u2013
696
(695)
(1)
\u2013
Transfers to stage 2
(75)
78
(3)
\u2013
(88)
90
(2)
\u2013
Transfers to stage 3
(3)
(130)
133
\u2013
(1)
(57)
58
\u2013
Originations
116
\u2013
\u2013
116
103
\u2013
\u2013
103
Maturities
(51)
(186)
\u2013
(237)
(45)
(112)
\u2013
(157)
Changes in risk, parameters and
exposures
(499)
947
550
998
(671)
906
412
647
Write-offs
\u2013
\u2013
(745)
(745)
\u2013
\u2013
(518)
(518)
Recoveries
\u2013
\u2013
129
129
\u2013
\u2013
114
114
Exchange rate and other
\u2013
1
(8)
(7)
1
\u2013
(5)
(4)
Balance at end of period
$
305
$
966
$
211
$
1,482
$
280
$
793
$
155
$
1,228
Credit cards
Balance at beginning of period
$
203
$
866
$
\u2013
$
1,069
$
177
$
716
$
\u2013
$
893
Provision for credit losses
Transfers to stage 1
559
(559)
\u2013
\u2013
539
(539)
\u2013
\u2013
Transfers to stage 2
(111)
111
\u2013
\u2013
(101)
101
\u2013
\u2013
Transfers to stage 3
(2)
(483)
485
\u2013
(2)
(394)
396
\u2013
Originations
25
\u2013
\u2013
25
13
\u2013
\u2013
13
Maturities
(5)
(48)
\u2013
(53)
(6)
(33)
\u2013
(39)
Changes in risk, parameters and
exposures
(465)
1,139
185
859
(417)
1,015
64
662
Write-offs
\u2013
\u2013
(892)
(892)
\u2013
\u2013
(650)
(650)
Recoveries
\u2013
\u2013
223
223
\u2013
\u2013
190
190
Exchange rate and other
3
\u2013
(1)
2
\u2013
\u2013
\u2013
\u2013
Balance at end of period
$
207
$
1,026
$
\u2013
$
1,233
$
203
$
866
$
\u2013
$
1,069
Small business
Balance at beginning of period
$
70
$
66
$
58
$
194
$
73
$
73
$
48
$
194
Provision for credit losses
Transfers to stage 1
35
(35)
\u2013
\u2013
39
(39)
\u2013
\u2013
Transfers to stage 2
(20)
20
\u2013
\u2013
(14)
14
\u2013
\u2013
Transfers to stage 3
(1)
(10)
11
\u2013
(1)
(10)
11
\u2013
Originations
43
\u2013
\u2013
43
36
\u2013
\u2013
36
Maturities
(17)
(21)
\u2013
(38)
(18)
(21)
\u2013
(39)
Changes in risk, parameters and
exposures
(31)
65
139
173
(48)
44
50
46
Write-offs
\u2013
\u2013
(98)
(98)
\u2013
\u2013
(50)
(50)
Recoveries
\u2013
\u2013
14
14
\u2013
\u2013
11
11
Exchange rate and other
1
1
(18)
(16)
3
5
(12)
(4)
Balance at end of period
$
80
$
86
$
106
$
272
$
70
$
66
$
58
$
194
Wholesale
Balance at beginning of period
$
774
$
785
$
767
$
2,326
$
597
$
585
$
392
$
1,574
Provision for credit losses
Transfers to stage 1
284
(282)
(2)
\u2013
216
(215)
(1)
\u2013
Transfers to stage 2
(152)
159
(7)
\u2013
(87)
89
(2)
\u2013
Transfers to stage 3
(9)
(77)
86
\u2013
(10)
(60)
70
\u2013
Originations
737
\u2013
\u2013
737
651
\u2013
\u2013
651
Maturities
(438)
(379)
\u2013
(817)
(448)
(270)
\u2013
(718)
Changes in risk, parameters and
exposures
(407)
827
957
1,377
(153)
647
718
1,212
Write-offs
\u2013
\u2013
(763)
(763)
\u2013
\u2013
(324)
(324)
Recoveries
\u2013
\u2013
63
63
\u2013
\u2013
31
31
Exchange rate and other
(2)
5
(133)
(130)
8
9
(117)
(100)
Balance at end of period
$
787
$
1,038
$
968
$
2,793
$
774
$
785
$
767
$
2,326
Key inputs and assumptions
\n
The measurement of expected credit losses is a complex calculation that involves a significant number of interrelated inputs and
\n
assumptions and the allowance is not sensitive to any one single factor. The key drivers of changes in expected credit losses
\n
include the following:
\n
\u2022
Changes in the credit quality of the borrower or instrument, primarily reflected in changes in internal risk ratings;
\n
\u2022
Changes in forward-looking macroeconomic conditions, specifically the macroeconomic variables to which our models are
\n
calibrated, which are those most closely correlated with credit losses in the relevant portfolio;
\n
\u2022
Changes in scenario design and the weight assigned to each scenario; and
\n
\u2022
Transfers between stages, which can be triggered by changes to any of the above inputs.
\n
To reflect relevant risk factors not captured in our modelled results, we applied expert credit judgment in determining the
\n
measurement of our weighted allowance for credit losses. The measurement of expected credit losses, including scenario design
\n
and weightings, determining significant increases in credit risk since origination and application of expert credit judgment, is
\n
overseen by a senior management committee that includes representation from Finance, Group Risk Management and
\n
Economics.
\n
Internal risk ratings
\n
Internal risk ratings are assigned according to the risk management framework outlined under the headings Wholesale credit risk
\n
and Retail credit risk of the Credit risk section of Management\u2019s Discussion and Analysis. Changes in internal risk ratings are
\n
primarily reflected in the PD parameters, which are estimated based on our historical loss experience at the relevant risk
\n
segment or risk rating level, adjusted for forward-looking information.
\n
Scenario design and weightings
\n
Our estimation of expected credit losses in Stage 1 and Stage 2 considers five distinct future macroeconomic scenarios.
\n
Scenarios are designed to capture a wide range of possible outcomes and are weighted according to our expectation of the
\n
relative likelihood of the range of outcomes that each scenario represents at the reporting date. We weight each scenario to take
\n
into account historical frequency, current trends, and forward-looking conditions which will change over time. Scenario
\n
weightings take into consideration the extent to which the base case scenario includes both favourable and unfavourable
\n
economic expectations, and upside and downside risks to the base scenario materializing in the future. The base case scenario is
\n
based on forecasts of the expected rate, value, or yield for each relevant macroeconomic variable. The upside and downside
\n
scenarios are set by adjusting our base projections to construct reasonably possible scenarios and weightings that are more
\n
optimistic and pessimistic, respectively, than the base case. Two additional downside scenarios capture the non-linear nature of
\n
potential credit losses across our portfolios. When the economy is at or near equilibrium, the severity of the downside scenario
\n
generally reflects an adverse event typical for a business cycle and both the non-linear downside scenarios reflect an outcome
\n
that is materially more adverse than the downside scenario.
\n
The impact of each of our five scenarios varies across our portfolios given the portfolios have different sensitivities to
\n
movements in each macroeconomic variable.
\n
The impact of weighting these multiple scenarios increased our ACL on performing loans, relative to our base scenario, by
\n
$945 million as at October 31, 2024 (October 31, 2023 \u2013 $868 million).
\n
Forward looking macroeconomic variables
\n
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 2 credit loss allowances are modelled based on the
\n
macroeconomic variables (or changes in macroeconomic variables) that are most closely correlated with credit losses in the
\n
relevant portfolio. Each macroeconomic scenario used in our expected credit loss calculation includes a projection of all
\n
relevant macroeconomic variables used in our models for a five-year horizon, reverting to long-run averages generally within the
\n
2 to 5 year period. Depending on their usage in the models, macroeconomic variables are projected at a country, province/state
\n
or more granular level. These include one or more of the variables described below, which differ by portfolio and region.
\n
Our allowance for credit losses reflects our economic outlook as at October 31, 2024. Subsequent changes to this forecast and
\n
related estimates will be reflected in our allowance for credit losses in future periods.
\n
Our base scenario reflects rising unemployment rates in the near-term in Canada and the U.S. Central bank policy interest
\n
rate cuts are expected to continue as inflation declines. Central bank policy interest rate cuts in Canada are expected to be larger
\n
than in other regions due to slower economic growth and higher unemployment rates.
\n
Downside scenarios, including two additional and more severe downside scenarios designed for the real estate and energy
\n
sectors, reflect the possibility of a more severe macroeconomic shock beginning in calendar Q1 2025 relative to our base
\n
scenario. In these scenarios, conditions are expected to deteriorate from calendar Q4 2024 levels for up to 18 months, followed
\n
by a recovery for the remainder of the period. These scenarios assume monetary policy responses that return the economy to a
\n
long-run, sustainable growth rate within the forecast period.
\n
The upside scenario reflects slightly stronger economic growth than the base scenario, without prompting a further
\n
offsetting monetary policy response as compared to our base scenario, followed by a return to a long-run sustainable growth
\n
rate within the forecast period.
\n
We reduced weight to our downside scenarios relative to October 31, 2023, in order to reflect the reduced likelihood of
\n
recessions as reflected in our downside scenarios.
The following provides additional detail about our calendar quarter forecasts for certain key macroeconomic variables used in
\n
the models to estimate ACL:
\n
\u2022
Unemployment
\u2013 In our base forecast, we expect the Canadian unemployment rate to rise to 6.9% in calendar Q4 2024,
\n
peaking at 7.0% in calendar Q1 2025, then returning to its long run equilibrium by calendar Q2 2027. The U.S. unemployment
\n
rate is expected to rise to 4.2% in calendar Q4 2024, then increase to its long run equilibrium level by calendar Q2 2025.
\n
4
\n
5
\n
6
\n
7
\n
8
\n
11
\n
9
\n
Range of alternative scenarios (October 31, 2024)
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Base scenario (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
%
\n
Canada Unemployment Rate
(1)
\n
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
\n
10
\n
2
\n
4
\n
3
\n
6
\n
5
\n
7
\n
9
\n
8
\n
Range of alternative scenarios (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
Base scenario (October 31, 2024)
\n
%
\n
U.S. Unemployment Rate
(1)
\n
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
\u2022
Gross Domestic Product (GDP)
\u2013 In our base forecast, we expect both Canadian and U.S. GDP to continuously grow in
\n
calendar Q4 2024 and thereafter. GDP in calendar Q4 2025 is expected to be 1.4% and 1.3% above Q4 2024 levels in Canada
\n
and the U.S., respectively.
\n
2.2
\n
2.3
\n
2.4
\n
2.5
\n
2.6
\n
2.7
\n
Range of alternative scenarios (October 31, 2024)
Base scenario (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
Trillions of Canadian dollars
\n
Canada Real GDP
(1)
\n
(1)
Represents the seasonally adjusted annual rate indexed to 2017 Canadian dollars over the calendar
\n
quarters presented.
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
21.0
\n
25.0
\n
24.0
\n
23.0
\n
22.0
\n
26.0
\n
Range of alternative scenarios (October 31, 2024)
Base scenario (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
(1)
Represents the seasonally adjusted annual rate indexed to 2017 U.S. dollars over the calendar
\n
quarters presented.
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
Trillions of U.S. dollars
\n
U.S. Real GDP
(1)
\n
\u2022
Canadian housing price
index
\u2013 In our base forecast, we expect housing prices to increase by 0.7% over the next 12 months
\n
from calendar Q4 2024, with a compound annual growth rate of 3.0% for the following 2 to 5 years. The range of annual
\n
housing price growth (contraction) in our alternative real estate downside and upside scenarios is (30.0)% to 10.9% over the
\n
next 12 months and 4.2% to 9.6% for the following 2 to 5 years. As at October 31, 2023, our base forecast included housing
\n
price growth of 1.6% from calendar Q4 2023 for the next 12 months and housing price growth of 5.0% for the following 2 to
\n
5 years.
\n
\u2022
Oil price (West Texas Intermediate in US$)
\u2013 In our base forecast, we expect oil prices to average $69 per barrel over the
\n
next 12 months from calendar Q4 2024 and $66 per barrel in the following 2 to 5 years. The range of average prices in our
\n
alternative downside and upside scenarios is $27 to $89 per barrel for the next 12 months and $42 to $71 per barrel for the
\n
following 2 to 5 years. As at October 31, 2023, our base forecast included an average price of $81 per barrel for the next
\n
12 months and $67 per barrel for the following 2 to 5 years.
The primary variables driving credit losses in our retail portfolios are Canadian unemployment rates, Canadian housing price
\n
index and Canadian GDP. The Canadian overnight interest rate also impacts our retail portfolios. Our wholesale portfolios are
\n
affected by all of the variables discussed above; however, the specific variables differ by sector. Other variables also impact our
\n
wholesale portfolios including, but not limited to, Canadian and U.S. 10 year BBB corporate bond credit spreads, Canadian and
\n
U.S. 10 year government bond yields, U.S. 10 year BBB corporate bond yield, Canadian consumer confidence index, Canadian and
\n
U.S. commercial real estate price indices, U.S. housing price index, and natural gas prices (Henry Hub).
\n
Increases in the following macroeconomic variables will generally correlate with higher expected credit losses: Canadian
\n
and U.S. unemployment rates, Canadian overnight interest rates, Canadian and U.S. 10 year BBB corporate bond credit spreads,
\n
Canadian and U.S. 10 year government bond yields, and U.S. 10 year BBB corporate bond yield.
\n
Increases in the following macroeconomic variables will generally correlate with lower expected credit losses: Canadian and
\n
U.S. housing price indices, Canadian and U.S. GDP, Canadian consumer confidence index, Canadian and U.S. commercial real
\n
estate price indices, and oil and natural gas prices.
\n
Transfers between stages
\n
Transfers between Stage 1 and Stage 2 are based on the assessment of significant increases in credit risk relative to initial
\n
recognition, as described in Note 2. The impact of moving from 12 months expected credit losses to lifetime expected credit
\n
losses, or vice versa, varies by product and is dependent on the expected remaining life at the date of the transfer. Stage
\n
transfers may result in significant fluctuations in expected credit losses.
\n
The following table illustrates the impact of staging on our ACL by comparing our allowance if all performing loans were in
\n
Stage 1 to the actual ACL recorded on these assets.
\n\n \n
As at
October 31, 2024
October 31, 2023
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)
$ 3,313
$ 1,523
$ 4,836
$ 2,893
$ 1,257
$ 4,150
\n
(1)
Represents loans and commitments in Stage 1 and Stage 2.
Credit risk exposure by internal risk rating
\n
The following table presents the gross carrying amount of loans measured at amortized cost, and the full contractual amount of
\n
undrawn loan commitments subject to the impairment requirements of IFRS 9. Risk ratings are based on internal ratings used in
\n
the measurement of expected credit losses as at the reporting date, as outlined in the internal ratings maps for Wholesale and
\n
Retail facilities in the Credit risk section of Management\u2019s Discussion and Analysis.
\n\n \n
As at
October 31, 2024
October 31, 2023
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(1), (2)
Total
Stage 1
Stage 2
Stage 3 (1), (2)
Total
Retail
Loans outstanding \u2013Residential
mortgages
Low risk
$ 388,742
$ 1,354
$
\u2013
$ 390,096
$ 349,001
$
1,630
$
\u2013
$ 350,631
Medium risk
18,419
4,479
\u2013
22,898
19,126
1,610
\u2013
20,736
High risk
1,761
6,593
\u2013
8,354
1,582
4,927
\u2013
6,509
Not rated
(3)
52,569
1,479
\u2013
54,048
54,247
1,220
\u2013
55,467
Impaired
\u2013
\u2013
1,233
1,233
\u2013
\u2013
682
682
461,491
13,905
1,233
476,629
423,956
9,387
682
434,025
Items not subject to impairment
(4)
915
476
Total
$ 477,544
$ 434,501
Loans outstanding \u2013Personal
Low risk
$
82,904
$ 1,680
$
\u2013
$
84,584
$
75,572
$
1,676
$
\u2013
$
77,248
Medium risk
5,525
3,063
\u2013
8,588
5,587
2,915
\u2013
8,502
High risk
592
2,365
\u2013
2,957
477
2,088
\u2013
2,565
Not rated
(3)
11,303
498
\u2013
11,801
9,982
157
\u2013
10,139
Impaired
\u2013
\u2013
408
408
\u2013
\u2013
280
280
Total
$ 100,324
$ 7,606
$
408
$ 108,338
$
91,618
$
6,836
$
280
$
98,734
Loans outstanding \u2013 Credit cards
Low risk
$
17,363
$
177
$
\u2013
$
17,540
$
16,331
$
135
$
\u2013
$
16,466
Medium risk
1,999
2,436
\u2013
4,435
1,771
2,132
\u2013
3,903
High risk
75
2,289
\u2013
2,364
41
1,734
\u2013
1,775
Not rated
(3)
1,173
53
\u2013
1,226
856
35
\u2013
891
Total
$
20,610
$ 4,955
$
\u2013
$
25,565
$
18,999
$
4,036
$
\u2013
$
23,035
Loans outstanding \u2013 Small business
Low risk
$
9,428
$
773
$
\u2013
$
10,201
$
8,641
$
920
$
\u2013
$
9,561
Medium risk
2,740
962
\u2013
3,702
2,238
936
\u2013
3,174
High risk
214
1,086
\u2013
1,300
99
592
\u2013
691
Not rated
(3)
7
\u2013
\u2013
7
11
\u2013
\u2013
11
Impaired
\u2013
\u2013
321
321
\u2013
\u2013
244
244
Total
$
12,389
$ 2,821
$
321
$
15,531
$
10,989
$
2,448
$
244
$
13,681
Undrawn loan commitments \u2013
Retail
Low risk
$ 284,036
$
592
$
\u2013
$ 284,628
$ 266,209
$
610
$
\u2013
$ 266,819
Medium risk
12,110
381
\u2013
12,491
10,759
298
\u2013
11,057
High risk
746
602
\u2013
1,348
956
434
\u2013
1,390
Not rated
(3)
10,715
88
\u2013
10,803
6,686
138
\u2013
6,824
Total
$ 307,607
$ 1,663
$
\u2013
$ 309,270
$ 284,610
$
1,480
$
\u2013
$ 286,090
Wholesale \u2013 Loans outstanding
Investment grade
$ 116,549
$ 1,471
$
\u2013
$ 118,020
$
89,037
$
416
$
\u2013
$
89,453
Non-investment grade
189,889
26,826
\u2013
216,715
156,211
19,210
\u2013
175,421
Not rated
(3)
12,871
721
\u2013
13,592
10,968
238
\u2013
11,206
Impaired
\u2013
\u2013
3,905
3,905
\u2013
\u2013
2,498
2,498
319,309
29,018
3,905
352,232
256,216
19,864
2,498
278,578
Items not subject to impairment
(4)
8,207
9,248
Total
$ 360,439
$ 287,826
Undrawn loan commitments \u2013
Wholesale
Investment grade
$ 345,236
$
516
$
\u2013
$ 345,752
$ 312,178
$
186
$
\u2013
$ 312,364
Non-investment grade
170,212
14,512
\u2013
184,724
130,994
13,947
\u2013
144,941
Not rated
(3)
3,290
17
\u2013
3,307
4,176
\u2013
\u2013
4,176
Total
$ 518,738
$15,045
$
\u2013
$ 533,783
$ 447,348
$ 14,133
$
\u2013
$ 461,481
\n
(1)
As at October 31, 2024, 88% of credit-impaired loans were either fully or partially collateralized (October 31, 2023 \u2013 88%). For details on the types of collateral held against
\n
credit-impaired assets and our policies on collateral, refer to the Credit risk mitigation section of Management\u2019s Discussion and Analysis.
\n
(2)
Includes $109 million of purchased credit-impaired loans acquired in the HSBC Canada transaction.
\n
(3)
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
\n
credit risk.
\n
(4)
Items not subject to impairment are loans held at FVTPL.
Loans past due but not impaired
(1), (2)
\n\n \n
As at
October 31, 2024
October 31, 2023
90 days
90 days
(Millions of Canadian dollars)
30 to 89 days
and greater
Total
30 to 89 days
and greater
Total
Retail
$
2,542
$
263
$ 2,805
$
1,840
$
208
$ 2,048
Wholesale
1,454
4
1,458
1,823
49
1,872
$
3,996
$
267
$ 4,263
$
3,663
$
257
$ 3,920
\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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00651": { "value": "Note 5
Loans and allowance for credit losses
\n
Loans by geography and portfolio net of allowance
\n\n \n
As at October 31, 2024
United
Other
Allowance for
Total net
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
of allowance
Retail
(2)
Residential mortgages
$ 441,191
$
33,092
$
3,261
$ 477,544
$
(572)
$
476,972
Personal
86,977
18,148
3,213
108,338
(1,389)
106,949
Credit cards
(3)
24,619
653
293
25,565
(1,164)
24,401
Small business
(4)
15,531
\u2013
\u2013
15,531
(258)
15,273
Wholesale
(2), (5)
189,378
119,231
51,830
360,439
(2,654)
357,785
Total loans
$ 757,696
$ 171,124
$
58,597
$ 987,417
$
(6,037)
$
981,380
Undrawn loan commitments \u2013 Retail
300,071
5,099
4,100
309,270
(172)
Undrawn loan commitments \u2013 Wholesale
180,687
264,309
88,787
533,783
(139)
\n\n \n
As at October 31, 2023
United
Other
Allowance for
Total net of
(Millions of Canadian dollars)
Canada
States
International
Total
loan losses
(1)
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)
\n
(1)
Excludes allowance for loans measured at FVOCI of $4 million (October 31, 2023 \u2013 $6 million).
\n
(2)
Geographic information is based on residence of the borrower.
\n
(3)
The credit cards business is managed as a single portfolio and includes both consumer and business cards.
\n
(4)
Includes small business exposure managed on a pooled basis.
\n
(5)
Includes small business exposure managed on an individual client basis.
\n
Loans maturity and rate sensitivity
\n\n \n
As at October 31, 2024
Maturity term
(1)
Rate sensitivity
Under
1 to 5
Over 5
Fixed
Non-rate-
(Millions of Canadian dollars)
1 year
(2)
years
years
Total
Floating
Rate
sensitive
Total
Retail
$ 342,552
$ 240,995
$ 43,431
$ 626,978
$ 211,027
$ 407,455
$
8,496
$ 626,978
Wholesale
302,024
44,977
13,438
360,439
80,385
277,599
2,455
360,439
Total loans
$ 644,576
$ 285,972
$ 56,869
$ 987,417
$ 291,412
$ 685,054
$ 10,951
$ 987,417
Allowance for loan losses
(6,037)
(6,037)
Total loans net of allowance for loan losses
$ 644,576
$ 285,972
$ 50,832
$ 981,380
$ 291,412
$ 685,054
$
4,914
$ 981,380
\n\n \n
As at October 31, 2023
Maturity term
(1)
Rate sensitivity
Under
1 to 5
Over 5
Fixed
Non-rate-
(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
(5,004)
(5,004)
Total loans net of allowance for loan losses
$ 852,773
$ 852,773
\n
(1)
Generally, based on the earlier of contractual repricing or maturity date.
\n
(2)
Includes variable rate loans that can be repriced at the clients\u2019 discretion without penalty.
\n
Allowance for credit losses
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
Balance at
Provision
Exchange
Balance
Balance at
Provision
Exchange
Balance
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
Residential mortgages
$
481
$
114
$
(10)
$
(13)
$
572
$
432
$
74
$
(17)
$
(8)
$
481
Personal
1,228
877
(616)
(7)
1,482
1,043
593
(404)
(4)
1,228
Credit cards
1,069
831
(669)
2
1,233
893
636
(460)
\u2013
1,069
Small business
194
178
(84)
(16)
272
194
43
(39)
(4)
194
Wholesale
2,326
1,297
(700)
(130)
2,793
1,574
1,145
(293)
(100)
2,326
Customers\u2019 liability under
acceptances
50
(50)
\u2013
\u2013
\u2013
45
5
\u2013
\u2013
50
$ 5,348
$ 3,247
$
(2,079)
$
(164)
$ 6,352
$
4,181
$ 2,496
$
(1,213)
$
(116)
$ 5,348
Presented as:
Allowance for loan losses
$ 5,004
$ 6,037
$
3,753
$ 5,004
Other liabilities \u2013 Provisions
288
311
378
288
Customers\u2019 liability under
acceptances
50
\u2013
45
50
Other components of equity
6
4
5
6
\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
\n
during the year ended October 31, 2024 that are no longer subject to enforcement activity was $359 million (October 31, 2023 \u2013 $139 million).
\n
The following table reconciles the opening and closing allowance for each major product of loans and commitments as
\n
determined by our modelled, scenario-weighted allowance and the application of expert credit judgment as applicable.
\n
Reconciling items include the following:
\n
\u2022
Model changes, which generally comprise the impact of significant changes to the quantitative models used to estimate
\n
expected credit losses and any staging impacts that may arise.
\n
\u2022
Transfers between stages, which are presumed to occur before any corresponding remeasurements of the allowance.
\n
\u2022
Originations, which reflect the allowance related to assets newly recognized during the period, including those assets that
\n
were derecognized following a modification of terms.
\n
\u2022
Maturities, which reflect the allowance related to assets derecognized during the period without a credit loss being incurred,
\n
including those assets that were derecognized following a modification of terms.
\n
\u2022
Changes in risk, parameters and exposures, which comprise the impact of changes in model inputs or assumptions, including
\n
changes in forward-looking macroeconomic conditions; partial repayments and additional draws on existing facilities;
\n
changes in the measurement following a transfer between stages; and unwinding of the time value discount due to the
\n
passage of time in Stage 1 and Stage 2.
Allowance for credit losses \u2013 Retail and wholesale loans
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
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
$
223
$
90
$
168
$
481
$
235
$
65
$
132
$
432
Provision for credit losses
Transfers to stage 1
99
(97)
(2)
\u2013
95
(95)
\u2013
\u2013
Transfers to stage 2
(23)
36
(13)
\u2013
(26)
38
(12)
\u2013
Transfers to stage 3
(5)
(42)
47
\u2013
(2)
(13)
15
\u2013
Originations
94
\u2013
\u2013
94
89
\u2013
\u2013
89
Maturities
(19)
(17)
\u2013
(36)
(17)
(9)
\u2013
(26)
Changes in risk, parameters and
exposures
(155)
157
54
56
(152)
103
60
11
Write-offs
\u2013
\u2013
(23)
(23)
\u2013
\u2013
(30)
(30)
Recoveries
\u2013
\u2013
13
13
\u2013
\u2013
13
13
Exchange rate and other
1
(1)
(13)
(13)
1
1
(10)
(8)
Balance at end of period
$
215
$
126
$
231
$
572
$
223
$
90
$
168
$
481
Personal
Balance at beginning of period
$
280
$
793
$
155
$
1,228
$
285
$
661
$
97
$
1,043
Provision for credit losses
Transfers to stage 1
537
(537)
\u2013
\u2013
696
(695)
(1)
\u2013
Transfers to stage 2
(75)
78
(3)
\u2013
(88)
90
(2)
\u2013
Transfers to stage 3
(3)
(130)
133
\u2013
(1)
(57)
58
\u2013
Originations
116
\u2013
\u2013
116
103
\u2013
\u2013
103
Maturities
(51)
(186)
\u2013
(237)
(45)
(112)
\u2013
(157)
Changes in risk, parameters and
exposures
(499)
947
550
998
(671)
906
412
647
Write-offs
\u2013
\u2013
(745)
(745)
\u2013
\u2013
(518)
(518)
Recoveries
\u2013
\u2013
129
129
\u2013
\u2013
114
114
Exchange rate and other
\u2013
1
(8)
(7)
1
\u2013
(5)
(4)
Balance at end of period
$
305
$
966
$
211
$
1,482
$
280
$
793
$
155
$
1,228
Credit cards
Balance at beginning of period
$
203
$
866
$
\u2013
$
1,069
$
177
$
716
$
\u2013
$
893
Provision for credit losses
Transfers to stage 1
559
(559)
\u2013
\u2013
539
(539)
\u2013
\u2013
Transfers to stage 2
(111)
111
\u2013
\u2013
(101)
101
\u2013
\u2013
Transfers to stage 3
(2)
(483)
485
\u2013
(2)
(394)
396
\u2013
Originations
25
\u2013
\u2013
25
13
\u2013
\u2013
13
Maturities
(5)
(48)
\u2013
(53)
(6)
(33)
\u2013
(39)
Changes in risk, parameters and
exposures
(465)
1,139
185
859
(417)
1,015
64
662
Write-offs
\u2013
\u2013
(892)
(892)
\u2013
\u2013
(650)
(650)
Recoveries
\u2013
\u2013
223
223
\u2013
\u2013
190
190
Exchange rate and other
3
\u2013
(1)
2
\u2013
\u2013
\u2013
\u2013
Balance at end of period
$
207
$
1,026
$
\u2013
$
1,233
$
203
$
866
$
\u2013
$
1,069
Small business
Balance at beginning of period
$
70
$
66
$
58
$
194
$
73
$
73
$
48
$
194
Provision for credit losses
Transfers to stage 1
35
(35)
\u2013
\u2013
39
(39)
\u2013
\u2013
Transfers to stage 2
(20)
20
\u2013
\u2013
(14)
14
\u2013
\u2013
Transfers to stage 3
(1)
(10)
11
\u2013
(1)
(10)
11
\u2013
Originations
43
\u2013
\u2013
43
36
\u2013
\u2013
36
Maturities
(17)
(21)
\u2013
(38)
(18)
(21)
\u2013
(39)
Changes in risk, parameters and
exposures
(31)
65
139
173
(48)
44
50
46
Write-offs
\u2013
\u2013
(98)
(98)
\u2013
\u2013
(50)
(50)
Recoveries
\u2013
\u2013
14
14
\u2013
\u2013
11
11
Exchange rate and other
1
1
(18)
(16)
3
5
(12)
(4)
Balance at end of period
$
80
$
86
$
106
$
272
$
70
$
66
$
58
$
194
Wholesale
Balance at beginning of period
$
774
$
785
$
767
$
2,326
$
597
$
585
$
392
$
1,574
Provision for credit losses
Transfers to stage 1
284
(282)
(2)
\u2013
216
(215)
(1)
\u2013
Transfers to stage 2
(152)
159
(7)
\u2013
(87)
89
(2)
\u2013
Transfers to stage 3
(9)
(77)
86
\u2013
(10)
(60)
70
\u2013
Originations
737
\u2013
\u2013
737
651
\u2013
\u2013
651
Maturities
(438)
(379)
\u2013
(817)
(448)
(270)
\u2013
(718)
Changes in risk, parameters and
exposures
(407)
827
957
1,377
(153)
647
718
1,212
Write-offs
\u2013
\u2013
(763)
(763)
\u2013
\u2013
(324)
(324)
Recoveries
\u2013
\u2013
63
63
\u2013
\u2013
31
31
Exchange rate and other
(2)
5
(133)
(130)
8
9
(117)
(100)
Balance at end of period
$
787
$
1,038
$
968
$
2,793
$
774
$
785
$
767
$
2,326
\n
Key inputs and assumptions
\n
The measurement of expected credit losses is a complex calculation that involves a significant number of interrelated inputs and
\n
assumptions and the allowance is not sensitive to any one single factor. The key drivers of changes in expected credit losses
\n
include the following:
\n
\u2022
Changes in the credit quality of the borrower or instrument, primarily reflected in changes in internal risk ratings;
\n
\u2022
Changes in forward-looking macroeconomic conditions, specifically the macroeconomic variables to which our models are
\n
calibrated, which are those most closely correlated with credit losses in the relevant portfolio;
\n
\u2022
Changes in scenario design and the weight assigned to each scenario; and
\n
\u2022
Transfers between stages, which can be triggered by changes to any of the above inputs.
\n
To reflect relevant risk factors not captured in our modelled results, we applied expert credit judgment in determining the
\n
measurement of our weighted allowance for credit losses. The measurement of expected credit losses, including scenario design
\n
and weightings, determining significant increases in credit risk since origination and application of expert credit judgment, is
\n
overseen by a senior management committee that includes representation from Finance, Group Risk Management and
\n
Economics.
\n
Internal risk ratings
\n
Internal risk ratings are assigned according to the risk management framework outlined under the headings Wholesale credit risk
\n
and Retail credit risk of the Credit risk section of Management\u2019s Discussion and Analysis. Changes in internal risk ratings are
\n
primarily reflected in the PD parameters, which are estimated based on our historical loss experience at the relevant risk
\n
segment or risk rating level, adjusted for forward-looking information.
\n
Scenario design and weightings
\n
Our estimation of expected credit losses in Stage 1 and Stage 2 considers five distinct future macroeconomic scenarios.
\n
Scenarios are designed to capture a wide range of possible outcomes and are weighted according to our expectation of the
\n
relative likelihood of the range of outcomes that each scenario represents at the reporting date. We weight each scenario to take
\n
into account historical frequency, current trends, and forward-looking conditions which will change over time. Scenario
\n
weightings take into consideration the extent to which the base case scenario includes both favourable and unfavourable
\n
economic expectations, and upside and downside risks to the base scenario materializing in the future. The base case scenario is
\n
based on forecasts of the expected rate, value, or yield for each relevant macroeconomic variable. The upside and downside
\n
scenarios are set by adjusting our base projections to construct reasonably possible scenarios and weightings that are more
\n
optimistic and pessimistic, respectively, than the base case. Two additional downside scenarios capture the non-linear nature of
\n
potential credit losses across our portfolios. When the economy is at or near equilibrium, the severity of the downside scenario
\n
generally reflects an adverse event typical for a business cycle and both the non-linear downside scenarios reflect an outcome
\n
that is materially more adverse than the downside scenario.
\n
The impact of each of our five scenarios varies across our portfolios given the portfolios have different sensitivities to
\n
movements in each macroeconomic variable.
\n
The impact of weighting these multiple scenarios increased our ACL on performing loans, relative to our base scenario, by
\n
$945 million as at October 31, 2024 (October 31, 2023 \u2013 $868 million).
\n
Forward looking macroeconomic variables
\n
The PD, LGD and EAD inputs used to estimate Stage 1 and Stage 2 credit loss allowances are modelled based on the
\n
macroeconomic variables (or changes in macroeconomic variables) that are most closely correlated with credit losses in the
\n
relevant portfolio. Each macroeconomic scenario used in our expected credit loss calculation includes a projection of all
\n
relevant macroeconomic variables used in our models for a five-year horizon, reverting to long-run averages generally within the
\n
2 to 5 year period. Depending on their usage in the models, macroeconomic variables are projected at a country, province/state
\n
or more granular level. These include one or more of the variables described below, which differ by portfolio and region.
\n
Our allowance for credit losses reflects our economic outlook as at October 31, 2024. Subsequent changes to this forecast and
\n
related estimates will be reflected in our allowance for credit losses in future periods.
\n
Our base scenario reflects rising unemployment rates in the near-term in Canada and the U.S. Central bank policy interest
\n
rate cuts are expected to continue as inflation declines. Central bank policy interest rate cuts in Canada are expected to be larger
\n
than in other regions due to slower economic growth and higher unemployment rates.
\n
Downside scenarios, including two additional and more severe downside scenarios designed for the real estate and energy
\n
sectors, reflect the possibility of a more severe macroeconomic shock beginning in calendar Q1 2025 relative to our base
\n
scenario. In these scenarios, conditions are expected to deteriorate from calendar Q4 2024 levels for up to 18 months, followed
\n
by a recovery for the remainder of the period. These scenarios assume monetary policy responses that return the economy to a
\n
long-run, sustainable growth rate within the forecast period.
\n
The upside scenario reflects slightly stronger economic growth than the base scenario, without prompting a further
\n
offsetting monetary policy response as compared to our base scenario, followed by a return to a long-run sustainable growth
\n
rate within the forecast period.
\n
We reduced weight to our downside scenarios relative to October 31, 2023, in order to reflect the reduced likelihood of
\n
recessions as reflected in our downside scenarios.
The following provides additional detail about our calendar quarter forecasts for certain key macroeconomic variables used in
\n
the models to estimate ACL:
\n
\u2022
Unemployment
\u2013 In our base forecast, we expect the Canadian unemployment rate to rise to 6.9% in calendar Q4 2024,
\n
peaking at 7.0% in calendar Q1 2025, then returning to its long run equilibrium by calendar Q2 2027. The U.S. unemployment
\n
rate is expected to rise to 4.2% in calendar Q4 2024, then increase to its long run equilibrium level by calendar Q2 2025.
\n
4
\n
5
\n
6
\n
7
\n
8
\n
11
\n
9
\n
Range of alternative scenarios (October 31, 2024)
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Base scenario (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
%
\n
Canada Unemployment Rate
(1)
\n
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
\n
10
\n
2
\n
4
\n
3
\n
6
\n
5
\n
7
\n
9
\n
8
\n
Range of alternative scenarios (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
Base scenario (October 31, 2024)
\n
%
\n
U.S. Unemployment Rate
(1)
\n
(1)
Represents the average quarterly unemployment level over the calendar quarters presented.
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
\u2022
Gross Domestic Product (GDP)
\u2013 In our base forecast, we expect both Canadian and U.S. GDP to continuously grow in
\n
calendar Q4 2024 and thereafter. GDP in calendar Q4 2025 is expected to be 1.4% and 1.3% above Q4 2024 levels in Canada
\n
and the U.S., respectively.
\n
2.2
\n
2.3
\n
2.4
\n
2.5
\n
2.6
\n
2.7
\n
Range of alternative scenarios (October 31, 2024)
Base scenario (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
Trillions of Canadian dollars
\n
Canada Real GDP
(1)
\n
(1)
Represents the seasonally adjusted annual rate indexed to 2017 Canadian dollars over the calendar
\n
quarters presented.
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
21.0
\n
25.0
\n
24.0
\n
23.0
\n
22.0
\n
26.0
\n
Range of alternative scenarios (October 31, 2024)
Base scenario (October 31, 2024)
\n
Base scenario (October 31, 2023)
\n
(1)
Represents the seasonally adjusted annual rate indexed to 2017 U.S. dollars over the calendar
\n
quarters presented.
\n
Q4-2023
\n
Q1-2024
\n
Q2-2024
\n
Q3-2024
\n
Q4-2024
\n
Q1-2025
\n
Q2-2025
\n
Q3-2025
\n
Q4-2025
\n
Q1-2026
\n
Q2-2026
\n
Q3-2026
\n
Q4-2026
\n
Q1-2027
\n
Q2-2027
\n
Q3-2027
\n
Q4-2027
\n
Q1-2028
\n
Q2-2028
\n
Q3-2028
\n
Q4-2028
\n
Q1-2029
\n
Q2-2029
\n
Q3-2029
\n
Trillions of U.S. dollars
\n
U.S. Real GDP
(1)
\n
\u2022
Canadian housing price
index
\u2013 In our base forecast, we expect housing prices to increase by 0.7% over the next 12 months
\n
from calendar Q4 2024, with a compound annual growth rate of 3.0% for the following 2 to 5 years. The range of annual
\n
housing price growth (contraction) in our alternative real estate downside and upside scenarios is (30.0)% to 10.9% over the
\n
next 12 months and 4.2% to 9.6% for the following 2 to 5 years. As at October 31, 2023, our base forecast included housing
\n
price growth of 1.6% from calendar Q4 2023 for the next 12 months and housing price growth of 5.0% for the following 2 to
\n
5 years.
\n
\u2022
Oil price (West Texas Intermediate in US$)
\u2013 In our base forecast, we expect oil prices to average $69 per barrel over the
\n
next 12 months from calendar Q4 2024 and $66 per barrel in the following 2 to 5 years. The range of average prices in our
\n
alternative downside and upside scenarios is $27 to $89 per barrel for the next 12 months and $42 to $71 per barrel for the
\n
following 2 to 5 years. As at October 31, 2023, our base forecast included an average price of $81 per barrel for the next
\n
12 months and $67 per barrel for the following 2 to 5 years.
\n
The primary variables driving credit losses in our retail portfolios are Canadian unemployment rates, Canadian housing price
\n
index and Canadian GDP. The Canadian overnight interest rate also impacts our retail portfolios. Our wholesale portfolios are
\n
affected by all of the variables discussed above; however, the specific variables differ by sector. Other variables also impact our
\n
wholesale portfolios including, but not limited to, Canadian and U.S. 10 year BBB corporate bond credit spreads, Canadian and
\n
U.S. 10 year government bond yields, U.S. 10 year BBB corporate bond yield, Canadian consumer confidence index, Canadian and
\n
U.S. commercial real estate price indices, U.S. housing price index, and natural gas prices (Henry Hub).
\n
Increases in the following macroeconomic variables will generally correlate with higher expected credit losses: Canadian
\n
and U.S. unemployment rates, Canadian overnight interest rates, Canadian and U.S. 10 year BBB corporate bond credit spreads,
\n
Canadian and U.S. 10 year government bond yields, and U.S. 10 year BBB corporate bond yield.
\n
Increases in the following macroeconomic variables will generally correlate with lower expected credit losses: Canadian and
\n
U.S. housing price indices, Canadian and U.S. GDP, Canadian consumer confidence index, Canadian and U.S. commercial real
\n
estate price indices, and oil and natural gas prices.
\n
Transfers between stages
\n
Transfers between Stage 1 and Stage 2 are based on the assessment of significant increases in credit risk relative to initial
\n
recognition, as described in Note 2. The impact of moving from 12 months expected credit losses to lifetime expected credit
\n
losses, or vice versa, varies by product and is dependent on the expected remaining life at the date of the transfer. Stage
\n
transfers may result in significant fluctuations in expected credit losses.
\n
The following table illustrates the impact of staging on our ACL by comparing our allowance if all performing loans were in
\n
Stage 1 to the actual ACL recorded on these assets.
\n\n \n
As at
October 31, 2024
October 31, 2023
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)
$ 3,313
$ 1,523
$ 4,836
$ 2,893
$ 1,257
$ 4,150
\n
(1)
Represents loans and commitments in Stage 1 and Stage 2.
Credit risk exposure by internal risk rating
\n
The following table presents the gross carrying amount of loans measured at amortized cost, and the full contractual amount of
\n
undrawn loan commitments subject to the impairment requirements of IFRS 9. Risk ratings are based on internal ratings used in
\n
the measurement of expected credit losses as at the reporting date, as outlined in the internal ratings maps for Wholesale and
\n
Retail facilities in the Credit risk section of Management\u2019s Discussion and Analysis.
\n\n \n
As at
October 31, 2024
October 31, 2023
(Millions of Canadian dollars)
Stage 1
Stage 2
Stage 3
(1), (2)
Total
Stage 1
Stage 2
Stage 3 (1), (2)
Total
Retail
Loans outstanding \u2013Residential
mortgages
Low risk
$ 388,742
$ 1,354
$
\u2013
$ 390,096
$ 349,001
$
1,630
$
\u2013
$ 350,631
Medium risk
18,419
4,479
\u2013
22,898
19,126
1,610
\u2013
20,736
High risk
1,761
6,593
\u2013
8,354
1,582
4,927
\u2013
6,509
Not rated
(3)
52,569
1,479
\u2013
54,048
54,247
1,220
\u2013
55,467
Impaired
\u2013
\u2013
1,233
1,233
\u2013
\u2013
682
682
461,491
13,905
1,233
476,629
423,956
9,387
682
434,025
Items not subject to impairment
(4)
915
476
Total
$ 477,544
$ 434,501
Loans outstanding \u2013Personal
Low risk
$
82,904
$ 1,680
$
\u2013
$
84,584
$
75,572
$
1,676
$
\u2013
$
77,248
Medium risk
5,525
3,063
\u2013
8,588
5,587
2,915
\u2013
8,502
High risk
592
2,365
\u2013
2,957
477
2,088
\u2013
2,565
Not rated
(3)
11,303
498
\u2013
11,801
9,982
157
\u2013
10,139
Impaired
\u2013
\u2013
408
408
\u2013
\u2013
280
280
Total
$ 100,324
$ 7,606
$
408
$ 108,338
$
91,618
$
6,836
$
280
$
98,734
Loans outstanding \u2013 Credit cards
Low risk
$
17,363
$
177
$
\u2013
$
17,540
$
16,331
$
135
$
\u2013
$
16,466
Medium risk
1,999
2,436
\u2013
4,435
1,771
2,132
\u2013
3,903
High risk
75
2,289
\u2013
2,364
41
1,734
\u2013
1,775
Not rated
(3)
1,173
53
\u2013
1,226
856
35
\u2013
891
Total
$
20,610
$ 4,955
$
\u2013
$
25,565
$
18,999
$
4,036
$
\u2013
$
23,035
Loans outstanding \u2013 Small business
Low risk
$
9,428
$
773
$
\u2013
$
10,201
$
8,641
$
920
$
\u2013
$
9,561
Medium risk
2,740
962
\u2013
3,702
2,238
936
\u2013
3,174
High risk
214
1,086
\u2013
1,300
99
592
\u2013
691
Not rated
(3)
7
\u2013
\u2013
7
11
\u2013
\u2013
11
Impaired
\u2013
\u2013
321
321
\u2013
\u2013
244
244
Total
$
12,389
$ 2,821
$
321
$
15,531
$
10,989
$
2,448
$
244
$
13,681
Undrawn loan commitments \u2013
Retail
Low risk
$ 284,036
$
592
$
\u2013
$ 284,628
$ 266,209
$
610
$
\u2013
$ 266,819
Medium risk
12,110
381
\u2013
12,491
10,759
298
\u2013
11,057
High risk
746
602
\u2013
1,348
956
434
\u2013
1,390
Not rated
(3)
10,715
88
\u2013
10,803
6,686
138
\u2013
6,824
Total
$ 307,607
$ 1,663
$
\u2013
$ 309,270
$ 284,610
$
1,480
$
\u2013
$ 286,090
Wholesale \u2013 Loans outstanding
Investment grade
$ 116,549
$ 1,471
$
\u2013
$ 118,020
$
89,037
$
416
$
\u2013
$
89,453
Non-investment grade
189,889
26,826
\u2013
216,715
156,211
19,210
\u2013
175,421
Not rated
(3)
12,871
721
\u2013
13,592
10,968
238
\u2013
11,206
Impaired
\u2013
\u2013
3,905
3,905
\u2013
\u2013
2,498
2,498
319,309
29,018
3,905
352,232
256,216
19,864
2,498
278,578
Items not subject to impairment
(4)
8,207
9,248
Total
$ 360,439
$ 287,826
Undrawn loan commitments \u2013
Wholesale
Investment grade
$ 345,236
$
516
$
\u2013
$ 345,752
$ 312,178
$
186
$
\u2013
$ 312,364
Non-investment grade
170,212
14,512
\u2013
184,724
130,994
13,947
\u2013
144,941
Not rated
(3)
3,290
17
\u2013
3,307
4,176
\u2013
\u2013
4,176
Total
$ 518,738
$15,045
$
\u2013
$ 533,783
$ 447,348
$ 14,133
$
\u2013
$ 461,481
\n
(1)
As at October 31, 2024, 88% of credit-impaired loans were either fully or partially collateralized (October 31, 2023 \u2013 88%). For details on the types of collateral held against
\n
credit-impaired assets and our policies on collateral, refer to the Credit risk mitigation section of Management\u2019s Discussion and Analysis.
\n
(2)
Includes $109 million of purchased credit-impaired loans acquired in the HSBC Canada transaction.
\n
(3)
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
\n
credit risk.
\n
(4)
Items not subject to impairment are loans held at FVTPL.
\n
Loans past due but not impaired
(1), (2)
\n\n \n
As at
October 31, 2024
October 31, 2023
90 days
90 days
(Millions of Canadian dollars)
30 to 89 days
and greater
Total
30 to 89 days
and greater
Total
Retail
$
2,542
$
263
$ 2,805
$
1,840
$
208
$ 2,048
Wholesale
1,454
4
1,458
1,823
49
1,872
$
3,996
$
267
$ 4,263
$
3,663
$
257
$ 3,920
\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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00653": { "value": "Note 6
Significant acquisition and disposition
\n
Acquisition
\n
HSBC Bank Canada
\n
On March 28, 2024, we completed the acquisition of HSBC Bank Canada (HSBC Canada). The acquisition of HSBC Canada (the
\n
HSBC Canada transaction) gives us the opportunity to enhance our existing businesses in line with our strategic goals and better
\n
positions us to be the bank of choice for commercial clients with international needs, newcomers to Canada and globally
\n
connected clients. HSBC Canada results have been consolidated from the closing date and are included in our Personal Banking,
\n
Commercial Banking, Wealth Management and Capital Markets segments.
\n
Total consideration of $15.5 billion in cash included $13.5 billion for 100% of the common shares of HSBC Canada, $2.1 billion
\n
for the preferred shares and subordinated debt held directly or indirectly by HSBC Holdings plc, $(0.5) billion for the settlement of
\n
pre-existing relationships with HSBC Canada and $0.4 billion for an additional amount that accrued from August 30, 2023 to the
\n
closing date. This additional amount was calculated based on the $13.5 billion all-cash purchase price for the common shares of
\n
HSBC Canada and the Canadian Overnight Repo Rate Average. Relatedly, under a locked box mechanism, HSBC Canada\u2019s
\n
earnings from June 30, 2022 to the closing date accrued to RBC and were reflected in the acquired net assets on closing.
\n
During the fourth quarter of 2024, we finalized our purchase price allocation and recognized an increase in goodwill of
\n
$98 million. Our purchase price allocation assigned $108.1 billion to assets and $99.1 billion to liabilities on the acquisition date.
\n
Goodwill of $6.5 billion reflects the expected expense synergies from our Personal Banking, Commercial Banking, Wealth
\n
Management and Capital Markets operations, expected growth of the platforms, and the ability to cross-sell products between
\n
segments. Goodwill is not deductible for tax purposes.
\n
The following table presents the estimated fair value of the assets acquired and liabilities assumed as at the acquisition date. As
\n
a result of the finalization of the purchase price allocation, certain amounts have been revised from those previously presented.
\n\n \n
(Millions of Canadian dollars, except percentage amounts)
Percentage of shares acquired
100%
Purchase consideration
$
15,488
Fair value of identifiable assets acquired
Cash and due from banks
$
2,772
Securities
Trading
1,110
Investment
21,305
Loans
(1)
Retail
(2)
35,351
Wholesale
39,282
Derivatives
3,365
Intangible assets
(3)
2,342
Other
(4)
2,570
Total fair value of identifiable assets acquired
$ 108,097
Fair value of identifiable liabilities assumed
Deposits
Personal
42,037
Business and government
(2)
44,211
Obligations related to assets sold under repurchase agreements and securities loaned
5,664
Derivatives
3,541
Other
(5)
3,692
Total fair value of identifiable liabilities assumed
$
99,145
Fair value of identifiable net assets acquired
$
8,952
Goodwill
6,536
Total purchase consideration
$
15,488
\n
(1)
The fair value of loans reflects estimates of incurred and expected future credit losses as at the acquisition date and interest rate premiums or discounts relative to
\n
prevailing market rates. As at March 28, 2024, the gross contractual value of the loans was $75,752 million. The estimate of contractual cash flows not expected to be
\n
collected was $575 million, of which $135 million related to purchased credit-impaired loans.
\n
(2)
Loans \u2013 Retail includes $1.7 billion of Canadian residential mortgages sold with recourse to a mutual fund that do not qualify for derecognition, and Deposits \u2013 Business
\n
and government includes $1.7 billion of the related secured borrowing liability.
\n
(3)
Intangible assets include $1,972 million of core deposit intangibles and $111 million of customer relationships, which are amortized on a straight-line basis over estimated
\n
useful lives of 7 years, and $259 million of mutual fund management contracts with indefinite useful lives.
\n
(4)
Includes Assets purchased under reverse repurchase agreements and securities borrowed, Customers\u2019 liability under acceptances, and Other assets.
\n
(5)
Includes Acceptances, Obligations related to securities sold short, and Other liabilities.
Since the acquisition date, the HSBC Canada transaction contributed revenue of $1,716 million and net income of $453 million to
\n
RBC\u2019s consolidated results. The net income of $453 million includes initial PCL on purchased performing financial assets of
\n
$200 million ($145 million after-tax).
\n
Assuming we acquired HSBC Canada on November 1, 2023, using the same fair value estimates and not reflecting any
\n
potential synergies, we estimate that RBC\u2019s consolidated revenue and net income for the year ended October 31, 2024 would be
\n
$58.6 billion and $16.6 billion, respectively.
\n
RBC\u2019s consolidated results include transaction and integration costs of $960 million for the year ended October 31, 2024,
\n
recognized in Non-interest expense.
\n
Disposition
\n
Wealth Management
\n
On July 3, 2023, we completed the sale of the European asset servicing activities of RBC Investor Services
\n
\u00ae
\n
and its associated
\n
Malaysian centre of excellence to CACEIS, the asset servicing banking group of Cr\u00e9dit Agricole S.A. and Banco Santander, S.A. As
\n
a result of the transaction, we recorded a pre-tax gain on disposal of $69 million in Non-Interest income within the Wealth
\n
Management segment ($77 million after-tax).
\n
On December 1, 2023, we completed the sale of the RBC Investor Services business in Jersey to CACEIS. On March 25, 2024,
\n
we completed the sale of the business of the U.K. branch of RBC Investor Services Trust to CACEIS. The transactions did not have
\na significant impact on our Consolidated Statements of Income.", "dimensions": { "concept": "ry:DisclosureOfSignificantAcquisitionsAndDisposalsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00652": { "value": "Acquisition
HSBC Bank Canada
\n
On March 28, 2024, we completed the acquisition of HSBC Bank Canada (HSBC Canada). The acquisition of HSBC Canada (the
\n
HSBC Canada transaction) gives us the opportunity to enhance our existing businesses in line with our strategic goals and better
\n
positions us to be the bank of choice for commercial clients with international needs, newcomers to Canada and globally
\n
connected clients. HSBC Canada results have been consolidated from the closing date and are included in our Personal Banking,
\n
Commercial Banking, Wealth Management and Capital Markets segments.
\n
Total consideration of $15.5 billion in cash included $13.5 billion for 100% of the common shares of HSBC Canada, $2.1 billion
\n
for the preferred shares and subordinated debt held directly or indirectly by HSBC Holdings plc, $(0.5) billion for the settlement of
\n
pre-existing relationships with HSBC Canada and $0.4 billion for an additional amount that accrued from August 30, 2023 to the
\n
closing date. This additional amount was calculated based on the $13.5 billion all-cash purchase price for the common shares of
\n
HSBC Canada and the Canadian Overnight Repo Rate Average. Relatedly, under a locked box mechanism, HSBC Canada\u2019s
\n
earnings from June 30, 2022 to the closing date accrued to RBC and were reflected in the acquired net assets on closing.
\n
During the fourth quarter of 2024, we finalized our purchase price allocation and recognized an increase in goodwill of
\n
$98 million. Our purchase price allocation assigned $108.1 billion to assets and $99.1 billion to liabilities on the acquisition date.
\n
Goodwill of $6.5 billion reflects the expected expense synergies from our Personal Banking, Commercial Banking, Wealth
\n
Management and Capital Markets operations, expected growth of the platforms, and the ability to cross-sell products between
\n
segments. Goodwill is not deductible for tax purposes.
\n
The following table presents the estimated fair value of the assets acquired and liabilities assumed as at the acquisition date. As
\n
a result of the finalization of the purchase price allocation, certain amounts have been revised from those previously presented.
\n\n \n
(Millions of Canadian dollars, except percentage amounts)
Percentage of shares acquired
100%
Purchase consideration
$
15,488
Fair value of identifiable assets acquired
Cash and due from banks
$
2,772
Securities
Trading
1,110
Investment
21,305
Loans
(1)
Retail
(2)
35,351
Wholesale
39,282
Derivatives
3,365
Intangible assets
(3)
2,342
Other
(4)
2,570
Total fair value of identifiable assets acquired
$ 108,097
Fair value of identifiable liabilities assumed
Deposits
Personal
42,037
Business and government
(2)
44,211
Obligations related to assets sold under repurchase agreements and securities loaned
5,664
Derivatives
3,541
Other
(5)
3,692
Total fair value of identifiable liabilities assumed
$
99,145
Fair value of identifiable net assets acquired
$
8,952
Goodwill
6,536
Total purchase consideration
$
15,488
\n
(1)
The fair value of loans reflects estimates of incurred and expected future credit losses as at the acquisition date and interest rate premiums or discounts relative to
\n
prevailing market rates. As at March 28, 2024, the gross contractual value of the loans was $75,752 million. The estimate of contractual cash flows not expected to be
\n
collected was $575 million, of which $135 million related to purchased credit-impaired loans.
\n
(2)
Loans \u2013 Retail includes $1.7 billion of Canadian residential mortgages sold with recourse to a mutual fund that do not qualify for derecognition, and Deposits \u2013 Business
\n
and government includes $1.7 billion of the related secured borrowing liability.
\n
(3)
Intangible assets include $1,972 million of core deposit intangibles and $111 million of customer relationships, which are amortized on a straight-line basis over estimated
\n
useful lives of 7 years, and $259 million of mutual fund management contracts with indefinite useful lives.
\n
(4)
Includes Assets purchased under reverse repurchase agreements and securities borrowed, Customers\u2019 liability under acceptances, and Other assets.
\n
(5)
Includes Acceptances, Obligations related to securities sold short, and Other liabilities.
Since the acquisition date, the HSBC Canada transaction contributed revenue of $1,716 million and net income of $453 million to
\n
RBC\u2019s consolidated results. The net income of $453 million includes initial PCL on purchased performing financial assets of
\n
$200 million ($145 million after-tax).
\n
Assuming we acquired HSBC Canada on November 1, 2023, using the same fair value estimates and not reflecting any
\n
potential synergies, we estimate that RBC\u2019s consolidated revenue and net income for the year ended October 31, 2024 would be
\n
$58.6 billion and $16.6 billion, respectively.
\n
RBC\u2019s consolidated results include transaction and integration costs of $960 million for the year ended October 31, 2024,
\nrecognized in Non-interest expense.", "dimensions": { "concept": "ifrs-full:DisclosureOfBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00654": { "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 single and multi-family Canadian residential mortgage loans through the creation of MBS pools
\n
under the National Housing Act MBS (NHA MBS) program. All loans securitized under the NHA MBS program are required to be
\n
insured by the Canadian Mortgage and Housing Corporation (CMHC) or a third-party insurer. We require the borrower to pay for
\n
mortgage insurance when the loan amount is greater than 80% of the original appraised value of the property (LTV ratio). For
\n
residential mortgage loans securitized under this program with LTV ratios less than 80%, we are required to insure the mortgages
\n
at our own expense. Under the NHA MBS program, we are responsible for making all payments due on our issued MBS, regardless
\n
of whether we collect the necessary funds from the mortgagor or the insurer. When a borrower defaults on a mortgage, we submit
\n
a claim to the insurer if the amount recovered from the collection or foreclosure process is lower than the sum of the principal
\n
balance, accrued interest and collection costs on the outstanding loan. The insurance claim process is managed by the insurance
\n
provider in accordance with the insurer\u2019s policies and covers the entire unpaid loan balance plus generally up to 12 months of
\n
interest, selling costs and other eligible expenses.
\n
We sell the NHA MBS pools primarily to Canada Housing Trust (CHT), a government-sponsored structured entity under the
\n
Canada Mortgage Bond (CMB) program. The entity periodically issues CMBs, which are guaranteed by the government, and sells
\n
them to third-party investors. Proceeds of the CMB issuances are used by the entity to purchase the NHA MBS pools from eligible
\n
NHA MBS issuers who participate in the issuance of a particular CMB series. Our continuing involvement includes servicing the
\n
underlying residential mortgage loans we have securitized, either ourselves or through a third-party servicer. We also act as
\n
counterparty in interest rate swap agreements where we pay the entity the interest due to CMB investors and receive the interest
\n
on the underlying MBS and reinvested assets. As part of the swaps, we are also required to maintain a principal reinvestment
\n
account for principal payments received on the underlying mortgage loans to meet the repayment obligation upon maturity of
\n
the CMB. We reinvest the collected principal payments in permitted investments as outlined in the swap agreements.
\n
We have determined that certain of the NHA MBS program loans transferred to CHT do not qualify for derecognition as we
\n
have not transferred substantially all of the risks and rewards of ownership. As a result, these transferred MBS continue to be
\n
classified as residential mortgage loans and recognized on our Consolidated Balance Sheets. The cash received for these
\n
transferred MBS is treated as a secured borrowing and a corresponding liability is recorded in Deposits \u2013 Business and
\n
government on our Consolidated Balance Sheets.
\n
We have determined that certain of the NHA MBS program loan transfers qualify for derecognition as we have transferred
\n
substantially all of the risks and rewards of ownership. During the year ended October 31, 2024, we transferred $122 million
\n
(October 31, 2023 \u2013 $nil) of NHA MBS program loans that qualified for derecognition.
\n
Canadian residential mortgages sold with recourse
\n
We periodically transfer conventional uninsured mortgages into the RBC Indigo Mortgage Fund in accordance with its investment
\n
parameters. We have determined that these mortgages, which are sold with recourse, do not qualify for derecognition. As a result,
\n
these transferred mortgages continue to be classified as residential mortgage loans and recognized on our Consolidated Balance
\n
Sheets. The cash received for these transferred mortgages is treated as a secured borrowing and a corresponding liability is
\n
recorded in Deposits \u2013 Business and government on our Consolidated Balance Sheets. We also provide a liquidity arrangement
\n
whereby we will either repurchase or facilitate the sale of mortgages to third parties if deemed necessary to satisfy liquidity
\n
requirements of the fund.
\n
Securities sold under repurchase agreements and securities loaned
\n
We also enter into transactions such as repurchase agreements and securities lending agreements where we transfer assets under
\n
agreements to repurchase them at a future date and retain substantially all of the risks and rewards associated with the assets. These
\n
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
\n
derecognition, and their associated liabilities.
\n\n \n
As at
October 31, 2024
October 31, 2023
Canadian
Securities
Canadian
Securities
residential
sold under
residential
sold under
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
assets that do not qualify for
derecognition
$ 33,101
$
291,543
$ 13,778
$ 338,422
$ 28,312
$
313,558
$ 21,680
$ 363,550
Carrying amount of associated
liabilities
31,522
291,543
13,778
336,843
28,007
313,558
21,680
363,245
Fair value of transferred assets
$ 31,760
$
291,543
$ 13,778
$ 337,081
$ 26,472
$
313,558
$ 21,680
$ 361,710
Fair value of associated
liabilities
31,445
291,543
13,778
336,766
26,780
313,558
21,680
362,018
Fair value of net position
$
315
$
\u2013
$
\u2013
$
315
$
(308)
$
\u2013
$
\u2013
$
(308)
\n
(1)
Includes Canadian residential mortgage loans transferred primarily to Canada Housing Trust at the initial securitization and other permitted investments used for
\n
funding requirements after the initial securitization as well as Canadian residential mortgages transferred into the RBC Indigo Mortgage Fund.
\n
(2)
CMB investors have legal recourse only to the transferred assets, and do not have recourse to our general assets.
\n
(3)
Does not include over-collateralization of assets pledged.", "dimensions": { "concept": "ry:DisclosureOfDerecognitionOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00655": { "value": "Note 8
Structured entities
\n
In the normal course of business, we engage in a variety of financial transactions with structured entities to support our
\n
financing and investing needs as well as those of our clients. A structured entity is an entity in which voting or similar rights are
\n
not the dominant factor in deciding control. Structured entities are generally created to achieve a narrow and well defined
\n
objective with restrictions around their ongoing activities. We consolidate a structured entity when we control the entity in
\n
accordance with our accounting policy as described in Note 2. In other cases, we may sponsor or have an interest in such an
\n
entity but may not consolidate it.
\n
Consolidated structured entities
\n
We consolidate the following structured entities, whose assets and liabilities are recorded on our Consolidated Balance Sheets.
\n
Third-party investors in these structured entities generally have recourse only to the assets of the related entity and do not have
\n
recourse to our general assets unless we breach our contractual obligations to those entities. In the ordinary course of business,
\n
the assets of each consolidated structured entity can generally only be used to settle the obligations of that entity.
\n
Multi-seller conduits
\n
We generally do not maintain ownership in the multi-seller conduits that we administer and generally do not have rights to, or
\n
control of, their assets. However, we issue asset-backed commercial paper (ABCP) through a multi-seller conduit that does not
\n
have an expected loss investor with substantive power to direct the significant operating activities of the conduit. This conduit is
\n
consolidated because we have exposure to variability of returns from performance in the multi-seller arrangements through
\n
providing transaction-specific and program-wide liquidity, credit and loan facilities to the conduit and have decision-making
\n
power over the relevant activities. As of October 31, 2024, $1,718 million of financial assets held by the conduit were included in
\n
Loans (October 31, 2023 \u2013 $1,316 million) and $1,600 million of ABCP issued by the conduit was included in Deposits
\n
(October 31, 2023 \u2013 $1,194 million) on our Consolidated Balance Sheets.
\n
Credit card securitization vehicle
\n
We securitize a portion of our credit card receivables through a structured entity on a revolving basis. The entity purchases
\n
co-ownership interests in a pool of credit card receivables and issues senior and subordinated term notes collateralized by that
\n
co-ownership interest in the underlying pool of credit card receivables. Investors who purchase the term notes have recourse
\n
only to that co-ownership interest in the underlying pool of credit card receivables.
\n
We continue to service the credit card receivables and perform an administrative role for the entity. We also retain risk in
\n
the underlying pool of credit card receivables through our retained interest in the transferred assets, the cash reserve balance
\n
we fund from time to time, and also through certain subordinated notes which we retain. Additionally, we may own some senior
\n
notes as investments or for market-making activities and we act as counterparty to interest rate and cross currency swap
\n
agreements which hedge the entity\u2019s interest rate and currency risk exposure.
\n
We consolidate the structured entity because we have decision-making power over the timing and size of future issuances
\n
and other relevant activities which were predetermined by us at inception. We also obtain significant funding benefits and are
\n
exposed to variability from the performance of the underlying credit card receivables through our retained interest. As at
\n
October 31, 2024, $6 billion of notes issued by our credit card securitization vehicle were included in Deposits on our
\n
Consolidated Balance Sheets (October 31, 2023 \u2013 $7 billion).
\n
Collateralized commercial paper vehicle
\n
We established a funding vehicle that provides loans to us and finances those loans by issuing commercial paper to third-party
\n
investors. The structured entity\u2019s commercial paper carries an equivalent credit rating to RBC because we are obligated to
\n
advance funds to the entity in the event there are insufficient funds from other sources to settle maturing commercial paper. We
\n
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
\n
borrower from the structure, and are exposed to a majority of the residual ownership risks through the credit support provided.
\n
As at October 31, 2024, $18 billion of commercial paper issued by the vehicle was included in Deposits on our Consolidated
\n
Balance Sheets (October 31, 2023 \u2013 $17 billion).
\n
Covered bonds
\n
We periodically transfer mortgages to RBC Covered Bond Guarantor Limited Partnership (the Guarantor LP) to support funding
\n
activities and asset coverage requirements under our covered bonds program. The Guarantor LP was created to guarantee
\n
interest and principal payments under the covered bond program. The covered bonds guaranteed by the Guarantor LP are direct,
\n
unsecured and unconditional obligations of RBC; therefore, investors have a claim against the Bank which will continue if the
\n
covered bonds are not paid by the Bank and the mortgage assets in the Guarantor LP are insufficient to satisfy the obligations
\n
owing on the covered bonds. We act as general partner, limited partner, swap counterparty, lender and liquidity provider to the
\n
Guarantor LP, servicer for the underlying mortgages as well as the registered issuer of the covered bonds.
\n
We consolidate the Guarantor LP as we have the decision-making power over the relevant activities through our role as
\n
general partner and are exposed to variability from the performance of the underlying mortgages. As at October 31, 2024, the
\n
total amount of mortgages transferred and outstanding was $107 billion (October 31, 2023 \u2013 $100 billion) and $58 billion of
\n
covered bonds were recorded as Deposits on our Consolidated Balance Sheets (October 31, 2023 \u2013 $50 billion).
\n
Structured finance
\n
We sell taxable and tax-exempt municipal bonds into Tender Option Bond (TOB) structures, which consist of a bond that is credit
\n
enhanced by us and purchased by a TOB trust. The TOB trust finances the purchase from us by issuing floating-rate certificates to
\n
short-term investors and a residual certificate that is purchased by us. We are the remarketing agent for the floating-rate
\n
certificates and provide a liquidity facility to the short-term investors which requires us to purchase any certificates tendered but
\n
not successfully remarketed. We credit enhance the bond purchased by the TOB trust with a letter of credit under which we are
\n
required to extend funding if there are any losses on the underlying bonds. We earn interest on the residual certificate and
\n
receive market-based fees for acting as remarketing agent and providing the liquidity facility and letter of credit.
\n
We consolidate the TOB trust when we are the holder of the residual certificate as we have decision-making power over the
\n
relevant activities, including the selection of the underlying municipal bonds and the ability to terminate the structure, and are
\n
exposed to variability from the performance of the underlying municipal bonds. As at October 31, 2024, $5 billion of municipal
\n
bonds were included in Securities related to consolidated TOB structures (October 31, 2023 \u2013 $5 billion) and a corresponding
\n
$5 billion of floating-rate certificates were included in Deposits on our Consolidated Balance Sheets (October 31, 2023 \u2013
\n
$5 billion).
\n
We establish structured entities to acquire loans for the purposes of issuing term collateralized loan obligation (CLO)
\n
transactions and act as collateral manager. During the warehouse phase, we provide subordinated financing and, for certain
\n
term CLO transactions, act as the arranger and placement agent, and may provide senior warehouse financing. Proceeds from
\n
the sale of the term CLO are used to repay our warehouse financing. During the term CLO phase, we continue to provide
\n
subordinated financing, which serves as the first loss tranche that absorbs losses prior to the senior tranches, and may also
\n
directly invest in the other tranches.
\n
We consolidate these CLO structures as we have decision-making power over the relevant activities of the entity, which
\n
include the initial selection and subsequent management of the underlying debt portfolio, and when our interests, including
\n
direct investment plus collateral management fees, indicate that we are acting as a principal. As at October 31, 2024, $194 million
\n
of Cash and due from banks and $2,030 million of Loans related to consolidated CLO structures (October 31, 2023 \u2013 $493 million
\n
and $1,675 million, respectively) and $1,143 million of Deposits representing the subordinated and senior tranches held by third
\n
parties (October 31, 2023 \u2013 $1,706 million) were recorded on our Consolidated Balance Sheets.
\n
RBC managed investment funds
\n
We are sponsors and investment managers of mutual and pooled funds, which give us the ability to direct the investment
\n
decisions of the funds. We consolidate those mutual and pooled funds in which our interests, which include direct investment in
\n
seed capital plus management or performance fees, indicate that we are acting as a principal. As at October 31, 2024, $799 million
\n
of Trading securities held in the consolidated funds (October 31, 2023 \u2013 $400 million) and $377 million of Other liabilities
\n
representing the fund units held by third parties (October 31, 2023 \u2013 $331 million) were recorded on our Consolidated Balance
\n
Sheets.
\n
Unconsolidated structured entities
\n
We have interests in certain structured entities that we do not consolidate but have recorded assets and liabilities on our
\n
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
\n
exposure to loss related to our interests in unconsolidated structured entities. It also presents the size of each class of
\n
unconsolidated structured entity, as measured by the total assets of the entities in which we have an interest.
\n\n \n
As at October 31, 2024
Non-RBC
managed
Third-party
Multi-seller
Structured
investment
securitization
(Millions of Canadian dollars)
conduits
(1)
finance
funds
vehicles
Other
Total
On-balance sheet assets
Securities
$
1
$
\u2013
$
2,541
$
\u2013
$
1,384
$
3,926
Loans
236
6,688
\u2013
12,788
1,805
21,517
Derivatives
32
\u2013
\u2013
\u2013
98
130
Other assets
\u2013
\u2013
\u2013
\u2013
455
455
$
269
$
6,688
$
2,541
$
12,788
$
3,742
$
26,028
On-balance sheet liabilities
Deposits
$
\u2013
$
\u2013
$
\u2013
$
\u2013
$
167
$
167
Derivatives
115
\u2013
3
\u2013
4
122
Other liabilities
\u2013
\u2013
\u2013
\u2013
7
7
$
115
$
\u2013
$
3
$
\u2013
$
178
$
296
Maximum exposure to loss
(2)
$
56,779
$ 12,963
$
3,487
$
21,195
$
6,248
$
100,672
Total assets of unconsolidated structured entities
$
55,639
$ 45,315
$ 459,976
$ 119,766
$ 798,228
$
1,478,924
\n\n \n
As at October 31, 2023
Non-RBC
managed
Third-party
Multi-seller
Structured
investment
securitization
(Millions of Canadian dollars)
conduits
(1)
finance
funds
vehicles
Other
Total
On-balance sheet assets
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
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
\n
(1)
Total assets of unconsolidated structured entities represent the maximum assets that may have to be purchased by the conduits under purchase commitments
\n
outstanding. Of the purchase commitments outstanding, the conduits have purchased financial assets totalling $37 billion as at October 31, 2024 (October 31, 2023 \u2013
\n
$37 billion).
\n
(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
\n
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
\n
of the backstop liquidity and credit enhancement facilities. Refer to Note 23 for further details.
\n
Below is a description of our involvement with each significant class of unconsolidated structured entity.
\n
Multi-seller conduits
\n
We administer multi-seller ABCP conduit programs. Multi-seller conduits primarily purchase financial assets from clients and
\n
finance those purchases by issuing ABCP.
\n
In certain multi-seller conduit arrangements, we do not maintain any ownership of the multi-seller conduits that we
\n
administer and have no rights to, or control of, its assets. As the administrative agent, we earn a residual fee for providing
\n
services such as coordinating funding activities, transaction structuring, documentation, execution and monitoring. The ABCP
\n
issued by each multi-seller conduit is in the conduit\u2019s own name with recourse to the financial assets owned by the multi-seller
\n
conduit, and is non-recourse to us except through our participation in liquidity and/or credit enhancement facilities.
\n
We provide transaction-specific and program-wide liquidity facilities to the multi-seller conduits. In addition, we provide
\n
program-wide credit enhancement to the multi-seller conduits which obligate us to purchase assets or advance funds in the
\n
event the multi-seller conduit does not otherwise have funds from other sources, such as from the liquidity facilities, to settle
\n
maturing ABCP. In some cases, we or another third party may provide transaction-specific credit enhancement which can take
\n
various forms. We receive market-based fees for providing these liquidity and credit facilities.
\n
For certain transactions, we act as counterparty to various hedging contracts to facilitate our clients\u2019 securitization of fixed
\n
rate and/or foreign currency denominated assets through the conduits. These may take the form of forward contracts, interest
\n
rate swaps or cross currency swaps. These derivatives expose us to foreign exchange and interest rate risks that are centrally
\n
managed by our foreign exchange trading and swap desks, respectively, and credit risk on the underlying assets that is mitigated
\n
by the credit enhancement described below.
Each transaction is structured with transaction-specific first loss protection provided by the third-party seller. This
\n
enhancement can take various forms, including but not limited to overcollateralization, excess spread, subordinated classes of
\n
financial assets, guarantees or letters of credit. The amount of this enhancement varies but is generally designed to cover a
\n
multiple of historical losses.
\n
An unrelated third party (expected loss investor) absorbs losses, up to a maximum contractual amount, that may occur in
\n
the future on the assets in the multi-seller conduits before the multi-seller conduits\u2019 debt holders and us. In return for assuming
\n
this multi-seller conduit first-loss position, each multi-seller conduit pays the expected loss investor a return commensurate with
\n
its risk position. The expected loss investor has substantive power to direct the majority of the activities which significantly
\n
impact the conduit\u2019s economic performance, including initial selection and approval of the asset purchase commitments and
\n
liquidity facilities, approval of renewal and amendment of these transactions and facilities, sale or transfer of assets, ongoing
\n
monitoring of asset performance, mitigation of losses, and management of the ABCP liabilities.
\n
We do not consolidate these multi-seller conduits as we do not control the conduits as noted above.
\n
Structured finance
\n
We participate in certain municipal bond TOB structures that we do not consolidate. These structures are similar to those
\n
consolidated municipal bond TOB structures described above; however, the residual certificates are held by third parties. We
\n
provide liquidity facilities for the benefit of floating-rate certificate holders which may be drawn if certificates are tendered but
\n
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
\n
trust. We do not have decision-making power over the relevant activities of the structures; therefore, we do not consolidate these
\n
structures.
\n
We provide senior warehouse financing to unaffiliated structured entities that are established by third parties to acquire
\n
loans for the purposes of issuing a term CLO transaction. Subordinated financing is provided during the warehouse phase by
\n
either the collateral manager or third-party investors. Subordinated financing serves as the first loss tranche which absorbs
\n
losses prior to ourselves as the senior lender. We act as the arranger and placement agent for the term CLO transaction.
\n
Proceeds from the sale of the term CLO are used to repay our senior warehouse financing, at which point we have no further
\n
involvement with the transaction. We do not consolidate these CLO structures as we do not have decision-making power over the
\n
relevant activities of the entity, which include the initial selection and subsequent management of the underlying debt portfolio.
\n
We provide senior financing to unaffiliated structured entities that are established by third parties to acquire loans.
\n
Subordinated financing is provided by either the collateral manager or third-party investors. Subordinated financing serves as
\n
the first loss tranche which absorbs losses prior to ourselves as the senior lender. These facilities tend to be longer in term than
\n
the CLO warehouse facilities and benefit from credit enhancement generally designed to cover a multiple of historical losses. We
\n
do not consolidate these structures as we do not have decision-making power over the relevant activities of the entity, which
\n
include the initial selection and subsequent management of the underlying debt portfolio.
\n
Non-RBC managed investment funds
\n
We enter into fee-based equity derivative transactions with third parties including mutual funds, unit investment trusts and other
\n
investment funds. These transactions provide their investors with the desired exposure to reference funds, and we economically
\n
hedge our exposure to these derivatives by investing in those reference funds. We also act as custodian for several funds. We do
\n
not consolidate those reference funds that are managed by third parties as we do not have power to direct their investing
\n
activities.
\n
We provide liquidity facilities to certain third-party investment funds. The funds issue unsecured variable-rate preferred
\n
shares and invest in portfolios of tax-exempt municipal bonds. Undrawn liquidity commitments expose us to the liquidity risk of
\n
the preferred shares and drawn commitments expose us to the credit risk of the underlying municipal bonds. We do not
\n
consolidate these third-party managed funds as we do not have power to direct their investing activities.
\n
Third-party securitization vehicles
\n
We hold interests in securitization vehicles that provide funding to certain third parties on whose behalf the entities were
\n
created. The activities of these entities are limited to the purchase and sale of specified financial assets from the sponsor. We, as
\n
well as other financial institutions, are obligated to provide funding up to our maximum commitment level and are exposed to
\n
credit losses on the underlying assets after various credit enhancements. Enhancements can take various forms, including but
\n
not limited to overcollateralization, excess spread, subordinated classes of financial assets, guarantees or letters of credit. The
\n
amount of this enhancement varies but is generally designed to cover a multiple of historical losses. We do not consolidate these
\n
entities as we do not have decision-making power over the relevant activities, including the entities\u2019 investing and financing
\n
activities.
Other
\n
Other unconsolidated structured entities include managed investment funds, arrangements to pass credit risk to third parties,
\n
credit investment products and tax credit funds.
\n
We are sponsors and investment managers of mutual and pooled funds, which gives us the ability to direct the investment
\n
decisions of the funds. We do not consolidate those mutual and pooled funds if we exercise our decision-making power as an
\n
agent on behalf of other unit holders.
\n
We use structured entities to generally transform credit derivatives into cash instruments, to distribute credit risk and to
\n
create customized credit products to meet investors\u2019 specific requirements. We enter into derivative contracts, including credit
\n
derivatives, to purchase protection from these entities (credit protection) and convert various risk factors such as yield, currency
\n
or credit risk of underlying assets to meet the needs of the investors. We act as sole arranger and swap provider for certain
\n
entities and, in some cases, fulfill other administrative functions for the entities. We do not consolidate these credit investment
\n
product entities as we do not have decision-making power over the relevant activities, which include selection of the collateral
\n
and reference portfolio, and are not exposed to a majority of the benefits or risks of the entities.
\n
We created certain funds to pass through tax credits received from underlying low-income housing, historic rehabilitation
\n
real estate projects to third parties, new market tax credits or renewable energy tax credits to third parties (tax credit funds). We
\n
are sponsors of the tax credit funds as a result of our responsibility to manage the funds, arrange the financing, and perform the
\n
administrative duties of these tax credit funds. We do not consolidate the tax credit funds as the third-party investors in these
\n
funds have the decision-making power to select the underlying investments and are exposed to the majority of the residual
\n
ownership and tax risks of the funds.
\n
We also purchase passive interests in renewable energy tax credit entities created and controlled by third parties. We do not
\n
consolidate these third-party funds as we do not have decision-making power over the relevant activities and our investments
\n
are managed as part of larger portfolios which are held for trading purposes.
\n
Other interests in unconsolidated structured entities
\n
In the normal course of business, we buy and sell passive interests in certain third-party structured entities, including mutual
\n
funds, exchange traded funds, and government-sponsored ABS vehicles. Our investments in these entities are managed as part of
\n
larger portfolios which are held for trading, liquidity or hedging purposes. We did not create or sponsor these entities and do not
\n
have any decision-making power over their ongoing activities. Our maximum exposure to loss is limited to our on-balance sheet
\n
investments in these entities, which are not included in the table above. As at October 31, 2024 and 2023, our investments in these
\n
entities were included in Trading and Investment securities on our Consolidated Balance Sheets. Refer to Note 3 and Note 4 for
\n
further details on our Trading and Investment securities.
\n
Sponsored entities
\n
We are a sponsor of certain structured entities in which we have interests but do not consolidate. In determining whether we are
\n
a sponsor of a structured entity, we consider both qualitative and quantitative factors, including the purpose and nature of the
\n
entity, our initial and continuing involvement and whether we hold subordinated interests in the entity. We are considered to be
\n
the sponsor of certain credit investment products, tax credit entities, RBC managed mutual funds and a commercial mortgage
\n
securitization vehicle. During the year ended October 31, 2024, we did not transfer any commercial mortgages (October 31, 2023 \u2013
\n
$nil) to a sponsored securitization vehicle in which we did not have any interests as at the end of the reporting period.
\n
Financial support provided to structured entities
\n
During the years ended October 31, 2024 and 2023, we have not provided any financial or non-financial support to any
\n
consolidated or unconsolidated structured entities when we were not contractually obligated to do so. Furthermore, we have no
\nintention to provide such support in the future.", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutInterestsInStructuredEntityExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00656": { "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
\n
investors. The structured entity\u2019s commercial paper carries an equivalent credit rating to RBC because we are obligated to
\n
advance funds to the entity in the event there are insufficient funds from other sources to settle maturing commercial paper. We
\n
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
\n
borrower from the structure, and are exposed to a majority of the residual ownership risks through the credit support provided.
\n
As at October 31, 2024, $18 billion of commercial paper issued by the vehicle was included in Deposits on our Consolidated
\nBalance Sheets (October 31, 2023 \u2013 $17 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
\n
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
\n
following are examples of our general terms and conditions on pledged assets and collateral:
\n
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\n
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\n
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
\n
is pledged.
\n
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
\n
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
\n
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
\n
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
\n
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
\n
October 31, 2024, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31, 2023 \u2013
\n
$1 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada to cover a
\n
settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance. There were
\n
no overnight advances taken on October 31, 2024 and October 31, 2023.
\n
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Sources of pledged assets and collateral
Bank assets
Loans
$
105,577
$
102,944
Securities
105,061
107,122
Other assets
31,583
28,953
242,221
239,019
Client assets
(1)
Collateral received and available for sale or re-pledging
539,630
502,109
Less: not sold or re-pledged
(30,767)
(6,876)
508,863
495,233
$
751,084
$
734,252
Uses of pledged assets and collateral
Securities borrowing and lending
$
198,887
$
168,681
Obligations related to securities sold short
46,088
46,260
Obligations related to securities loaned or sold under repurchase agreements
305,788
331,784
Securitization
39,769
38,686
Covered bonds
71,307
69,802
Derivative transactions
50,100
40,352
Foreign governments and central banks
8,469
9,111
Clearing systems, payment systems and depositories
11,261
10,709
Other
19,415
18,867
$
751,084
$
734,252
", "dimensions": { "concept": "ifrs-full:DisclosureOfCollateralExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00657": { "value": "Note 9
Derivative financial instruments and hedging activities
\n
Derivative instruments are categorized as either financial or non-financial derivatives. Financial derivatives are financial
\n
contracts whose value is derived from an underlying interest rate, foreign exchange rate, credit risk, and equity or equity index.
\n
Non-financial derivatives are contracts whose value is derived from a precious metal, commodity instrument or index. The
\n
notional amount of derivatives represents the contract amount used as a reference point to calculate payments. Notional
\n
amounts are generally not exchanged by counterparties, and do not reflect our EAD.
\n
Financial derivatives
\n
Forwards and futures
\n
Forward contracts are non-standardized agreements that are transacted between counterparties in the OTC market, whereas
\n
futures are standardized contracts with respect to amounts and settlement dates, and are traded on regular futures exchanges.
\n
Examples of forwards and futures are described below.
\n
Interest rate forwards (forward rate agreements) and futures are contractual obligations to buy or sell an interest-rate
\n
sensitive financial instrument on a predetermined future date at a specified price.
\n
Foreign exchange forwards and futures are contractual obligations to exchange one currency for another at a specified price
\n
for settlement at a predetermined future date.
\n
Equity forwards and futures are contractual obligations to buy or sell at a fixed value (the specified price) of an equity index,
\n
a basket of stocks or a single stock at a predetermined future date.
Swaps
\n
Swaps are OTC contracts in which two counterparties exchange a series of cash flows based on agreed upon rates applied to a
\n
notional amount. Examples of swap agreements are described below.
\n
Interest rate swaps are agreements where two counterparties exchange a series of payments based on different interest rates
\n
applied to a notional amount in a single currency. Certain interest rate swaps are transacted and settled through clearing houses
\n
which act as central counterparties. Cross currency swaps involve the exchange of fixed payments in one currency for the receipt
\n
of fixed payments in another currency. Cross currency interest rate swaps involve the exchange of both interest and notional
\n
amounts in two different currencies.
\n
Equity swaps are contracts in which one counterparty agrees to pay or receive from the other cash flows based on changes
\n
in the value of an equity index, a basket of stocks or a single stock.
\n
Options
\n
Options are contractual agreements under which the seller (writer) grants the purchaser the right, but not the obligation, either
\n
to buy (call option) or sell (put option) a security, exchange rate, interest rate, or other financial instrument or commodity at a
\n
specified price, at or by a predetermined future date. The seller (writer) of an option can also settle the contract by paying the
\n
cash settlement value of the purchaser\u2019s right. The seller (writer) receives a premium from the purchaser for this right. The
\n
various option agreements that we enter into include but are not limited to interest rate options, foreign currency options, equity
\n
options and index options.
\n
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. Certain credit default swaps are transacted and settled through clearing houses which act as
\n
central counterparties. 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 derivative products include stable value derivatives.
\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 activities
\n
involve identifying and profiting from price differentials between markets and product types.
\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 rate,
\n
credit, equity and foreign exchange risk related to our funding, lending, investment activities and asset/liability 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 derivative
\n
transactions to economically hedge certain exposures that do not otherwise qualify for hedge accounting, or where hedge accounting is
\n
not considered economically feasible to implement.
\n
Notional amount of derivatives by term to maturity (absolute amounts)
(1)
\n\n \n
As at October 31, 2024
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
$
1,097,367
$
672,436
$
7,017
$
1,776,820
$
1,776,820
$
\u2013
Swaps
6,181,369
8,714,891
5,597,447
20,493,707
19,291,405
1,202,302
Options purchased
206,649
407,730
155,843
770,222
770,181
41
Options written
217,379
384,448
179,408
781,235
781,113
122
Foreign exchange contracts
Forward contracts
2,939,019
136,442
7,465
3,082,926
2,966,914
116,012
Cross currency swaps
23,204
108,912
75,843
207,959
199,481
8,478
Cross currency interest rate swaps
1,298,173
2,544,878
1,380,858
5,223,909
5,168,677
55,232
Options purchased
475,980
75,804
2,015
553,799
553,799
\u2013
Options written
488,878
66,828
983
556,689
556,689
\u2013
Credit derivatives
(2)
4,055
135,505
118,732
258,292
257,333
959
Other contracts
(3)
389,424
149,475
10,122
549,021
538,604
10,417
Exchange-traded contracts
Interest rate contracts
Futures \u2013 long positions
93,985
45,015
56
139,056
139,056
\u2013
Futures \u2013 short positions
114,425
64,759
301
179,485
179,244
241
Options purchased
7,075
991
\u2013
8,066
8,066
\u2013
Options written
2,262
14
\u2013
2,276
2,276
\u2013
Foreign exchange contracts
Futures \u2013 long positions
1
\u2013
\u2013
1
1
\u2013
Other contracts
367,023
68,132
2,574
437,729
437,729
\u2013
$
13,906,268
$ 13,576,260
$ 7,538,664
$ 35,021,192
$ 33,627,388
$ 1,393,804
\n\n \n
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
(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, 2023 \u2013 $1 billion) are economic hedges. Trading credit derivatives comprise protection purchased of
\n
$135 billion (October 31, 2023 \u2013 $119 billion) and protection sold of $122 billion (October 31, 2023 \u2013 $115 billion).
\n
(3)
Other contracts exclude loan underwriting commitments of $3 billion (October 31, 2023 \u2013 $2 billion), which are not classified as derivatives under CAR guidelines.
Fair value of derivative instruments
(1)
\n\n \n
As at
October 31, 2024
October 31, 2023
(Millions of Canadian dollars)
Positive
Negative
Positive
Negative
Held or issued for trading purposes
Interest rate contracts
Forward rate agreements
$
147
$
68
$
76
$
24
Swaps
21,155
16,482
26,320
22,965
Options purchased
5,556
\u2013
11,230
\u2013
Options written
\u2013
6,049
\u2013
11,776
26,858
22,599
37,626
34,765
Foreign exchange contracts
Forward contracts
26,339
23,758
22,972
22,655
Cross currency swaps
7,316
4,912
7,370
5,815
Cross currency interest rate swaps
60,105
59,733
55,268
46,550
Options purchased
2,407
\u2013
2,623
\u2013
Options written
\u2013
1,800
\u2013
1,790
96,167
90,203
88,233
76,810
Credit derivatives
270
216
175
176
Other contracts
26,325
46,420
16,319
20,865
149,620
159,438
142,353
132,616
Held or issued for other-than-trading purposes
Interest rate contracts
Swaps
1,215
3,100
1,907
7,436
1,215
3,100
1,907
7,436
Foreign exchange contracts
Forward contracts
1,235
682
860
509
Cross currency swaps
207
46
\u2013
\u2013
Cross currency interest rate swaps
874
2,287
555
4,484
2,316
3,015
1,415
4,993
Credit derivatives
3
2
49
\u2013
Other contracts
79
77
71
109
3,613
6,194
3,442
12,538
Total gross fair values before:
153,233
165,632
145,795
145,154
Valuation adjustments determined on a pooled basis
(1,053)
(301)
(1,801)
(981)
Impact of netting agreements that qualify for balance sheet offset
(1,568)
(1,568)
(1,544)
(1,544)
$ 150,612
$ 163,763
$ 142,450
$ 142,629
\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 \n
As at
October 31, 2024
October 31, 2023
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
$ 54,660
48,765
47,187
$ 150,612
$ 46,148
52,165
44,137
$ 142,450
Derivative liabilities
67,886
51,170
44,707
163,763
47,707
51,690
43,232
142,629
\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
Interest rate benchmark reform
\n
We use interest rate contracts in fair value hedges and cash flow hedges to manage our exposure to interest rate risk from our
\n
existing and/or forecast assets and liabilities. We also use foreign denominated deposit liabilities in net investment hedges to
\n
manage the foreign exchange risk arising from our investments in foreign operations. The hedging instruments designated to
\n
manage these risks referenced IBORs in multiple jurisdictions and were affected by the Reform as the markets transitioned to
\n
ABRs as discussed in Note 2.
\n
The notional amounts of our interest rate contracts and total return swaps which referenced IBORs and were affected by the
\n
Reform are no longer material to our financial statements (October 31, 2023 \u2013 $115 billion and $1 billion, respectively).
\n
Derivative-related credit risk
\n
Credit risk from derivative transactions is generated by the potential for the counterparty to default on its contractual
\n
obligations when one or more transactions have a positive market value to us. Therefore, derivative-related credit risk is
\n
represented by the positive fair value of the instrument and is normally a small fraction of the contract\u2019s notional amount.
\n
We subject our derivative transactions to the same credit approval, limit and monitoring standards that we use for managing
\n
other transactions that create credit exposure. This includes evaluating the creditworthiness of counterparties, and managing
\n
the size, diversification and maturity structure of the portfolio. Credit utilization for all products is compared with established
\n
limits on a continual basis and is subject to a standard exception reporting process. We use a single internal rating system for all
\n
credit risk exposure, as outlined in the internal ratings maps in the Credit risk section of Management\u2019s Discussion and Analysis.
\n
Offsetting is a technique that can reduce credit exposure from derivatives and is generally facilitated through the use of
\n
master netting agreements and achieved when specific criteria are met in accordance with our accounting policy in Note 2. A
\n
master netting agreement provides for a single net settlement of all financial instruments covered by the agreement in the event
\n
of default. However, credit risk is reduced only to the extent that our financial obligations to the same counterparty can be set off
\n
against obligations of the counterparty to us. We maximize the use of master netting agreements to reduce derivative-related
\n
credit exposure. Our overall exposure to credit risk that is reduced through master netting agreements may change substantially
\n
following the reporting date as the exposure is affected by each transaction subject to the agreement as well as by changes in
\n
underlying market rates. Measurement of our credit exposure arising out of derivative transactions is reduced to reflect the
\n
effects of netting in cases where the enforceability of that netting is supported by appropriate legal analysis as documented in
\n
our trading credit risk policies.
\n
The use of collateral is another significant credit mitigation technique for managing derivative-related counterparty credit
\n
risk. Mark-to-market provisions in our agreements with some counterparties, typically in the form of a Credit Support Annex,
\n
provide us with the right to request that the counterparty collateralize the current market value of its derivatives positions when
\n
the value exceeds a specified threshold amount.
\n
Replacement cost and credit equivalent amounts are determined using SA-CCR in accordance with the OSFI CAR guidelines.
\n
The replacement cost represents the total fair value of all outstanding contracts in a gain position after factoring in the master
\n
netting agreements and applicable margins. The credit equivalent amount is defined as the replacement cost plus an additional
\n
amount for potential future credit exposure, scaled by a regulatory factor. The risk-weighted equivalent is determined by
\n
applying appropriate risk-weights to the credit equivalent amount, including those risk weights reflective of model approval
\n
under the internal ratings based approach.
\n
Derivative-related credit risk
(1)
\n\n \n
As at
October 31, 2024
October 31, 2023
Credit
Credit
Replacement
equivalent
Risk-weighted
Replacement
equivalent
Risk-weighted
(Millions of Canadian dollars)
cost
amount
equivalent
(2), (3)
cost
amount
equivalent
(2)
Over-the-counter contracts
Interest rate contracts
Forward rate agreements
$
8
$
231
$
43
$
58
$
94
$
6
Swaps
6,926
17,760
2,747
9,613
24,448
3,721
Options purchased
317
859
135
610
1,547
353
Options written
49
398
104
123
564
152
Foreign exchange contracts
Forward contracts
8,077
33,908
6,693
5,655
27,862
5,611
Swaps
3,915
21,709
2,703
4,261
21,483
4,274
Options purchased
877
2,315
587
841
1,742
383
Options written
117
476
98
95
441
109
Credit derivatives
608
2,336
191
356
1,834
219
Other contracts
1,773
20,981
4,756
1,933
16,002
4,929
Exchange-traded contracts
10,084
19,023
380
7,186
16,191
324
$ 32,751
$ 119,996
$ 18,437
$ 30,731
$ 112,208
$ 20,081
\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 $18 billion (October 31, 2023 \u2013 $13 billion).
\n
(3)
The amounts presented reflect our adoption of the revised market risk and CVA frameworks that came into effect on November 1, 2023.
Replacement cost of derivative instruments by risk rating and by counterparty type
\n\n \n
As at October 31, 2024
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
$ 31,561
$ 77,933
$ 25,206
$ 18,533
$ 153,233
$ 75,119
$ 24,655
$ 53,459
$ 153,233
Impact of master netting agreements and
applicable margins
18,644
67,995
19,046
14,797
120,482
73,763
24,289
22,430
120,482
Replacement cost (after netting agreements)
$ 12,917
$
9,938
$
6,160
$
3,736
$
32,751
$
1,356
$
366
$ 31,029
$
32,751
\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
(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. Refer to Note 2 for our policies on
\n
hedge accounting including presentation of hedge effectiveness and ineffectiveness amounts.
\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:
\n
Interest rate risk
\n
We use interest rate contracts to manage our exposure to interest rate risk by modifying the repricing characteristics of existing
\n
and/or forecasted assets and liabilities, including funding and investment activities. The swaps are designated in either a fair
\n
value hedge or a cash flow hedge. Certain swaps were affected by the Reform as the market transitioned from referencing IBORs
\n
to ABRs.
\n
For fair value hedges, we use interest rate contracts to manage the fair value movements of our fixed rate instruments due
\n
to changes in benchmark interest. The interest rate swaps are entered into on a one-to-one basis to manage the benchmark
\n
interest rate risk, and its terms are critically matched to the specified fixed rate instruments.
\n
We also use interest rate swaps in fair value hedges to manage interest rate risk from residential mortgage assets and
\n
funding liabilities. Our exposure from this portfolio changes with the origination of new loans, repayments of existing loans and
\n
sale of securitized mortgages. Accordingly, we have adopted dynamic hedging for that portfolio, in which the hedge relationship
\n
is rebalanced on a more frequent basis, such as on a bi-weekly or on a monthly basis.
\n
For cash flow hedges, we use interest rate contracts to manage the exposure to cash flow variability of our variable rate
\n
instruments as a result of changes in benchmark interest rates. The variable rate instruments and forecast transactions that
\n
referenced certain IBORs were affected by the Reform. Whilst some of the interest rate swaps are entered into on a one-to-one
\n
basis to manage a specific exposure, other interest rate swaps may be entered into for managing interest rate risks of a portfolio
\n
of assets and liabilities.
\n
Foreign exchange risk
\n
We manage our exposure to foreign currency risk with cross currency swaps in a cash flow hedge, and foreign exchange forward
\n
contracts in a net investment hedge. Certain cash instruments may also be designated in a net investment hedge, where
\n
applicable.
\n
For cash flow hedges, we use cross currency swaps and forward contracts to manage the cash flow variability arising from
\n
fluctuations in foreign exchange rates on our issued foreign denominated fixed rate liabilities and highly probable forecasted
\n
transactions. The maturity profile and repayment terms of these swaps are matched to those of our foreign denominated
\n
exposures to limit our cash flow volatility from changes in foreign exchange rates.
\n
For net investment hedges, we use a combination of foreign exchange forwards and cash instruments, such as foreign
\n
denominated deposit liabilities, to manage our foreign exchange risk arising from our investments in foreign operations. Our
\n
most significant exposures include USD, GBP and Euro. When hedging net investments in foreign operations using foreign
\n
exchange forwards, only the undiscounted spot element of the foreign exchange forward is designated as the hedging
\n
instrument. Accordingly, changes in the fair value of the hedging instrument as a result of changes in forward rates and the
\n
effects of discounting are not included in the hedging effectiveness assessment. Foreign operations are only hedged to the extent
\n
of the principal of the foreign denominated deposit liabilities or notional amount of the derivative; we generally do not expect to
\n
incur significant ineffectiveness on hedges of net investments in foreign operations.
\n
Equity price risk
\n
We use total return swaps in cash flow hedges to mitigate the cash flow variability of the expected payment associated with our
\n
cash settled share-based compensation plan for certain key employees by exchanging interest payments for indexed RBC share
\n
price change and dividend returns.
\n
Credit risk
\n
We predominantly use credit derivatives to economically hedge our credit exposures. We mitigate industry sector concentrations
\n
and single-name exposures related to our credit portfolio by purchasing credit derivatives to transfer credit risk to third parties.
\n
Derivative instruments designated in hedging relationships
(1)
\n
The following table presents the fair values of the derivative instruments and the principal amounts of the non-derivative
\n
liabilities, categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.
\n\n \n
As at
October 31, 2024
October 31, 2023
Designated as hedging instruments
Designated as hedging instruments
in hedging relationships
in hedging relationships
Not designated
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
$
18
$
298
$
4
$
150,292
$
156
$
19
$
13
$
142,262
Liabilities
Derivative instruments
59
27
433
163,244
50
100
409
142,070
Non-derivative instruments
\u2013
\u2013
37,833
n.a.
\u2013
\u2013
25,427
n.a.
\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
n.a.
not applicable
\n
The following tables provide the remaining term to maturity analysis of the notional amounts and the weighted average rates of
\n
the hedging instruments and their carrying amounts by types of hedging relationships:
\n
Fair value hedges
\n\n \n
As at October 31, 2024
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
$ 11,396
$ 68,563
$ 38,343
$ 118,302
$
10
$
55
Hedge of fixed rate liabilities
32,496
71,668
17,267
121,431
8
4
Weighted average fixed interest rate
Hedge of fixed rate assets
3.8%
3.8%
3.5%
3.7%
Hedge of fixed rate liabilities
2.9%
2.8%
3.1%
2.8%
\n\n \n
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 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
Hedge of fixed rate assets
4.3%
3.6%
3.2%
3.6%
Hedge of fixed rate liabilities
2.1%
2.4%
2.6%
2.3%
\n
(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
\n
counterparties.
Cash flow hedges
\n\n \n
As at October 31, 2024
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
$ 91,698
$ 133,684
$
6,831
$ 232,213
$
\u2013
$
\u2013
Hedge of variable rate liabilities
46,390
101,339
33,845
181,574
\u2013
\u2013
Weighted average fixed interest rate
Hedge of variable rate assets
4.1%
3.5%
3.5%
3.7%
Hedge of variable rate liabilities
4.1%
3.6%
2.9%
3.6%
Foreign exchange risk
Cross currency swaps
Hedge of fixed rate assets
$
\u2013
$
936
$
\u2013
$
936
$
9
$
21
Hedge of fixed rate liabilities
\u2013
4,163
\u2013
4,163
198
6
Weighted average CAD-EUR exchange rate
n.a.
1.43
n.a.
1.43
Weighted average CAD-USD exchange rate
n.a.
1.34
n.a.
1.34
\n\n \n
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
Hedge of fixed rate assets
$
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
\n
(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
\n
counterparties.
\n
n.a.
not applicable
\n
Net investment hedges
\n\n \n
As at October 31, 2024
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
$
4,540
$
27,649
$
6,505
$
38,694
n.a.
$ 37,833
Weighted average CAD-USD exchange rate
1.33
1.34
1.34
1.34
Weighted average CAD-EUR exchange rate
n.a.
n.a.
n.a.
n.a.
Weighted average CAD-GBP exchange rate
1.71
1.76
n.a.
1.73
Forward contracts
$ 19,926
$
\u2013
$
\u2013
$
19,926
$
4
$
433
Weighted average CAD-USD exchange rate
1.36
n.a.
n.a.
1.36
Weighted average CAD-EUR exchange rate
1.50
n.a.
n.a.
1.50
Weighted average CAD-GBP exchange rate
1.79
n.a.
n.a.
1.79
\n\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
n.a.
1.71
n.a.
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.a.
not applicable
\n
The following tables present the details of the hedged items categorized by their hedging relationships:
\n
Fair value hedges \u2013 Assets and liabilities designated as hedged items
\n\n \n
As at and for the year ended October 31, 2024
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;
$ 114,354
$
\u2013
$
(666)
$
\u2013
Loans \u2013 Wholesale
$
2,702
Fixed rate liabilities
(1)
Deposits \u2013 Personal;
Deposits \u2013 Business and government;
Subordinated debentures;
\u2013
118,116
\u2013
(2,312)
Deposits \u2013 Bank
(3,963)
\n\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
(1)
As at October 31, 2024, the accumulated amount of fair value hedge adjustments remaining on our Consolidated Balance Sheets for hedged items that have ceased to be
\n
adjusted for hedging gains and losses is a loss of $238 million for fixed rate assets and a gain of $118 million for fixed rate liabilities (October 31, 2023 \u2013 loss of $539 million
\n
and gain of $259 million, respectively).
\n
Cash flow and net investment hedges \u2013 Assets and liabilities designated as hedged items
\n\n \n
As at and for the year ended October 31, 2024
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;
Loans \u2013 Wholesale;
$
(4,415)
$
2,645
$
(2,216)
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
4,437
(1,801)
4,557
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
7
13
\u2013
Fixed rate liabilities
Deposits \u2013 Business and government
(106)
(52)
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
710
(8,005)
(382)
\n \n
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
$
2,248
$
(2,115)
$
(3,126)
applicable allowance; Loans \u2013 Retail;
Interest bearing deposits with banks;
Assets purchased under reverse
repurchase agreements and securities borrowed
Variable rate liabilities
Deposits \u2013 Business and government;
(2,558)
3,535
5,607
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
50
\u2013
\u2013
Net investment hedges
Foreign exchange risk
Foreign subsidiaries
n.a.
1,513
(7,297)
(382)
\n
n.a.
not applicable
\n
Effectiveness of designated hedging relationships
\n\n \n
For the year ended October 31, 2024
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
$
(2,761)
$
(59)
n.a.
n.a.
Interest rate contracts \u2013 fixed rate liabilities
3,961
(2)
n.a.
n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts \u2013 variable rate assets
4,416
15
$
2,559
$
(3,195)
Interest rate contracts \u2013 variable rate liabilities
(4,325)
(19)
(2,600)
3,872
Foreign exchange risk
Cross currency swap \u2013 fixed rate assets
(6)
\u2013
1
(12)
Cross currency swap \u2013 fixed rate liabilities
107
2
70
122
Net investment hedges
Foreign exchange risk
Foreign currency liabilities
(455)
\u2013
(455)
\u2013
Forward contracts
(255)
\u2013
(254)
(1)
\n\n \n
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)
\n
(1)
Hedge ineffectiveness recognized in income included losses of $50 million that are excluded from the assessment of hedge effectiveness and are offset by economic
\n
hedges (October 31, 2023 \u2013 gains of $3 million).
\n
n.a.
not applicable
\n
Reconciliation of components of equity
\n
The following table provides a reconciliation by risk category of each component of equity and an analysis of other
\n
comprehensive income relating to hedge accounting:
\n\n \n
For the year ended October 31, 2024
For the year ended October 31, 2023
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
$
2,756
$
6,612
$
2,394
$
5,688
Cash flow hedges
Effective portion of changes in fair value:
Interest rate risk
(40)
568
Foreign exchange risk
71
(44)
Equity price risk
413
(119)
Net amount reclassified to profit or loss:
Ongoing hedges:
Interest rate risk
134
(377)
Foreign exchange risk
(110)
37
Equity price risk
(350)
93
De-designated hedges:
Interest rate risk
(811)
453
Hedges of net investment in foreign operations
Foreign exchange denominated debt
(455)
(684)
Forward foreign exchange contracts
(254)
(828)
Foreign currency translation differences for foreign
operations
1,018
2,164
Reclassification of losses (gains) on foreign currency
translation to income
\u2013
(160)
Reclassification of losses (gains) on net investment
hedging activities to income
1
191
Tax on movements on reserves during the period
204
206
(249)
241
Balance at the end of the year
$
2,267
$
7,128
$
2,756
$
6,612
", "dimensions": { "concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00658": { "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 activities
\ninvolve identifying and profiting from price differentials between markets and product types.", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsHeldForTradingExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00659": { "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
\n
contracts in a net investment hedge. Certain cash instruments may also be designated in a net investment hedge, where
\n
applicable.
\n
For cash flow hedges, we use cross currency swaps and forward contracts to manage the cash flow variability arising from
\n
fluctuations in foreign exchange rates on our issued foreign denominated fixed rate liabilities and highly probable forecasted
\n
transactions. The maturity profile and repayment terms of these swaps are matched to those of our foreign denominated
\n
exposures to limit our cash flow volatility from changes in foreign exchange rates.
\n
For net investment hedges, we use a combination of foreign exchange forwards and cash instruments, such as foreign
\n
denominated deposit liabilities, to manage our foreign exchange risk arising from our investments in foreign operations. Our
\n
most significant exposures include USD, GBP and Euro. When hedging net investments in foreign operations using foreign
\n
exchange forwards, only the undiscounted spot element of the foreign exchange forward is designated as the hedging
\n
instrument. Accordingly, changes in the fair value of the hedging instrument as a result of changes in forward rates and the
\n
effects of discounting are not included in the hedging effectiveness assessment. Foreign operations are only hedged to the extent
\n
of the principal of the foreign denominated deposit liabilities or notional amount of the derivative; we generally do not expect to
\nincur significant ineffectiveness on hedges of net investments in foreign operations.", "dimensions": { "concept": "ifrs-full:DisclosureOfEffectOfChangesInForeignExchangeRatesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00660": { "value": "Note 10
Premises and equipment
\n\n \n
For the year ended October 31, 2024
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
(2)
Cost
Balance at beginning of period
$ 140
$
1,251
$
1,283
$
835
$
3,007
$
108
$
5,893
$
317
$ 12,834
Additions
103
77
21
11
50
522
526
2
1,312
Acquisition through business
combination
\u2013
\u2013
\u2013
13
59
\u2013
226
\u2013
298
Transfers from work in process
\u2013
5
240
132
102
(479)
\u2013
\u2013
\u2013
Disposals
\u2013
(6)
(140)
(82)
(29)
\u2013
(165)
\u2013
(422)
Foreign exchange translation
1
2
10
3
19
\u2013
61
\u2013
96
Other
\u2013
(4)
(3)
(12)
(39)
(22)
(109)
\u2013
(189)
Balance at end of period
$ 244
$
1,325
$
1,411
$
900
$
3,169
$
129
$
6,432
$
319
$ 13,929
Accumulated depreciation
Balance at beginning of period
$
\u2013
$
646
$
723
$
550
$
1,863
$
\u2013
$
2,149
$
154
$
6,085
Depreciation
\u2013
59
249
73
279
\u2013
620
84
1,364
Disposals
\u2013
(6)
(140)
(82)
(25)
\u2013
(54)
\u2013
(307)
Foreign exchange translation
\u2013
1
8
2
7
\u2013
21
\u2013
39
Other
\u2013
(6)
(6)
11
(52)
\u2013
(51)
\u2013
(104)
Balance at end of period
$
\u2013
$
694
$
834
$
554
$
2,072
$
\u2013
$
2,685
$
238
$
7,077
Net carrying amount at end of
period
$ 244
$
631
$
577
$
346
$
1,097
$
129
$
3,747
$
81
$
6,852
\n \n
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
\n
(1)
As at October 31, 2024, we had total contractual commitments of $137 million to purchase premises and equipment (October 31, 2023 \u2013 $120 million).
\n
(2)
Includes investment properties with a cost of $186 million (October 31, 2023 \u2013 $nil) which are subject to operating leases and carried at cost less accumulated
\n
amortization. The fair value, determined by a combination of internal investment professionals and external independent property appraisers with the relevant
\n
professional qualifications and experience, is $188 million (October 31, 2023 \u2013 $nil).
\n
Lease payments
\n
Total lease payments for the year ended October 31, 2024 were $1,440 million
,
of which $708 million or 49% relates to variable
\n
payments and $732 million or 51% relates to fixed payments. Total lease payments for the year ended October 31, 2023 were
\n
$1,326 million
,
of which $655 million or 49% relates to variable payments and $671 million or 51% relates to fixed payments.
\n
Total variable lease payments not included in the measurement of lease liabilities were $697 million for the year ended
\nOctober 31, 2024 (October 31, 2023 \u2013 $647 million).", "dimensions": { "concept": "ifrs-full:DisclosureOfPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00661": { "value": "\n \n
For the year ended October 31, 2024
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
(2)
Cost
Balance at beginning of period
$ 140
$
1,251
$
1,283
$
835
$
3,007
$
108
$
5,893
$
317
$ 12,834
Additions
103
77
21
11
50
522
526
2
1,312
Acquisition through business
combination
\u2013
\u2013
\u2013
13
59
\u2013
226
\u2013
298
Transfers from work in process
\u2013
5
240
132
102
(479)
\u2013
\u2013
\u2013
Disposals
\u2013
(6)
(140)
(82)
(29)
\u2013
(165)
\u2013
(422)
Foreign exchange translation
1
2
10
3
19
\u2013
61
\u2013
96
Other
\u2013
(4)
(3)
(12)
(39)
(22)
(109)
\u2013
(189)
Balance at end of period
$ 244
$
1,325
$
1,411
$
900
$
3,169
$
129
$
6,432
$
319
$ 13,929
Accumulated depreciation
Balance at beginning of period
$
\u2013
$
646
$
723
$
550
$
1,863
$
\u2013
$
2,149
$
154
$
6,085
Depreciation
\u2013
59
249
73
279
\u2013
620
84
1,364
Disposals
\u2013
(6)
(140)
(82)
(25)
\u2013
(54)
\u2013
(307)
Foreign exchange translation
\u2013
1
8
2
7
\u2013
21
\u2013
39
Other
\u2013
(6)
(6)
11
(52)
\u2013
(51)
\u2013
(104)
Balance at end of period
$
\u2013
$
694
$
834
$
554
$
2,072
$
\u2013
$
2,685
$
238
$
7,077
Net carrying amount at end of
period
$ 244
$
631
$
577
$
346
$
1,097
$
129
$
3,747
$
81
$
6,852
\n \n
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
", "dimensions": { "concept": "ifrs-full:DisclosureOfDepreciationAndAmortisationExpenseExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00662": { "value": "Lease payments
Total lease payments for the year ended October 31, 2024 were $1,440 million
,
of which $708 million or 49% relates to variable
\n
payments and $732 million or 51% relates to fixed payments. Total lease payments for the year ended October 31, 2023 were
\n
$1,326 million
,
of which $655 million or 49% relates to variable payments and $671 million or 51% relates to fixed payments.
\n
Total variable lease payments not included in the measurement of lease liabilities were $697 million for the year ended
October 31, 2024 (October 31, 2023 \u2013 $647 million).", "dimensions": { "concept": "ifrs-full:DisclosureOfLeasesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00663": { "value": "Note 11
Goodwill and other intangible assets
\n
Goodwill
\n\n \n
For the year ended October 31, 2024
U.S. Wealth
Personal
Canadian
Management
International
(Millions of
Banking \u2013
Caribbean
Commercial
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Canada
Banking
Banking
Management
Management
City National)
Management
Services
Insurance
Markets
Total
Balance at beginning
of period
$
1,851
$
1,791
$
793
$
593
$
2,016
$
3,080
$
1,124
$
29
$
112
$ 1,205
$ 12,594
Acquisitions
3,159
\u2013
3,022
283
72
\u2013
\u2013
\u2013
\u2013
\u2013
6,536
Dispositions
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Currency translations
and other
(16)
7
\u2013
1
76
11
74
\u2013
\u2013
3
156
Balance at end
of period
$
4,994
$
1,798
$
3,815
$
877
$
2,164
$
3,091
$
1,198
$
29
$
112
$ 1,208
$ 19,286
\n\n \n
For the year ended October 31, 2023
U.S. Wealth
Personal
Canadian
Management
International
(Millions of
Banking \u2013
Caribbean
Commercial
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Canada
(1)
Banking
Banking
(1)
Management
Management
City National)
Management
Services
Insurance
Markets
Total
Balance at beginning
of period
$
1,802
$
1,759
$
772
$
589
$
1,928
$
3,027
$
1,042
$
59
$
112
$ 1,187
$ 12,277
Acquisitions
49
\u2013
21
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
70
Dispositions
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
(30)
\u2013
\u2013
(30)
Currency translations
and other
\u2013
32
\u2013
4
88
53
82
\u2013
\u2013
18
277
Balance at end
of period
$
1,851
$
1,791
$
793
$
593
$
2,016
$
3,080
$
1,124
$
29
$
112
$ 1,205
$ 12,594
\n
(1)
Amounts have been revised from those previously presented to conform to our new basis of segment presentation. Refer to Note 26 for further details of our business
\n
segments.
Effective the fourth quarter of 2024, the Personal & Commercial Banking segment became two standalone business segments:
\n
Personal Banking and Commercial Banking. As a result, the previous Canadian Banking CGU became two CGUs: Personal Banking \u2013
\n
Canada and Commercial Banking. Canadian Banking goodwill was allocated to these new CGUs. Comparative results have been
\n
revised to conform to our new basis of segment presentation. Refer to Note 26 for further details of our business segments.
\n
We perform our annual impairment test by comparing the carrying amount of each CGU to its recoverable amount. The
\n
recoverable amount of a CGU is represented by its VIU, except in circumstances where the carrying amount of a CGU exceeds its
\n
VIU. In such cases, the greater of the CGU\u2019s FVLCD and its VIU is the recoverable amount. Our annual impairment test is
\n
performed as at August 1.
\n
In our 2024 and 2023 annual impairment tests, the recoverable amount of our Caribbean Banking CGU was based on its
\n
FVLCD and the recoverable amounts of all other CGUs tested were based on their VIU.
\n
Value in use
\n
We calculate VIU using a five-year discounted cash flow method, with the exception of our International Wealth Management
\n
CGU where cash flow projections covering a seven-year period were used, which more closely aligns with the strategic growth
\n
plan resulting from the acquisition of RBC Brewin Dolphin. Future cash flows are based on financial plans agreed by
\n
management, estimated based on forecast results, business initiatives, capital required to support future cash flows and returns
\n
to shareholders. Key drivers of future cash flows include net interest margins and average interest-earning assets. The values
\n
assigned to these drivers over the forecast period are based on past experience, external and internal economic forecasts, and
\n
management\u2019s expectations of the impact of economic conditions on our financial results. Beyond the initial cash flow projection
\n
period, cash flows are assumed to increase at a constant rate using a nominal long-term growth rate (terminal growth rate).
\n
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
\n
operates. The discount rates used to determine the present value of each CGU\u2019s projected future cash flows are based on the
\n
bank-wide cost of capital, adjusted for the risks to which each CGU is exposed. CGU-specific risks include: country risk, business/
\n
operational risk, geographic risk (including political risk, devaluation risk, and government regulation), currency risk, and price
\n
risk (including product pricing risk and inflation).
\n
The estimation of VIU involves significant judgment in the determination of inputs to the discounted cash flow model and is
\n
most sensitive to changes in future cash flows, discount rates and terminal growth rates applied to cash flows beyond the
\n
forecast period. The sensitivity of the VIU to key inputs and assumptions used was tested by recalculating the recoverable
\n
amount using reasonably possible changes to those parameters. As at August 1, 2024, no reasonably possible change in an
\n
individual key input or assumption, as described, would result in a CGU\u2019s carrying amount exceeding its recoverable amount
\n
based on VIU.
\n
The terminal growth rates and pre-tax discount rates used in our discounted cash flow models are summarized below.
\n\n \n
As at
August 1, 2024
August 1, 2023
Terminal
Terminal
Discount
growth
Discount
growth
rate
(1)
rate
rate
(1)
rate
Group of cash generating units
Personal Banking \u2013 Canada
(2)
11.7%
3.0%
11.7%
3.0%
Caribbean Banking
13.7
3.5
12.9
3.5
Commercial Banking
(2)
11.7
3.0
11.7
3.0
Canadian Wealth Management
12.5
3.0
12.5
3.0
Global Asset Management
12.4
3.0
12.5
3.0
U.S. Wealth Management (including City National)
12.6
3.0
12.5
3.0
International Wealth Management
12.3
3.0
12.5
3.0
Investor Services
12.5
3.0
12.4
3.0
Insurance
12.5
3.0
12.4
3.0
Capital Markets
12.7
3.0
12.7
3.0
\n
(1)
Pre-tax discount rates are determined implicitly based on post-tax discount rates.
\n
(2)
Represent assumptions relating to the previous Canadian Banking CGU, which became the Personal Banking \u2013 Canada and Commercial Banking CGUs effective the
\n
fourth quarter of 2024.
\n
Fair value less costs of disposal \u2013 Caribbean Banking
\n
We calculated FVLCD using a discounted cash flow method that projects future cash flows over a 5-year period. Cash flows are
\n
based on management forecasts, adjusted to approximate the considerations of a prospective third-party buyer. Cash flows
\n
beyond the initial 5-year period are assumed to increase at a constant rate using a nominal long-term growth rate. Future cash
\n
flows, terminal growth rates, and discount rates are based on the same factors noted above. This fair value measurement is
\n
categorized as level 3 in the fair value hierarchy as certain significant inputs are not observable.
\n
The estimation of FVLCD involves significant judgment in the determination of inputs to the discounted cash flow model and
\n
is most sensitive to changes in future cash flows, discount rates and terminal growth rates applied to cash flows beyond the
\n
forecast period. The sensitivity of the FVLCD to key inputs and assumptions was tested by recalculating the recoverable amount
\n
using reasonably possible changes to those parameters. As at August 1, 2024, no reasonably possible change in an individual key
\n
input or assumption, as described, would result in the CGU\u2019s carrying amount exceeding its recoverable amount.
Other intangible assets
\n\n \n
For the year ended October 31, 2024
Internally
Core
Customer
generated
Other
deposit
list and
In process
(Millions of Canadian dollars)
software
software
intangibles
relationships
(1)
software
Total
Gross carrying amount
Balance at beginning of period
$
5,595
$
1,097
$
1,658
$
2,456
$
1,527
$
12,333
Additions
31
4
\u2013
9
1,090
1,134
Acquisition through business combination
\u2013
\u2013
1,972
370
\u2013
2,342
Transfers
1,204
42
\u2013
\u2013
(1,246)
\u2013
Dispositions
(1,204)
(67)
\u2013
(9)
(1)
(1,281)
Impairment losses
(37)
(18)
\u2013
\u2013
(30)
(85)
Currency translations
32
17
7
115
3
174
Other changes
(47)
(1)
\u2013
\u2013
14
(34)
Balance at end of period
$
5,574
$
1,074
$
3,637
$
2,941
$
1,357
$
14,583
Accumulated amortization
Balance at beginning of period
$
(3,596)
$
(658)
$
(1,330)
$
(846)
$
\u2013
$
(6,430)
Amortization charge for the year
(986)
(102)
(325)
(136)
\u2013
(1,549)
Dispositions
1,204
66
\u2013
7
\u2013
1,277
Impairment losses
12
5
\u2013
\u2013
\u2013
17
Currency translations
(21)
(7)
(8)
(31)
\u2013
(67)
Other changes
\u2013
(33)
\u2013
\u2013
\u2013
(33)
Balance at end of period
$
(3,387)
$
(729)
$
(1,663)
$
(1,006)
$
\u2013
$
(6,785)
Net balance at end of period
$
2,187
$
345
$
1,974
$
1,935
$
1,357
$
7,798
\n\n \n
For the year ended October 31, 2023 (Restated \u2013 Note 2)
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
$
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
(38)
(115)
Balance at end of period
$
5,595
$
1,097
$
1,658
$
2,456
$
1,527
$
12,333
Accumulated amortization
Balance at beginning of period
$
(3,031)
$
(612)
$
(1,146)
$
(749)
$
\u2013
$
(5,538)
Amortization charge for the year
(993)
(146)
(160)
(172)
\u2013
(1,471)
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
(22)
(44)
\u2013
(6)
\u2013
(72)
Balance at end of period
$
(3,596)
$
(658)
$
(1,330)
$
(846)
$
\u2013
$
(6,430)
Net balance at end of period
$
1,999
$
439
$
328
$
1,610
$
1,527
$
5,903
\n
(1)
Includes $259 million of mutual fund management contracts with indefinite useful lives in the Global Asset Management CGU acquired in the HSBC Canada transaction.", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00664": { "value": "Goodwill \n \n
For the year ended October 31, 2024
U.S. Wealth
Personal
Canadian
Management
International
(Millions of
Banking \u2013
Caribbean
Commercial
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Canada
Banking
Banking
Management
Management
City National)
Management
Services
Insurance
Markets
Total
Balance at beginning
of period
$
1,851
$
1,791
$
793
$
593
$
2,016
$
3,080
$
1,124
$
29
$
112
$ 1,205
$ 12,594
Acquisitions
3,159
\u2013
3,022
283
72
\u2013
\u2013
\u2013
\u2013
\u2013
6,536
Dispositions
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
Currency translations
and other
(16)
7
\u2013
1
76
11
74
\u2013
\u2013
3
156
Balance at end
of period
$
4,994
$
1,798
$
3,815
$
877
$
2,164
$
3,091
$
1,198
$
29
$
112
$ 1,208
$ 19,286
\n\n \n
For the year ended October 31, 2023
U.S. Wealth
Personal
Canadian
Management
International
(Millions of
Banking \u2013
Caribbean
Commercial
Wealth
Global Asset
(including
Wealth
Investor
Capital
Canadian dollars)
Canada
(1)
Banking
Banking
(1)
Management
Management
City National)
Management
Services
Insurance
Markets
Total
Balance at beginning
of period
$
1,802
$
1,759
$
772
$
589
$
1,928
$
3,027
$
1,042
$
59
$
112
$ 1,187
$ 12,277
Acquisitions
49
\u2013
21
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
70
Dispositions
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
\u2013
(30)
\u2013
\u2013
(30)
Currency translations
and other
\u2013
32
\u2013
4
88
53
82
\u2013
\u2013
18
277
Balance at end
of period
$
1,851
$
1,791
$
793
$
593
$
2,016
$
3,080
$
1,124
$
29
$
112
$ 1,205
$ 12,594
\n
(1)
Amounts have been revised from those previously presented to conform to our new basis of segment presentation. Refer to Note 26 for further details of our business
\n
segments.
\n
Effective the fourth quarter of 2024, the Personal & Commercial Banking segment became two standalone business segments:
\n
Personal Banking and Commercial Banking. As a result, the previous Canadian Banking CGU became two CGUs: Personal Banking \u2013
\n
Canada and Commercial Banking. Canadian Banking goodwill was allocated to these new CGUs. Comparative results have been
\n
revised to conform to our new basis of segment presentation. Refer to Note 26 for further details of our business segments.
\n
We perform our annual impairment test by comparing the carrying amount of each CGU to its recoverable amount. The
\n
recoverable amount of a CGU is represented by its VIU, except in circumstances where the carrying amount of a CGU exceeds its
\n
VIU. In such cases, the greater of the CGU\u2019s FVLCD and its VIU is the recoverable amount. Our annual impairment test is
\n
performed as at August 1.
\n
In our 2024 and 2023 annual impairment tests, the recoverable amount of our Caribbean Banking CGU was based on its
\n
FVLCD and the recoverable amounts of all other CGUs tested were based on their VIU.
\n
Value in use
\n
We calculate VIU using a five-year discounted cash flow method, with the exception of our International Wealth Management
\n
CGU where cash flow projections covering a seven-year period were used, which more closely aligns with the strategic growth
\n
plan resulting from the acquisition of RBC Brewin Dolphin. Future cash flows are based on financial plans agreed by
\n
management, estimated based on forecast results, business initiatives, capital required to support future cash flows and returns
\n
to shareholders. Key drivers of future cash flows include net interest margins and average interest-earning assets. The values
\n
assigned to these drivers over the forecast period are based on past experience, external and internal economic forecasts, and
\n
management\u2019s expectations of the impact of economic conditions on our financial results. Beyond the initial cash flow projection
\n
period, cash flows are assumed to increase at a constant rate using a nominal long-term growth rate (terminal growth rate).
\n
Terminal growth rates are based on the long-term steady state growth expectations in the countries within which the CGU
\n
operates. The discount rates used to determine the present value of each CGU\u2019s projected future cash flows are based on the
\n
bank-wide cost of capital, adjusted for the risks to which each CGU is exposed. CGU-specific risks include: country risk, business/
\n
operational risk, geographic risk (including political risk, devaluation risk, and government regulation), currency risk, and price
\n
risk (including product pricing risk and inflation).
\n
The estimation of VIU involves significant judgment in the determination of inputs to the discounted cash flow model and is
\n
most sensitive to changes in future cash flows, discount rates and terminal growth rates applied to cash flows beyond the
\n
forecast period. The sensitivity of the VIU to key inputs and assumptions used was tested by recalculating the recoverable
\n
amount using reasonably possible changes to those parameters. As at August 1, 2024, no reasonably possible change in an
\n
individual key input or assumption, as described, would result in a CGU\u2019s carrying amount exceeding its recoverable amount
\n
based on VIU.
\n
The terminal growth rates and pre-tax discount rates used in our discounted cash flow models are summarized below.
\n\n \n
As at
August 1, 2024
August 1, 2023
Terminal
Terminal
Discount
growth
Discount
growth
rate
(1)
rate
rate
(1)
rate
Group of cash generating units
Personal Banking \u2013 Canada
(2)
11.7%
3.0%
11.7%
3.0%
Caribbean Banking
13.7
3.5
12.9
3.5
Commercial Banking
(2)
11.7
3.0
11.7
3.0
Canadian Wealth Management
12.5
3.0
12.5
3.0
Global Asset Management
12.4
3.0
12.5
3.0
U.S. Wealth Management (including City National)
12.6
3.0
12.5
3.0
International Wealth Management
12.3
3.0
12.5
3.0
Investor Services
12.5
3.0
12.4
3.0
Insurance
12.5
3.0
12.4
3.0
Capital Markets
12.7
3.0
12.7
3.0
\n
(1)
Pre-tax discount rates are determined implicitly based on post-tax discount rates.
\n
(2)
Represent assumptions relating to the previous Canadian Banking CGU, which became the Personal Banking \u2013 Canada and Commercial Banking CGUs effective the
\n
fourth quarter of 2024.
\n
Fair value less costs of disposal \u2013 Caribbean Banking
\n
We calculated FVLCD using a discounted cash flow method that projects future cash flows over a 5-year period. Cash flows are
\n
based on management forecasts, adjusted to approximate the considerations of a prospective third-party buyer. Cash flows
\n
beyond the initial 5-year period are assumed to increase at a constant rate using a nominal long-term growth rate. Future cash
\n
flows, terminal growth rates, and discount rates are based on the same factors noted above. This fair value measurement is
\n
categorized as level 3 in the fair value hierarchy as certain significant inputs are not observable.
\n
The estimation of FVLCD involves significant judgment in the determination of inputs to the discounted cash flow model and
\n
is most sensitive to changes in future cash flows, discount rates and terminal growth rates applied to cash flows beyond the
\n
forecast period. The sensitivity of the FVLCD to key inputs and assumptions was tested by recalculating the recoverable amount
\n
using reasonably possible changes to those parameters. As at August 1, 2024, no reasonably possible change in an individual key
\ninput or assumption, as described, would result in the CGU\u2019s carrying amount exceeding its recoverable amount.", "dimensions": { "concept": "ifrs-full:DisclosureOfGoodwillExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00665": { "value": "Other intangible assets \n \n
For the year ended October 31, 2024
Internally
Core
Customer
generated
Other
deposit
list and
In process
(Millions of Canadian dollars)
software
software
intangibles
relationships
(1)
software
Total
Gross carrying amount
Balance at beginning of period
$
5,595
$
1,097
$
1,658
$
2,456
$
1,527
$
12,333
Additions
31
4
\u2013
9
1,090
1,134
Acquisition through business combination
\u2013
\u2013
1,972
370
\u2013
2,342
Transfers
1,204
42
\u2013
\u2013
(1,246)
\u2013
Dispositions
(1,204)
(67)
\u2013
(9)
(1)
(1,281)
Impairment losses
(37)
(18)
\u2013
\u2013
(30)
(85)
Currency translations
32
17
7
115
3
174
Other changes
(47)
(1)
\u2013
\u2013
14
(34)
Balance at end of period
$
5,574
$
1,074
$
3,637
$
2,941
$
1,357
$
14,583
Accumulated amortization
Balance at beginning of period
$
(3,596)
$
(658)
$
(1,330)
$
(846)
$
\u2013
$
(6,430)
Amortization charge for the year
(986)
(102)
(325)
(136)
\u2013
(1,549)
Dispositions
1,204
66
\u2013
7
\u2013
1,277
Impairment losses
12
5
\u2013
\u2013
\u2013
17
Currency translations
(21)
(7)
(8)
(31)
\u2013
(67)
Other changes
\u2013
(33)
\u2013
\u2013
\u2013
(33)
Balance at end of period
$
(3,387)
$
(729)
$
(1,663)
$
(1,006)
$
\u2013
$
(6,785)
Net balance at end of period
$
2,187
$
345
$
1,974
$
1,935
$
1,357
$
7,798
\n\n \n
For the year ended October 31, 2023 (Restated \u2013 Note 2)
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
$
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
(38)
(115)
Balance at end of period
$
5,595
$
1,097
$
1,658
$
2,456
$
1,527
$
12,333
Accumulated amortization
Balance at beginning of period
$
(3,031)
$
(612)
$
(1,146)
$
(749)
$
\u2013
$
(5,538)
Amortization charge for the year
(993)
(146)
(160)
(172)
\u2013
(1,471)
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
(22)
(44)
\u2013
(6)
\u2013
(72)
Balance at end of period
$
(3,596)
$
(658)
$
(1,330)
$
(846)
$
\u2013
$
(6,430)
Net balance at end of period
$
1,999
$
439
$
328
$
1,610
$
1,527
$
5,903
\n
(1)
Includes $259 million of mutual fund management contracts with indefinite useful lives in the Global Asset Management CGU acquired in the HSBC Canada transaction.", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00666": { "value": "Note 12
Joint ventures and associated companies
\n
We do not have any joint ventures or associated companies that are individually material to our financial results. The following
\n
table summarizes the carrying value of our interests in joint ventures and associated companies accounted for under the equity
\n
method as well as our share of the income of those entities.
\n\n \n
Joint ventures
Associated companies
As at and for the year ended
October 31
October 31
October 31
October 31
(Millions of Canadian dollars)
2024
2023
2024
2023
Carrying amount
$
542
$
215
$
293
$
286
Share of:
Net income
(1)
$
64
$
18
$
(41)
$
5
\n
(1)
Excludes impairment losses recognized on our interests in joint ventures and associated companies. During the year ended October 31, 2024, we recognized impairment
\n
losses of $38 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
\nManagement segment (October 31, 2023 \u2013 $242 million).", "dimensions": { "concept": "ifrs-full:DisclosureOfJointVenturesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00667": { "value": "Note 12
Joint ventures and associated companies
\n
We do not have any joint ventures or associated companies that are individually material to our financial results. The following
\n
table summarizes the carrying value of our interests in joint ventures and associated companies accounted for under the equity
\n
method as well as our share of the income of those entities.
\n\n \n
Joint ventures
Associated companies
As at and for the year ended
October 31
October 31
October 31
October 31
(Millions of Canadian dollars)
2024
2023
2024
2023
Carrying amount
$
542
$
215
$
293
$
286
Share of:
Net income
(1)
$
64
$
18
$
(41)
$
5
\n
(1)
Excludes impairment losses recognized on our interests in joint ventures and associated companies. During the year ended October 31, 2024, we recognized impairment
\n
losses of $38 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
\nManagement segment (October 31, 2023 \u2013 $242 million).", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInAssociatesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00668": { "value": "Note 13
Other assets
\n\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts receivable and prepaids
$
4,389
$
4,299
Accrued interest receivable
7,904
7,774
Cash collateral
20,475
20,104
Commodity trading receivables
9,834
5,979
Deferred income tax asset
4,328
3,116
Employee benefit assets
3,630
2,826
Held-for-sale assets
\u2013
2,562
Insurance-related assets
Insurance contract assets
588
681
Reinsurance contracts held assets
1,758
1,582
Segregated fund net assets (Note 15)
3,378
2,708
Collateral loans and other
517
529
Investments in joint ventures and associates
835
501
Margin deposits
11,108
8,849
Precious metals
6,018
2,753
Receivable from brokers, dealers and clients
3,343
2,834
Taxes receivable
7,418
8,908
Other
6,632
5,366
$
92,155
$
81,371
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00669": { "value": "Note 13
Other assets
\n\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts receivable and prepaids
$
4,389
$
4,299
Accrued interest receivable
7,904
7,774
Cash collateral
20,475
20,104
Commodity trading receivables
9,834
5,979
Deferred income tax asset
4,328
3,116
Employee benefit assets
3,630
2,826
Held-for-sale assets
\u2013
2,562
Insurance-related assets
Insurance contract assets
588
681
Reinsurance contracts held assets
1,758
1,582
Segregated fund net assets (Note 15)
3,378
2,708
Collateral loans and other
517
529
Investments in joint ventures and associates
835
501
Margin deposits
11,108
8,849
Precious metals
6,018
2,753
Receivable from brokers, dealers and clients
3,343
2,834
Taxes receivable
7,418
8,908
Other
6,632
5,366
$
92,155
$
81,371
", "dimensions": { "concept": "ifrs-full:DisclosureOfTradeAndOtherReceivablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00670": { "value": "\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts receivable and prepaids
$
4,389
$
4,299
Accrued interest receivable
7,904
7,774
Cash collateral
20,475
20,104
Commodity trading receivables
9,834
5,979
Deferred income tax asset
4,328
3,116
Employee benefit assets
3,630
2,826
Held-for-sale assets
\u2013
2,562
Insurance-related assets
Insurance contract assets
588
681
Reinsurance contracts held assets
1,758
1,582
Segregated fund net assets (Note 15)
3,378
2,708
Collateral loans and other
517
529
Investments in joint ventures and associates
835
501
Margin deposits
11,108
8,849
Precious metals
6,018
2,753
Receivable from brokers, dealers and clients
3,343
2,834
Taxes receivable
7,418
8,908
Other
6,632
5,366
$
92,155
$
81,371
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherCurrentAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00671": { "value": "\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts receivable and prepaids
$
4,389
$
4,299
Accrued interest receivable
7,904
7,774
Cash collateral
20,475
20,104
Commodity trading receivables
9,834
5,979
Deferred income tax asset
4,328
3,116
Employee benefit assets
3,630
2,826
Held-for-sale assets
\u2013
2,562
Insurance-related assets
Insurance contract assets
588
681
Reinsurance contracts held assets
1,758
1,582
Segregated fund net assets (Note 15)
3,378
2,708
Collateral loans and other
517
529
Investments in joint ventures and associates
835
501
Margin deposits
11,108
8,849
Precious metals
6,018
2,753
Receivable from brokers, dealers and clients
3,343
2,834
Taxes receivable
7,418
8,908
Other
6,632
5,366
$
92,155
$
81,371
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherNoncurrentAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00672": { "value": "\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts receivable and prepaids
$
4,389
$
4,299
Accrued interest receivable
7,904
7,774
Cash collateral
20,475
20,104
Commodity trading receivables
9,834
5,979
Deferred income tax asset
4,328
3,116
Employee benefit assets
3,630
2,826
Held-for-sale assets
\u2013
2,562
Insurance-related assets
Insurance contract assets
588
681
Reinsurance contracts held assets
1,758
1,582
Segregated fund net assets (Note 15)
3,378
2,708
Collateral loans and other
517
529
Investments in joint ventures and associates
835
501
Margin deposits
11,108
8,849
Precious metals
6,018
2,753
Receivable from brokers, dealers and clients
3,343
2,834
Taxes receivable
7,418
8,908
Other
6,632
5,366
$
92,155
$
81,371
", "dimensions": { "concept": "ifrs-full:DisclosureOfTaxReceivablesAndPayablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00673": { "value": "Note 14
Deposits
\n\n \n
As at
October 31, 2024
October 31, 2023
(Millions of Canadian dollars)
Demand
(1)
Notice
(2)
Term
(3)
Total
Demand
(1)
Notice
(2)
Term
(3)
Total
Personal
$
205,714
$ 62,845
$ 253,580
$
522,139
$
186,530
$
57,614
$ 197,802
$
441,946
Business and government
369,943
20,157
449,570
839,670
316,200
19,056
409,819
745,075
Bank
9,675
641
37,406
47,722
7,996
769
35,901
44,666
$
585,332
$ 83,643
$ 740,556
$ 1,409,531
$
510,726
$
77,439
$ 643,522
$ 1,231,687
Non-interest-bearing
(4)
Canada
$
144,712
$
7,164
$
203
$
152,079
$
132,994
$
6,107
$
168
$
139,269
United States
38,520
\u2013
\u2013
38,520
40,646
\u2013
\u2013
40,646
Europe
(5)
11
\u2013
\u2013
11
17
\u2013
\u2013
17
Other International
7,758
\u2013
\u2013
7,758
7,265
\u2013
\u2013
7,265
Interest-bearing
(4)
Canada
355,221
14,468
594,066
963,755
302,746
14,641
493,347
810,734
United States
28,389
61,087
75,933
165,409
16,210
55,895
78,837
150,942
Europe
(5)
5,013
851
53,295
59,159
5,353
726
51,812
57,891
Other International
5,708
73
17,059
22,840
5,495
70
19,358
24,923
$
585,332
$ 83,643
$ 740,556
$ 1,409,531
$
510,726
$
77,439
$ 643,522
$ 1,231,687
\n
(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.
\n
(2)
Notice deposits are deposits for which we can legally require notice of withdrawal. These deposits are primarily savings accounts.
\n
(3)
Term deposits are deposits payable on a fixed date, and include term deposits, guaranteed investment certificates and similar instruments.
\n
(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, 2024, deposits
\n
denominated in U.S. dollars, British pounds, Euro and other foreign currencies were $511 billion, $34 billion, $53 billion and $29 billion, respectively (October 31, 2023 \u2013
\n
$445 billion, $34 billion, $49 billion and $32 billion, respectively).
\n
(5)
Europe includes the United Kingdom and the Channel Islands.
Contractual maturities of term deposits
(1)
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Within 1 year:
less than 3 months
$
207,698
$
182,373
3 to 6 months
94,585
69,868
6 to 12 months
173,603
151,079
1 to 2 years
79,777
76,232
2 to 3 years
61,175
49,965
3 to 4 years
45,767
36,774
4 to 5 years
20,692
36,506
Over 5 years
57,259
40,725
$
740,556
$
643,522
\n
(1)
The aggregate amount of term deposits in denominations of one hundred thousand dollars or more is $670 billion (October 31, 2023: $586 billion).
\n
Average deposit balances and average rates of interest
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
Average
Average
Average
Average
(Millions of Canadian dollars, except for percentage amounts)
balances
rates
balances
rates
Canada
$ 1,035,064
3.57%
$
913,669
3.02%
United States
191,257
3.33
196,490
2.74
Europe
58,693
5.26
70,426
4.22
Other International
32,016
2.48
31,035
2.26
$ 1,317,030
3.59%
$
1,211,620
3.03%
", "dimensions": { "concept": "ifrs-full:DisclosureOfDepositsFromBanksExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00674": { "value": "Note 15
Insurance and reinsurance
\n
Our insurance contracts issued include life, health, travel, annuity and segregated fund insurance products provided to
\n
individuals and businesses across Canada. Outside Canada, we have reinsurance and retrocession contracts issued with respect
\n
to longevity reinsurance, life retrocession and reinsurance for creditor life, disability and critical illness. Reinsurance contracts
\n
issued are presented within insurance contract balances on the Consolidated Balance Sheets.
\n
In the normal course of business, we also enter into reinsurance contracts held to reinsure risks to other insurance and
\n
reinsurance companies in order to lower our risk profile, limit loss exposure to large risks, and provide additional capacity for
\n
future growth. The reinsurance contracts held do not relieve our obligations from the direct insurance contracts issued. We
\n
evaluate the financial condition of the reinsurers and monitor our concentrations of credit risks to minimize our exposure to
\n
losses from reinsurer insolvency. The carrying amounts of reinsurance contract held assets as disclosed in Note 13 represents
\n
our maximum exposure to credit risk at the reporting date.
\n
The insurance and reinsurance contracts are presented on a portfolio basis such that portfolios of contracts that are in an
\n
asset position are presented separately from those that are in a liability position.
Insurance service and insurance investment results
\n
The following table provides the composition of Insurance service result and Insurance investment result for insurance contracts
\n
issued and reinsurance contracts held.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
(1)
Insurance revenue
Amounts recognized for contracts using the GMM and VFA:
Relating to changes in liabilities for remaining coverage:
Expected incurred claims and other insurance services expenses
$
2,970
$
2,688
Release of risk adjustment for non-financial risk and other
191
179
CSM recognized for services provided
255
303
Recovery of insurance acquisition cash flows
81
78
3,497
3,248
Amounts recognized for contracts using the PAA
1,576
1,422
5,073
4,670
Insurance service expense
(2)
Incurred claims and other expenses
(3,901)
(3,522)
Losses on onerous contracts and reversals of such losses (future service)
(246)
(154)
Adjustments to liability for incurred claims (past service)
(2)
5
Amortization of insurance acquisition cash flows
(81)
(78)
(4,230)
(3,749)
Net income (expense) from reinsurance contracts held
(66)
(218)
Insurance service result
$
777
$
703
Net investment income
(3)
$
3,259
$
565
Insurance finance income (expense)
Interest accreted
(126)
(135)
Effect of changes in discount rates and other financial assumptions
(1,754)
259
Effect of changes in fulfilment cash flows at current rates when the corresponding effect through
CSM is at locked-in rates
(412)
(258)
Changes in fair value of underlying items for contracts using the VFA
(746)
(107)
Other
(93)
(180)
(3,131)
(421)
Reinsurance finance income (expense)
166
12
Insurance investment result
$
294
$
156
Insurance service and insurance investment results
$
1,071
$
859
\n
(1)
The 2023 amounts may not be fully comparable to the current period as we were not managing our asset and liability portfolios under IFRS 17 and Net investment income
\n
was not restated for the reclassifications of certain eligible financial assets. Refer to Note 2 for further details.
\n
(2)
Includes Insurance service expense of $948 million (October 31, 2023 \u2013 $840 million) relating to insurance contracts measured using the PAA.
\n
(3)
Refer to Note 3 for amounts of interest, dividend and net gains (losses) from FVTPL financial instruments relating to the Insurance segment.
Insurance contracts by remaining coverage and incurred claims
\n
The following table shows the changes in net liabilities for insurance contracts for remaining coverage and incurred claims for short
\n
duration insurance contracts measured using the PAA and long duration insurance contracts measured using the GMM and VFA.
\n\n \n
As at or for the year ended
October 31, 2024
October 31, 2023
Liabilities for
Liabilities for
Liabilities for
Liabilities for
remaining
incurred
remaining
incurred
(Millions of Canadian dollars)
coverage
(1)
claims
(2)
Total
coverage
(1)
claims
(2)
Total
Balance at beginning of period:
Insurance contract assets
$
1,531
$
(850)
$
681
$
1,191
$
(704)
$
487
Insurance contract liabilities
(17,858)
(1,168)
(19,026)
(17,227)
(999)
(18,226)
Net insurance contract liabilities
$
(16,327)
$
(2,018)
$ (18,345)
$
(16,036)
$
(1,703)
$ (17,739)
Insurance revenue
$
5,073
$
\u2013
$
5,073
$
4,670
$
\u2013
$
4,670
Insurance service expense
(358)
(3,872)
(4,230)
(250)
(3,499)
(3,749)
Insurance finance income (expense)
(2,974)
(157)
(3,131)
(388)
(33)
(421)
Investment components
705
(705)
\u2013
660
(660)
\u2013
Cash flows:
Premiums received
(5,940)
\u2013
(5,940)
(5,739)
\u2013
(5,739)
Claims and other insurance service
expenses paid
\u2013
4,388
4,388
\u2013
4,196
4,196
Insurance acquisition cash flows
and other
417
\u2013
417
378
\u2013
378
Total cash flows
$
(5,523)
$
4,388
$
(1,135)
$
(5,361)
$
4,196
$
(1,165)
Other movements
343
(218)
125
378
(319)
59
Balance at end of period:
Insurance contract assets
$
1,805
$
(1,217)
$
588
$
1,531
$
(850)
$
681
Insurance contract liabilities
(20,866)
(1,365)
(22,231)
(17,858)
(1,168)
(19,026)
Net insurance contract liabilities
$
(19,061)
$
(2,582)
$ (21,643)
$
(16,327)
$
(2,018)
$ (18,345)
\n
(1)
The ending liabilities for remaining coverage include loss component amounts of $366 million (October 31, 2023 \u2013 $122 million).
\n
(2)
The ending liabilities for incurred claims are primarily attributable to insurance contracts measured under the PAA.
\n
Insurance contracts by measurement components using the GMM or VFA
\n
The following table shows the changes in the measurement components of net liabilities for insurance contracts measured using
\n
the GMM and VFA by estimates of present value of future cash flows, risk adjustment for non-financial risk and CSM.
\n\n \n
As at or for the year ended
October 31, 2024
October 31, 2023
Estimates of
Risk
Estimates of
Risk
present value
adjustment
present value
adjustment
of future
for non-
of future
for non-
(Millions of Canadian dollars)
cash flows
financial risk
CSM
(1)
Total
cash flows
financial risk
CSM
(1)
Total
Balance at beginning of
period:
Insurance contract assets
$
1,591
$
(544)
$
(565)
$
482
$
1,370
$
(508)
$
(428)
$
434
Insurance contract
liabilities
(14,079)
(1,759)
(2,195)
(18,033)
(13,446)
(1,726)
(2,312)
(17,484)
Net insurance contract
liabilities
$
(12,488)
$
(2,303)
$
(2,760)
$
(17,551)
$
(12,076)
$
(2,234)
$
(2,740)
$ (17,050)
Insurance service result
$
33
$
13
$
176
$
222
$
92
$
30
$
217
$
339
Insurance finance expense
(income)
(2,504)
(324)
(128)
(2,956)
127
(55)
(312)
(240)
Cash flows:
Premiums received
(4,443)
\u2013
\u2013
(4,443)
(4,128)
\u2013
\u2013
(4,128)
Claims and other
insurance service
expenses paid
3,487
\u2013
\u2013
3,487
3,084
\u2013
\u2013
3,084
Insurance acquisition
cash flows and other
373
\u2013
\u2013
373
367
\u2013
\u2013
367
Total cash flows
$
(583)
$
\u2013
$
\u2013
$
(583)
$
(677)
$
\u2013
$
\u2013
$
(677)
Other movements
91
60
(79)
72
46
(44)
75
77
Balance at end of period:
Insurance contract assets
$
1,824
$
(568)
$
(719)
$
537
$
1,591
$
(544)
$
(565)
$
482
Insurance contract
liabilities
(2), (3)
(17,275)
(1,986)
(2,072)
(21,333)
(14,079)
(1,759)
(2,195)
(18,033)
Net insurance contract
liabilities
$
(15,451)
$
(2,554)
$
(2,791)
$
(20,796)
$
(12,488)
$
(2,303)
$
(2,760)
$ (17,551)
\n
(1)
The ending balance for CSM includes $2.6 billion (October 31, 2023 \u2013 $2.7 billion) relating to groups of insurance contracts initially recognized at transition date using the
\n
fair value approach. For the year ended October 31, 2024, CSM from contracts initially recognized was $89 million (October 31, 2023 \u2013 $109 million).
\n
(2)
Includes segregated fund insurance contract liabilities of $3,375 million (October 31, 2023 \u2013 $2,632 million) measured using the VFA. The fair value of the underlying items
\n
for segregated fund insurance contracts amount to $3,378 million (October 31, 2023 \u2013 $2,708 million), which are substantially investments in mutual funds.
\n
(3)
Certain comparative amounts have been revised from those previously presented.
Expected recognition of contractual service margin
\n
The following table presents the expected timing of CSM amortization into Non-interest income \u2013 Insurance service result
\n
applicable for insurance contracts issued and reinsurance contracts held measured using the GMM and VFA.
\n\n \n
As at
October 31, 2024
October 31, 2023
(Millions of Canadian
Within 1
1 to 5
5 to 10
Within 1
1 to 5
5 to 10
dollars)
year
years
years
Thereafter
Total
year
years
years
Thereafter
Total
Insurance contracts
issued
$
(243)
$
(894)
$
(705)
$
(949)
$
(2,791)
$
(245)
$
(1,011)
$
(655)
$
(849)
$
(2,760)
Reinsurance
contracts held
66
208
163
217
654
89
192
232
291
804
Total
$
(177)
$
(686)
$
(542)
$
(732)
$
(2,137)
$
(156)
$
(819)
$
(423)
$
(558)
$
(1,956)
\n
Insurance risk
\n
Insurance risk is the risk of loss due to actual experience emerging differently than that we assumed at the time of underwriting.
\n
Our main insurance risks include morbidity, mortality, longevity, policyholder behaviour (lapse) and travel risk. We developed an
\n
insurance risk management framework that is designed to identify, assess, manage, mitigate and report the insurance risks
\n
associated with our insurance businesses. In addition, we are subject to expense risk, which is the exposure to the variability in
\n
future expenses that are expected to be incurred in servicing insurance contracts. Our insurance risks are managed through the
\n
implementation of robust policies and controls over product design, pricing, underwriting and claim adjudication as well as
\n
reinsurance arrangements. Regular reviews are conducted on valuation models, experience studies for key actuarial
\n
assumptions, exposure concentration, retention limits, and expense budgets.
\n
Market risk
\n
We are exposed to market risk, which is the risk that the carrying value or future cash flows of insurance and reinsurance
\n
contract balances or financial assets fluctuate because of changes or volatility in market prices. Market risk includes equity,
\n
interest rate and spread, foreign currency and inflation risks. Our exposure to market risk is managed through our asset/liability
\n
management activities, developed to achieve long-term investment returns in excess of our obligations under insurance
\n
contracts.
\n
Methods and assumptions
\n
The measurement of insurance and reinsurance contract balances requires various estimates and assumptions. The following
\n
summarizes the significant estimates and assumptions used which should be read in conjunction with the accounting policies for
\n
insurance and reinsurance contracts disclosed in Note 2.
\n
Estimates of future cash flows
\n
The significant non-financial assumptions used to determine the estimates of future cash flows for insurance and reinsurance
\n
contract balances are as follows:
\n
\u2022
Mortality, longevity and morbidity
\u2013 Mortality estimates for life insurance contracts are based on standard industry insured
\n
mortality tables, adjusted where appropriate to reflect our own experience. Longevity estimates for annuity insurance
\n
contracts are developed based on industry longevity experience for pensioners, adjusted where appropriate to reflect our
\n
own experience. Morbidity assumptions are made with respect to the rates of claim incidence and claim termination for
\n
health insurance contracts and are based on a combination of industry and our own experience.
\n
\u2022
Policyholder behaviour
\u2013 Under certain policies, the policyholder has a contractual right to change benefits and premiums,
\n
as well as convert policies to permanent forms of insurance. All policyholders have the right to terminate their policies
\n
through lapse. Lapses represent the termination of policies due to non-payment of premiums. Lapse assumptions are
\n
primarily based on our recent experience adjusted for emerging industry experience where applicable.
\n
\u2022
Expense
\u2013 Directly attributable future expense and directly attributable acquisition expense assumptions are derived from
\n
internal cost studies and established allocation methodologies, with inflation as a financial assumption reflected in the
\n
estimate of future expenses.
\n
Discount rates
\n
Discount rates used to present value future cash flows reflect the time value of money, currency of the cash flows, and the
\n
characteristics of the insurance and reinsurance contracts. Cash flows that vary based on the returns on underlying items are
\n
discounted at rates reflecting that variability. For cash flows that do not vary based on the returns on underlying items, we
\n
predominantly apply the top-down approach in determining the discount rates. Under this approach, the discount rates for the
\n
observable periods are determined using yield curves implied from a reference portfolio of assets adjusted to eliminate factors
\n
(credit and market risk of the financial assets) that are not relevant to the insurance contracts. For unobservable periods, the
\n
discount rates are interpolated using the last observable point and the ultimate discount rate, composed of a risk-free rate and
\n
illiquidity premium. For a selected portfolio, the bottom-up approach is applied in determining the discount rate, which uses a
\n
risk-free rate plus an illiquidity premium to reflect the characteristics of the contracts. Management judgment is required in
\n
estimating the market and credit risk factors and illiquidity premiums in determining the discount rates.
The following table provides the current discount yields relating to the Canadian dollar that are primarily used to present
\n
value cash flows that do not vary based on returns on underlying items for insurance and reinsurance contracts.
\n\n \n
5 year
10 year
20 year
30 year
Ultimate
October 31, 2024
4.2%
5.6%
6.0%
4.2%
4.1%
October 31, 2023
5.6%
6.4%
6.1%
4.8%
4.1%
\n
Risk adjustment
\n
The risk adjustment for non-financial risk represents the compensation that we require for bearing the uncertainty about the
\n
amount and timing of cash flows that arises from non-financial risks as we fulfil the insurance contracts. Non-financial risks are
\n
insurance risks such as mortality, morbidity, and other risks such as lapse and expense. We used a margin approach to set the
\n
risk adjustment by applying a margin to non-financial assumptions and discounting the resulting margin cash flows at the same
\n
discount rates used to present value future cash flows. The risk adjustment for insurance and reinsurance contracts corresponds
\n
to a confidence level of approximately 85% overall as at October 31, 2024 (October 31, 2023 \u2013 85%). The confidence level
\n
represents the probability that the variability in the actual cash flows will be lower than our risk adjustment for non-financial risk.
\n
Sensitivity analysis
\n
The following table demonstrates the effects on net income, total equity and balance sheet CSM of reasonably possible changes
\n
in key market and non-financial assumptions in the measurement of our insurance contracts on a net of reinsurance contracts
\n
held basis, which do not differ materially from the sensitivities on a gross basis. The impact of changing non-financial
\n
assumptions is primarily absorbed in the CSM recorded on the Consolidated Balance Sheets, unless contracts are onerous in
\n
which case the effects are reflected in net income. The effects on net income reflect the impact of changes to market
\n
assumptions and the impact of changes to the CSM that is released to income for the year. The percentage change in each
\n
variable is applied to a range of existing actuarial modelling assumptions to derive the possible impact on net income and total
\n
equity, as well as CSM recorded on the Consolidated Balance Sheets. The analyses are performed where a single assumption is
\n
changed while holding other assumptions constant, which is unlikely to occur in practice. Combining the effects presented in the
\n
table may not reflect the total actual effects of changing multiple assumptions at the same time. Actual results can differ
\n
materially from these estimates.
\n\n \n
As at and for the year ended
October 31, 2024
October 31, 2023
Increase
Increase
(decrease) to
Increase
(decrease) to
Increase
net income and
(decrease) to
net income and
(decrease) to
(Millions of Canadian dollars)
total equity
CSM
total equity
CSM
Market variables:
1% increase in market interest rates
(1)
$
3
$
\u2013
$
(85)
$
\u2013
1% decrease in market interest rates
(1)
(2)
\u2013
104
\u2013
10% increase in equity market values
(2)
\u2013
16
\u2013
14
10% decrease in equity market values
(2)
\u2013
(18)
\u2013
(19)
Non-financial variables:
2% adverse change in life mortality rates
(45)
(17)
(40)
(18)
2% adverse change in annuitant mortality rates
(1)
(151)
(4)
(135)
5% adverse change in morbidity rates
(57)
(179)
(41)
(186)
10% adverse change in lapse rates
(16)
(334)
(7)
(334)
5% increase in expenses
(5)
(52)
(3)
(49)
\n
(1)
Interest rate sensitivities assume a parallel shift of 100 basis points across the entire yield curves as at the reporting date with no change to the ultimate risk-free rate.
\n
The impacts are net of the changes in fair value of financial assets held in respect of insurance activities. The 2023 amounts are not comparable to the current period as
\n
we were not managing our asset and liability portfolios under IFRS 17 and the 2023 amounts were not adjusted to reflect the reclassifications of certain financial assets
\n
that came into effect as of November 1, 2023. See Note 2 for further details.
\n
(2)
Equity market value sensitivities assume a 10% change across all equity markets as at the reporting date reflecting the changes in fair value of the underlying financial
\nassets on the insurance contracts measured using the VFA.", "dimensions": { "concept": "ifrs-full:DisclosureOfInsuranceContractsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00676": { "value": "Note 15
Insurance and reinsurance
\n
Our insurance contracts issued include life, health, travel, annuity and segregated fund insurance products provided to
\n
individuals and businesses across Canada. Outside Canada, we have reinsurance and retrocession contracts issued with respect
\n
to longevity reinsurance, life retrocession and reinsurance for creditor life, disability and critical illness. Reinsurance contracts
\n
issued are presented within insurance contract balances on the Consolidated Balance Sheets.
\n
In the normal course of business, we also enter into reinsurance contracts held to reinsure risks to other insurance and
\n
reinsurance companies in order to lower our risk profile, limit loss exposure to large risks, and provide additional capacity for
\n
future growth. The reinsurance contracts held do not relieve our obligations from the direct insurance contracts issued. We
\n
evaluate the financial condition of the reinsurers and monitor our concentrations of credit risks to minimize our exposure to
\n
losses from reinsurer insolvency. The carrying amounts of reinsurance contract held assets as disclosed in Note 13 represents
\n
our maximum exposure to credit risk at the reporting date.
\n
The insurance and reinsurance contracts are presented on a portfolio basis such that portfolios of contracts that are in an
\n
asset position are presented separately from those that are in a liability position.
\n
Insurance service and insurance investment results
\n
The following table provides the composition of Insurance service result and Insurance investment result for insurance contracts
\n
issued and reinsurance contracts held.
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
(1)
Insurance revenue
Amounts recognized for contracts using the GMM and VFA:
Relating to changes in liabilities for remaining coverage:
Expected incurred claims and other insurance services expenses
$
2,970
$
2,688
Release of risk adjustment for non-financial risk and other
191
179
CSM recognized for services provided
255
303
Recovery of insurance acquisition cash flows
81
78
3,497
3,248
Amounts recognized for contracts using the PAA
1,576
1,422
5,073
4,670
Insurance service expense
(2)
Incurred claims and other expenses
(3,901)
(3,522)
Losses on onerous contracts and reversals of such losses (future service)
(246)
(154)
Adjustments to liability for incurred claims (past service)
(2)
5
Amortization of insurance acquisition cash flows
(81)
(78)
(4,230)
(3,749)
Net income (expense) from reinsurance contracts held
(66)
(218)
Insurance service result
$
777
$
703
Net investment income
(3)
$
3,259
$
565
Insurance finance income (expense)
Interest accreted
(126)
(135)
Effect of changes in discount rates and other financial assumptions
(1,754)
259
Effect of changes in fulfilment cash flows at current rates when the corresponding effect through
CSM is at locked-in rates
(412)
(258)
Changes in fair value of underlying items for contracts using the VFA
(746)
(107)
Other
(93)
(180)
(3,131)
(421)
Reinsurance finance income (expense)
166
12
Insurance investment result
$
294
$
156
Insurance service and insurance investment results
$
1,071
$
859
\n
(1)
The 2023 amounts may not be fully comparable to the current period as we were not managing our asset and liability portfolios under IFRS 17 and Net investment income
\n
was not restated for the reclassifications of certain eligible financial assets. Refer to Note 2 for further details.
\n
(2)
Includes Insurance service expense of $948 million (October 31, 2023 \u2013 $840 million) relating to insurance contracts measured using the PAA.
\n
(3)
Refer to Note 3 for amounts of interest, dividend and net gains (losses) from FVTPL financial instruments relating to the Insurance segment.
Insurance contracts by remaining coverage and incurred claims
\n
The following table shows the changes in net liabilities for insurance contracts for remaining coverage and incurred claims for short
\n
duration insurance contracts measured using the PAA and long duration insurance contracts measured using the GMM and VFA.
\n\n \n
As at or for the year ended
October 31, 2024
October 31, 2023
Liabilities for
Liabilities for
Liabilities for
Liabilities for
remaining
incurred
remaining
incurred
(Millions of Canadian dollars)
coverage
(1)
claims
(2)
Total
coverage
(1)
claims
(2)
Total
Balance at beginning of period:
Insurance contract assets
$
1,531
$
(850)
$
681
$
1,191
$
(704)
$
487
Insurance contract liabilities
(17,858)
(1,168)
(19,026)
(17,227)
(999)
(18,226)
Net insurance contract liabilities
$
(16,327)
$
(2,018)
$ (18,345)
$
(16,036)
$
(1,703)
$ (17,739)
Insurance revenue
$
5,073
$
\u2013
$
5,073
$
4,670
$
\u2013
$
4,670
Insurance service expense
(358)
(3,872)
(4,230)
(250)
(3,499)
(3,749)
Insurance finance income (expense)
(2,974)
(157)
(3,131)
(388)
(33)
(421)
Investment components
705
(705)
\u2013
660
(660)
\u2013
Cash flows:
Premiums received
(5,940)
\u2013
(5,940)
(5,739)
\u2013
(5,739)
Claims and other insurance service
expenses paid
\u2013
4,388
4,388
\u2013
4,196
4,196
Insurance acquisition cash flows
and other
417
\u2013
417
378
\u2013
378
Total cash flows
$
(5,523)
$
4,388
$
(1,135)
$
(5,361)
$
4,196
$
(1,165)
Other movements
343
(218)
125
378
(319)
59
Balance at end of period:
Insurance contract assets
$
1,805
$
(1,217)
$
588
$
1,531
$
(850)
$
681
Insurance contract liabilities
(20,866)
(1,365)
(22,231)
(17,858)
(1,168)
(19,026)
Net insurance contract liabilities
$
(19,061)
$
(2,582)
$ (21,643)
$
(16,327)
$
(2,018)
$ (18,345)
\n
(1)
The ending liabilities for remaining coverage include loss component amounts of $366 million (October 31, 2023 \u2013 $122 million).
\n
(2)
The ending liabilities for incurred claims are primarily attributable to insurance contracts measured under the PAA.
\n
Insurance contracts by measurement components using the GMM or VFA
\n
The following table shows the changes in the measurement components of net liabilities for insurance contracts measured using
\n
the GMM and VFA by estimates of present value of future cash flows, risk adjustment for non-financial risk and CSM.
\n\n \n
As at or for the year ended
October 31, 2024
October 31, 2023
Estimates of
Risk
Estimates of
Risk
present value
adjustment
present value
adjustment
of future
for non-
of future
for non-
(Millions of Canadian dollars)
cash flows
financial risk
CSM
(1)
Total
cash flows
financial risk
CSM
(1)
Total
Balance at beginning of
period:
Insurance contract assets
$
1,591
$
(544)
$
(565)
$
482
$
1,370
$
(508)
$
(428)
$
434
Insurance contract
liabilities
(14,079)
(1,759)
(2,195)
(18,033)
(13,446)
(1,726)
(2,312)
(17,484)
Net insurance contract
liabilities
$
(12,488)
$
(2,303)
$
(2,760)
$
(17,551)
$
(12,076)
$
(2,234)
$
(2,740)
$ (17,050)
Insurance service result
$
33
$
13
$
176
$
222
$
92
$
30
$
217
$
339
Insurance finance expense
(income)
(2,504)
(324)
(128)
(2,956)
127
(55)
(312)
(240)
Cash flows:
Premiums received
(4,443)
\u2013
\u2013
(4,443)
(4,128)
\u2013
\u2013
(4,128)
Claims and other
insurance service
expenses paid
3,487
\u2013
\u2013
3,487
3,084
\u2013
\u2013
3,084
Insurance acquisition
cash flows and other
373
\u2013
\u2013
373
367
\u2013
\u2013
367
Total cash flows
$
(583)
$
\u2013
$
\u2013
$
(583)
$
(677)
$
\u2013
$
\u2013
$
(677)
Other movements
91
60
(79)
72
46
(44)
75
77
Balance at end of period:
Insurance contract assets
$
1,824
$
(568)
$
(719)
$
537
$
1,591
$
(544)
$
(565)
$
482
Insurance contract
liabilities
(2), (3)
(17,275)
(1,986)
(2,072)
(21,333)
(14,079)
(1,759)
(2,195)
(18,033)
Net insurance contract
liabilities
$
(15,451)
$
(2,554)
$
(2,791)
$
(20,796)
$
(12,488)
$
(2,303)
$
(2,760)
$ (17,551)
\n
(1)
The ending balance for CSM includes $2.6 billion (October 31, 2023 \u2013 $2.7 billion) relating to groups of insurance contracts initially recognized at transition date using the
\n
fair value approach. For the year ended October 31, 2024, CSM from contracts initially recognized was $89 million (October 31, 2023 \u2013 $109 million).
\n
(2)
Includes segregated fund insurance contract liabilities of $3,375 million (October 31, 2023 \u2013 $2,632 million) measured using the VFA. The fair value of the underlying items
\n
for segregated fund insurance contracts amount to $3,378 million (October 31, 2023 \u2013 $2,708 million), which are substantially investments in mutual funds.
\n
(3)
Certain comparative amounts have been revised from those previously presented.
\n
Expected recognition of contractual service margin
\n
The following table presents the expected timing of CSM amortization into Non-interest income \u2013 Insurance service result
\n
applicable for insurance contracts issued and reinsurance contracts held measured using the GMM and VFA.
\n\n \n
As at
October 31, 2024
October 31, 2023
(Millions of Canadian
Within 1
1 to 5
5 to 10
Within 1
1 to 5
5 to 10
dollars)
year
years
years
Thereafter
Total
year
years
years
Thereafter
Total
Insurance contracts
issued
$
(243)
$
(894)
$
(705)
$
(949)
$
(2,791)
$
(245)
$
(1,011)
$
(655)
$
(849)
$
(2,760)
Reinsurance
contracts held
66
208
163
217
654
89
192
232
291
804
Total
$
(177)
$
(686)
$
(542)
$
(732)
$
(2,137)
$
(156)
$
(819)
$
(423)
$
(558)
$
(1,956)
\n
Insurance risk
\n
Insurance risk is the risk of loss due to actual experience emerging differently than that we assumed at the time of underwriting.
\n
Our main insurance risks include morbidity, mortality, longevity, policyholder behaviour (lapse) and travel risk. We developed an
\n
insurance risk management framework that is designed to identify, assess, manage, mitigate and report the insurance risks
\n
associated with our insurance businesses. In addition, we are subject to expense risk, which is the exposure to the variability in
\n
future expenses that are expected to be incurred in servicing insurance contracts. Our insurance risks are managed through the
\n
implementation of robust policies and controls over product design, pricing, underwriting and claim adjudication as well as
\n
reinsurance arrangements. Regular reviews are conducted on valuation models, experience studies for key actuarial
\n
assumptions, exposure concentration, retention limits, and expense budgets.
\n
Market risk
\n
We are exposed to market risk, which is the risk that the carrying value or future cash flows of insurance and reinsurance
\n
contract balances or financial assets fluctuate because of changes or volatility in market prices. Market risk includes equity,
\n
interest rate and spread, foreign currency and inflation risks. Our exposure to market risk is managed through our asset/liability
\n
management activities, developed to achieve long-term investment returns in excess of our obligations under insurance
\n
contracts.
\n
Methods and assumptions
\n
The measurement of insurance and reinsurance contract balances requires various estimates and assumptions. The following
\n
summarizes the significant estimates and assumptions used which should be read in conjunction with the accounting policies for
\n
insurance and reinsurance contracts disclosed in Note 2.
\n
Estimates of future cash flows
\n
The significant non-financial assumptions used to determine the estimates of future cash flows for insurance and reinsurance
\n
contract balances are as follows:
\n
\u2022
Mortality, longevity and morbidity
\u2013 Mortality estimates for life insurance contracts are based on standard industry insured
\n
mortality tables, adjusted where appropriate to reflect our own experience. Longevity estimates for annuity insurance
\n
contracts are developed based on industry longevity experience for pensioners, adjusted where appropriate to reflect our
\n
own experience. Morbidity assumptions are made with respect to the rates of claim incidence and claim termination for
\n
health insurance contracts and are based on a combination of industry and our own experience.
\n
\u2022
Policyholder behaviour
\u2013 Under certain policies, the policyholder has a contractual right to change benefits and premiums,
\n
as well as convert policies to permanent forms of insurance. All policyholders have the right to terminate their policies
\n
through lapse. Lapses represent the termination of policies due to non-payment of premiums. Lapse assumptions are
\n
primarily based on our recent experience adjusted for emerging industry experience where applicable.
\n
\u2022
Expense
\u2013 Directly attributable future expense and directly attributable acquisition expense assumptions are derived from
\n
internal cost studies and established allocation methodologies, with inflation as a financial assumption reflected in the
\n
estimate of future expenses.
\n
Discount rates
\n
Discount rates used to present value future cash flows reflect the time value of money, currency of the cash flows, and the
\n
characteristics of the insurance and reinsurance contracts. Cash flows that vary based on the returns on underlying items are
\n
discounted at rates reflecting that variability. For cash flows that do not vary based on the returns on underlying items, we
\n
predominantly apply the top-down approach in determining the discount rates. Under this approach, the discount rates for the
\n
observable periods are determined using yield curves implied from a reference portfolio of assets adjusted to eliminate factors
\n
(credit and market risk of the financial assets) that are not relevant to the insurance contracts. For unobservable periods, the
\n
discount rates are interpolated using the last observable point and the ultimate discount rate, composed of a risk-free rate and
\n
illiquidity premium. For a selected portfolio, the bottom-up approach is applied in determining the discount rate, which uses a
\n
risk-free rate plus an illiquidity premium to reflect the characteristics of the contracts. Management judgment is required in
\n
estimating the market and credit risk factors and illiquidity premiums in determining the discount rates.
The following table provides the current discount yields relating to the Canadian dollar that are primarily used to present
\n
value cash flows that do not vary based on returns on underlying items for insurance and reinsurance contracts.
\n\n \n
5 year
10 year
20 year
30 year
Ultimate
October 31, 2024
4.2%
5.6%
6.0%
4.2%
4.1%
October 31, 2023
5.6%
6.4%
6.1%
4.8%
4.1%
\n
Risk adjustment
\n
The risk adjustment for non-financial risk represents the compensation that we require for bearing the uncertainty about the
\n
amount and timing of cash flows that arises from non-financial risks as we fulfil the insurance contracts. Non-financial risks are
\n
insurance risks such as mortality, morbidity, and other risks such as lapse and expense. We used a margin approach to set the
\n
risk adjustment by applying a margin to non-financial assumptions and discounting the resulting margin cash flows at the same
\n
discount rates used to present value future cash flows. The risk adjustment for insurance and reinsurance contracts corresponds
\n
to a confidence level of approximately 85% overall as at October 31, 2024 (October 31, 2023 \u2013 85%). The confidence level
\n
represents the probability that the variability in the actual cash flows will be lower than our risk adjustment for non-financial risk.
\n
Sensitivity analysis
\n
The following table demonstrates the effects on net income, total equity and balance sheet CSM of reasonably possible changes
\n
in key market and non-financial assumptions in the measurement of our insurance contracts on a net of reinsurance contracts
\n
held basis, which do not differ materially from the sensitivities on a gross basis. The impact of changing non-financial
\n
assumptions is primarily absorbed in the CSM recorded on the Consolidated Balance Sheets, unless contracts are onerous in
\n
which case the effects are reflected in net income. The effects on net income reflect the impact of changes to market
\n
assumptions and the impact of changes to the CSM that is released to income for the year. The percentage change in each
\n
variable is applied to a range of existing actuarial modelling assumptions to derive the possible impact on net income and total
\n
equity, as well as CSM recorded on the Consolidated Balance Sheets. The analyses are performed where a single assumption is
\n
changed while holding other assumptions constant, which is unlikely to occur in practice. Combining the effects presented in the
\n
table may not reflect the total actual effects of changing multiple assumptions at the same time. Actual results can differ
\n
materially from these estimates.
\n\n \n
As at and for the year ended
October 31, 2024
October 31, 2023
Increase
Increase
(decrease) to
Increase
(decrease) to
Increase
net income and
(decrease) to
net income and
(decrease) to
(Millions of Canadian dollars)
total equity
CSM
total equity
CSM
Market variables:
1% increase in market interest rates
(1)
$
3
$
\u2013
$
(85)
$
\u2013
1% decrease in market interest rates
(1)
(2)
\u2013
104
\u2013
10% increase in equity market values
(2)
\u2013
16
\u2013
14
10% decrease in equity market values
(2)
\u2013
(18)
\u2013
(19)
Non-financial variables:
2% adverse change in life mortality rates
(45)
(17)
(40)
(18)
2% adverse change in annuitant mortality rates
(1)
(151)
(4)
(135)
5% adverse change in morbidity rates
(57)
(179)
(41)
(186)
10% adverse change in lapse rates
(16)
(334)
(7)
(334)
5% increase in expenses
(5)
(52)
(3)
(49)
\n
(1)
Interest rate sensitivities assume a parallel shift of 100 basis points across the entire yield curves as at the reporting date with no change to the ultimate risk-free rate.
\n
The impacts are net of the changes in fair value of financial assets held in respect of insurance activities. The 2023 amounts are not comparable to the current period as
\n
we were not managing our asset and liability portfolios under IFRS 17 and the 2023 amounts were not adjusted to reflect the reclassifications of certain financial assets
\n
that came into effect as of November 1, 2023. See Note 2 for further details.
\n
(2)
Equity market value sensitivities assume a 10% change across all equity markets as at the reporting date reflecting the changes in fair value of the underlying financial
\nassets on the insurance contracts measured using the VFA.", "dimensions": { "concept": "ifrs-full:DisclosureOfReinsuranceExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00677": { "value": "Insurance contracts by remaining coverage and incurred claims
The following table shows the changes in net liabilities for insurance contracts for remaining coverage and incurred claims for short
\n
duration insurance contracts measured using the PAA and long duration insurance contracts measured using the GMM and VFA.
\n\n \n
As at or for the year ended
October 31, 2024
October 31, 2023
Liabilities for
Liabilities for
Liabilities for
Liabilities for
remaining
incurred
remaining
incurred
(Millions of Canadian dollars)
coverage
(1)
claims
(2)
Total
coverage
(1)
claims
(2)
Total
Balance at beginning of period:
Insurance contract assets
$
1,531
$
(850)
$
681
$
1,191
$
(704)
$
487
Insurance contract liabilities
(17,858)
(1,168)
(19,026)
(17,227)
(999)
(18,226)
Net insurance contract liabilities
$
(16,327)
$
(2,018)
$ (18,345)
$
(16,036)
$
(1,703)
$ (17,739)
Insurance revenue
$
5,073
$
\u2013
$
5,073
$
4,670
$
\u2013
$
4,670
Insurance service expense
(358)
(3,872)
(4,230)
(250)
(3,499)
(3,749)
Insurance finance income (expense)
(2,974)
(157)
(3,131)
(388)
(33)
(421)
Investment components
705
(705)
\u2013
660
(660)
\u2013
Cash flows:
Premiums received
(5,940)
\u2013
(5,940)
(5,739)
\u2013
(5,739)
Claims and other insurance service
expenses paid
\u2013
4,388
4,388
\u2013
4,196
4,196
Insurance acquisition cash flows
and other
417
\u2013
417
378
\u2013
378
Total cash flows
$
(5,523)
$
4,388
$
(1,135)
$
(5,361)
$
4,196
$
(1,165)
Other movements
343
(218)
125
378
(319)
59
Balance at end of period:
Insurance contract assets
$
1,805
$
(1,217)
$
588
$
1,531
$
(850)
$
681
Insurance contract liabilities
(20,866)
(1,365)
(22,231)
(17,858)
(1,168)
(19,026)
Net insurance contract liabilities
$
(19,061)
$
(2,582)
$ (21,643)
$
(16,327)
$
(2,018)
$ (18,345)
\n
(1)
The ending liabilities for remaining coverage include loss component amounts of $366 million (October 31, 2023 \u2013 $122 million).
\n
(2)
The ending liabilities for incurred claims are primarily attributable to insurance contracts measured under the PAA.", "dimensions": { "concept": "ifrs-full:DisclosureOfClaimsAndBenefitsPaidExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00675": { "value": "Insurance risk
Insurance risk is the risk of loss due to actual experience emerging differently than that we assumed at the time of underwriting.
\n
Our main insurance risks include morbidity, mortality, longevity, policyholder behaviour (lapse) and travel risk. We developed an
\n
insurance risk management framework that is designed to identify, assess, manage, mitigate and report the insurance risks
\n
associated with our insurance businesses. In addition, we are subject to expense risk, which is the exposure to the variability in
\n
future expenses that are expected to be incurred in servicing insurance contracts. Our insurance risks are managed through the
\n
implementation of robust policies and controls over product design, pricing, underwriting and claim adjudication as well as
\n
reinsurance arrangements. Regular reviews are conducted on valuation models, experience studies for key actuarial
\nassumptions, exposure concentration, retention limits, and expense budgets.", "dimensions": { "concept": "ifrs-full:DisclosureOfInsuranceRiskExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00678": { "value": "Sensitivity analysis
The following table demonstrates the effects on net income, total equity and balance sheet CSM of reasonably possible changes
\n
in key market and non-financial assumptions in the measurement of our insurance contracts on a net of reinsurance contracts
\n
held basis, which do not differ materially from the sensitivities on a gross basis. The impact of changing non-financial
\n
assumptions is primarily absorbed in the CSM recorded on the Consolidated Balance Sheets, unless contracts are onerous in
\n
which case the effects are reflected in net income. The effects on net income reflect the impact of changes to market
\n
assumptions and the impact of changes to the CSM that is released to income for the year. The percentage change in each
\n
variable is applied to a range of existing actuarial modelling assumptions to derive the possible impact on net income and total
\n
equity, as well as CSM recorded on the Consolidated Balance Sheets. The analyses are performed where a single assumption is
\n
changed while holding other assumptions constant, which is unlikely to occur in practice. Combining the effects presented in the
\n
table may not reflect the total actual effects of changing multiple assumptions at the same time. Actual results can differ
\n
materially from these estimates.
\n\n \n
As at and for the year ended
October 31, 2024
October 31, 2023
Increase
Increase
(decrease) to
Increase
(decrease) to
Increase
net income and
(decrease) to
net income and
(decrease) to
(Millions of Canadian dollars)
total equity
CSM
total equity
CSM
Market variables:
1% increase in market interest rates
(1)
$
3
$
\u2013
$
(85)
$
\u2013
1% decrease in market interest rates
(1)
(2)
\u2013
104
\u2013
10% increase in equity market values
(2)
\u2013
16
\u2013
14
10% decrease in equity market values
(2)
\u2013
(18)
\u2013
(19)
Non-financial variables:
2% adverse change in life mortality rates
(45)
(17)
(40)
(18)
2% adverse change in annuitant mortality rates
(1)
(151)
(4)
(135)
5% adverse change in morbidity rates
(57)
(179)
(41)
(186)
10% adverse change in lapse rates
(16)
(334)
(7)
(334)
5% increase in expenses
(5)
(52)
(3)
(49)
\n
(1)
Interest rate sensitivities assume a parallel shift of 100 basis points across the entire yield curves as at the reporting date with no change to the ultimate risk-free rate.
\n
The impacts are net of the changes in fair value of financial assets held in respect of insurance activities. The 2023 amounts are not comparable to the current period as
\n
we were not managing our asset and liability portfolios under IFRS 17 and the 2023 amounts were not adjusted to reflect the reclassifications of certain financial assets
\n
that came into effect as of November 1, 2023. See Note 2 for further details.
\n
(2)
Equity market value sensitivities assume a 10% change across all equity markets as at the reporting date reflecting the changes in fair value of the underlying financial
assets on the insurance contracts measured using the VFA.", "dimensions": { "concept": "ifrs-full:DisclosureOfSensitivityAnalysisForActuarialAssumptionsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00679": { "value": "Note 16
Employee benefits \u2013 Pension and other post-employment benefits
\n
Plan characteristics
\n
We sponsor a number of programs that provide pension and post-employment benefits to eligible employees. The majority of
\n
beneficiaries of the pension plans are located in Canada and other beneficiaries of the pension plans are primarily located in the
\n
U.S., the U.K. and the Caribbean. The pension arrangements including investment, plan benefits and funding decisions are
\n
governed by local pension committees or trustees, who are legally segregated from the Bank, or management. Significant plan
\n
changes require the approval of the Board of Directors.
\n
Our defined benefit pension plans provide pension benefits based on years of service, contributions and average earnings at
\n
retirement. Our primary defined benefit pension plans are closed to new members. New employees are generally eligible to join
\n
defined contribution pension plans. The specific features of these plans vary by location. We also provide supplemental non-
\n
registered (non-qualified) pension plans for certain executives and senior management that are typically unfunded or partially
\n
funded.
\n
Our defined contribution pension plans provide pension benefits based on accumulated employee and Bank contributions.
\n
The Bank contributions are based on a percentage of an employee\u2019s annual earnings and a portion of the Bank contribution may
\n
be dependent on the amount being contributed by the employee and their years of service.
\n
Our primary other post-employment benefit plans provide health, dental, disability and life insurance coverage and cover a
\n
number of current and retired employees who are mainly located in Canada. These plans are unfunded unless required by
\n
legislation.
\n
We measure our benefit obligations and pension assets as at October 31 each year. All plans are valued using the projected
\n
unit-credit method. We fund our registered defined benefit pension plans in accordance with actuarially determined amounts
\n
required to satisfy employee benefit obligations under current pension regulations. For our principal pension plan, the most
\n
recent funding actuarial valuation was completed on January 1, 2023, and the next valuation is required no later than
\n
January 1, 2026.
\n
For the year ended October 31, 2024, total contributions to our pension plans (defined benefit and defined contribution
\n
plans) and other post-employment benefit plans were $455 million and $91 million (October 31, 2023 \u2013 $346 million and
\n
$80 million), respectively. For 2025, total contributions to our pension plans and other post-employment benefit plans are
\n
expected to be $508 million and $93 million, respectively.
\n
Risks
\n
By their design, the defined benefit pension and other post-employment benefit plans expose the Bank to various risks such as
\n
investment performance, reductions in discount rates used to value the obligations, increased longevity of plan members, future
\n
inflation levels impacting future salary increases as well as future increases in healthcare costs. These risks will reduce over time
\n
due to the membership closure of our primary defined benefit pension plans and migration to defined contribution pension plans.
\n
The following table presents the financial position related to all of our material pension and other post-employment benefit plans
\n
worldwide, including executive retirement arrangements.
\n\n \n
As at
October 31, 2024
October 31, 2023
Other post-
Other post-
Defined benefit
employment
Defined benefit
employment
(Millions of Canadian dollars)
pension plans
benefit plans
pension plans
benefit plans
Canada
Fair value of plan assets
$
16,421
$
\u2013
$
13,704
$
\u2013
Present value of defined benefit obligation
13,142
1,563
11,142
1,348
Net surplus (deficit)
$
3,279
$
(1,563)
$
2,562
$
(1,348)
International
Fair value of plan assets
$
741
$
\u2013
$
664
$
\u2013
Present value of defined benefit obligation
638
76
585
69
Net surplus (deficit)
$
103
$
(76)
$
79
$
(69)
Total
Fair value of plan assets
$
17,162
$
\u2013
$
14,368
$
\u2013
Present value of defined benefit obligation
13,780
1,639
11,727
1,417
Total net surplus (deficit)
$
3,382
$
(1,639)
$
2,641
$
(1,417)
Effect of asset ceiling
(37)
\u2013
(9)
\u2013
Total net surplus (deficit), net of effect of asset ceiling
$
3,345
$
(1,639)
$
2,632
$
(1,417)
Amounts recognized in our Consolidated Balance
Sheets
Employee benefit assets
$
3,630
$
\u2013
$
2,826
$
\u2013
Employee benefit liabilities
(285)
(1,639)
(194)
(1,417)
Total net surplus (deficit), net of effect of asset ceiling
$
3,345
$
(1,639)
$
2,632
$
(1,417)
The following table presents an analysis of the movement in the financial position related to all of our material pension and other
\n
post-employment benefit plans worldwide, including executive retirement arrangements.
\n\n \n
As at or for the year ended
October 31, 2024
October 31, 2023
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
$
14,368
$
\u2013
$
15,026
$
\u2013
Interest income
818
\u2013
786
\u2013
Remeasurements
Return on plan assets (excluding interest income)
1,991
\u2013
(895)
\u2013
Change in foreign currency exchange rate
46
\u2013
55
\u2013
Contributions \u2013 Employer
29
91
23
80
Contributions \u2013 Plan participant
42
24
44
22
Payments
(675)
(115)
(645)
(102)
Business combinations/Disposals
561
\u2013
(17)
\u2013
Other
(18)
\u2013
(9)
\u2013
Fair value of plan assets at end of period
$
17,162
$
\u2013
$
14,368
$
\u2013
Benefit obligation at beginning of period
$
11,727
$
1,417
$
11,893
$
1,462
Current service costs
188
34
195
33
Past service costs
\u2013
(6)
\u2013
(2)
Interest expense
668
81
624
77
Remeasurements
Actuarial losses (gains) from demographic
assumptions
(167)
(60)
(2)
(24)
Actuarial losses (gains) from financial
assumptions
1,337
132
(480)
(46)
Actuarial losses (gains) from experience
adjustments
2
8
70
(1)
Change in foreign currency exchange rate
37
3
45
1
Contributions \u2013 Plan participant
42
24
44
22
Payments
(675)
(115)
(645)
(102)
Business combinations/Disposals
621
121
(17)
(3)
Benefit obligation at end of period
$
13,780
$
1,639
$
11,727
$
1,417
Unfunded obligation
$
83
$
1,639
$
18
$
1,417
Wholly or partly funded obligation
13,697
\u2013
11,709
\u2013
Total benefit obligation
$
13,780
$
1,639
$
11,727
$
1,417
\n
(1)
For pension plans with funding deficits, the benefit obligations and fair value of plan assets as at October 31, 2024 were $929 million and $665 million, respectively
\n
(October 31, 2023 \u2013 $300 million and $106 million, respectively).
\n
Pension and other post-employment benefit expense
\n
The following table presents the composition of our pension and other post-employment benefit expense related to our material
\n
pension and other post-employment benefit plans worldwide.
\n\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)
2024
2023
2024
2023
Current service costs
$
188
$
195
$
34
$
33
Past service costs
\u2013
\u2013
(6)
(2)
Net interest expense (income)
(150)
(162)
81
77
Remeasurements of other long-term benefits
\u2013
\u2013
3
(1)
Administrative expense
18
9
\u2013
\u2013
Defined benefit pension expense
$
56
$
42
$
112
$
107
Defined contribution pension expense
426
323
\u2013
\u2013
$
482
$
365
$
112
$
107
\n
Service costs for the year ended October 31, 2024 totalled $186 million (October 31, 2023 \u2013 $193 million) for pension plans in
\n
Canada and $2 million (October 31, 2023 \u2013 $2 million) for International plans. Net interest expense (income) for the year ended
\n
October 31, 2024 totalled $(145) million (October 31, 2023 \u2013 $(157) million) for pension plans in Canada and $(5) million
\n
(October 31, 2023 \u2013 $(5) million) for International plans.
Pension and other post-employment benefit remeasurements
\n
The following table presents the composition of our remeasurements recorded in OCI related to our material pension and other
\n
post-employment benefit plans worldwide.
\n\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)
2024
2023
2024
2023
Actuarial (gains) losses:
Changes in demographic assumptions
$
(167)
$
(2)
$
(50)
$
(27)
Changes in financial assumptions
1,337
(480)
122
(45)
Experience adjustments
2
70
5
2
Return on plan assets (excluding interest based on discount rate)
(1,991)
895
\u2013
\u2013
Change in asset ceiling (excluding interest income)
(4)
1
\u2013
\u2013
$
(823)
$
484
$
77
$
(70)
\n
Remeasurements recorded in OCI for the year ended October 31, 2024 were gains of $818 million (October 31, 2023 \u2013 losses of
\n
$440 million) for pension plans in Canada and gains of $5 million (October 31, 2023 \u2013 losses of $44 million) for International plans.
\n
Investment policy and strategies
\n
Defined benefit pension plan assets are invested prudently in order to meet our longer term pension obligations. The pension
\n
plans\u2019 investment strategy is to hold a diversified mix of investments by asset class and geographic location in order to reduce
\n
investment-specific risk to the funded status while maximizing the expected returns to meet pension obligations. Investment of
\n
the plan\u2019s assets follows an asset/liability framework as investment is conducted with careful consideration of the pension
\n
obligation\u2019s sensitivity to interest rates and credit spreads which are key risk factors impacting the obligation\u2019s value. Factors
\n
taken into consideration in developing our asset mix include but are not limited to the following:
\n
\u2022
the nature of the underlying benefit obligations, including the duration and term profile of the liabilities;
\n
\u2022
the member demographics, including expectations for normal retirements, terminations, and deaths;
\n
\u2022
the financial position of the pension plans;
\n
\u2022
the diversification benefits obtained by the inclusion of multiple asset classes; and
\n
\u2022
expected asset returns, including asset and liability correlations, along with liquidity requirements of the plan.
\n
To implement our asset mix policy, we may invest in debt securities, equity securities and alternative investments. Our holdings
\n
in certain investments, including common shares, debt securities rated lower than BBB and residential and commercial
\n
mortgages, cannot exceed a defined percentage of the market value of our defined benefit pension plan assets. We may use
\n
derivative instruments as either a synthetic investment to more efficiently replicate the performance of an underlying security, or
\n
as a hedge against financial risks within the plan. To manage our credit risk exposure, where derivative instruments are not
\n
centrally cleared, counterparties are required to meet minimum credit ratings and enter into collateral agreements.
\n
Our defined benefit pension plan assets are primarily comprised of debt and equity securities and alternative investments.
\n
Our equity securities generally have unadjusted quoted market prices in an active market (Level 1) and our debt securities
\n
generally have quoted market prices for similar assets in an active market (Level 2). Alternative investments and other includes
\n
cash, hedge funds, and private fund investments including infrastructure equity, real estate, private debt and private equity. In
\n
the case of private fund investments, no quoted market prices are usually available (Level 2 or Level 3). These fund assets are
\n
either valued by an independent valuator or priced using observable market inputs.
\n
During the year ended October 31, 2024, the management of defined benefit pension investments focused on increased
\n
allocation to risk reducing investments and strategies, improving diversification, while striving to maintain expected investment
\n
return. Over time, an increasing allocation to debt securities is being used to reduce asset/liability duration mismatch and hence
\n
variability of the plan\u2019s funded status due to interest rate movement. Longer maturity debt securities, given their price sensitivity
\n
to movements in interest rates, are considered to be a good economic hedge to risk associated with the plan\u2019s liabilities, which
\n
are discounted using predominantly long maturity bond interest rates as inputs.
Asset allocation of defined benefit pension plans
(1), (2)
\n\n \n
As at
October 31, 2024
October 31, 2023
Percentage
Quoted
Percentage
Quoted
of total
in active
of total
in active
(Millions of Canadian dollars, except percentages)
Fair value
plan assets
market
(3)
Fair value
plan assets
market
(3)
Equity securities
Domestic
$
926
5%
100%
$
723
5%
100%
Foreign
2,306
13
100
1,726
12
100
Debt securities
Domestic government bonds
(4)
5,608
33
\u2013
4,343
30
\u2013
Foreign government bonds
145
1
\u2013
128
1
\u2013
Corporate and other bonds
3,788
22
\u2013
3,296
23
\u2013
Alternative investments and other
4,389
26
8
4,152
29
6
$
17,162
100%
21%
$
14,368
100%
19%
\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.
\n
(2)
Represents the total plan assets held in our Canadian and International pension plans.
\n
(3)
If our assessment of whether or not an asset was quoted in an active market was based on direct investments, 25% of our total plan assets would be classified as quoted
\n
in an active market (October 31, 2023 \u2013 22%).
\n
(4)
Amounts are net of securities sold under repurchase agreements.
\n
As at October 31, 2024, the plan assets include 0.4 million (October 31, 2023 \u2013 0.3 million) of our common shares with a fair
\n
value of $66 million (October 31, 2023 \u2013 $37 million) and $74 million (October 31, 2023 \u2013 $62 million) of our debt securities. For the
\n
year ended October 31, 2024, dividends received on our common shares held in the plan assets were $2 million (October 31, 2023 \u2013
\n
$3 million).
\n
Maturity profile
\n
The following table presents the maturity profile of our defined benefit pension plan obligation.
\n
(Millions of Canadian dollars, except participants and years)
\n\n \n
As at October 31, 2024
Canada
International
Total
Number of plan participants
70,000
5,889
75,889
Actual benefit payments 2024
$
638
$
37
$
675
Benefits expected to be paid 2025
715
40
755
Benefits expected to be paid 2026
735
40
775
Benefits expected to be paid 2027
755
40
795
Benefits expected to be paid 2028
777
41
818
Benefits expected to be paid 2029
796
43
839
Benefits expected to be paid 2030-2034
4,202
242
4,444
Weighted average duration of defined benefit payments
13.2 years
14.5 years
13.3 years
\n
Significant assumptions
\n
Our methodologies to determine significant assumptions used in calculating the defined benefit pension and other post-
\n
employment benefit expense are as follows:
\n
Discount rate
\n
For the Canadian pension and other post-employment benefit plans, all future expected benefit payments at each measurement
\n
date are discounted at spot rates from a derived Canadian AA corporate bond yield curve. The derived curve is based on actual
\n
short and mid-maturity corporate AA rates and extrapolated longer term rates. The extrapolated corporate AA rates are derived
\n
from observed corporate A, corporate AA and provincial AA yields. For the International pension and other post-employment
\n
benefit plans, all future expected benefit payments at each measurement date are discounted at spot rates from a local AA
\n
corporate bond yield curve. Spot rates beyond 30 years are set to equal the 30-year spot rate. The discount rate is the equivalent
\n
single rate that produces the same discounted value as that determined using the entire discount curve. This valuation
\n
methodology does not rely on assumptions regarding reinvestment returns.
\n
Rate of increase in future compensation
\n
The assumptions for increases in future compensation are developed separately for each plan, where relevant. Each assumption
\n
is set based on the price inflation assumption and compensation policies in each market, as well as relevant local statutory and
\n
plan-specific requirements.
\n
Healthcare cost trend rates
\n
Healthcare cost calculations are based on both short and long-term trend assumptions established using the plan\u2019s recent
\n
experience as well as market expectations.
Weighted average assumptions to determine benefit obligation
\n\n \n
As at
Defined benefit pension
Other post-employment
plans
benefit plans
October 31
October 31
October 31
October 31
2024
2023
2024
2023
Discount rate
4.8%
5.7%
4.9%
5.8%
Rate of increase in future compensation
3.0%
3.0%
n.a.
n.a.
Healthcare cost trend rates
(1)
\u2013 Medical
n.a.
n.a.
3.5%
3.4%
\u2013 Dental
n.a.
n.a.
3.5%
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
\n
ultimate trend rates.
\n
n.a.
not applicable
\n
Mortality assumptions
\n
Mortality assumptions are significant in measuring our obligations under the defined benefit pension plans. These assumptions
\n
have been set based on country specific statistics. Future longevity improvements have been considered and included where
\n
appropriate. The following table summarizes the mortality assumptions used for material plans.
\n\n \n
As at
October 31, 2024
October 31, 2023
Life expectancy at 65 for a member currently at
Life expectancy at 65 for a member currently at
Age 65
Age 45
Age 65
Age 45
(In years)
Male
Female
Male
Female
Male
Female
Male
Female
Country
Canada
23.2
24.4
24.2
25.3
23.9
24.3
24.8
25.2
United Kingdom
22.1
24.4
23.4
25.7
23.5
25.4
24.7
26.8
\n
Sensitivity analysis
\n
Assumptions adopted can have a significant effect on the value of the obligations for defined benefit pension and other post-
\n
employment benefit plans and are based on historical experience and market inputs. The increase (decrease) in obligation in the
\n
following table has been determined for key assumptions assuming all other assumptions are held constant. In practice, this is
\n
unlikely to occur, as changes in some of the assumptions may be correlated. The following table presents the sensitivity analysis
\n
of key assumptions for 2024.
\n\n \n
Increase (decrease)
in obligation
Other post-
Defined benefit
employment
(Millions of Canadian dollars)
pension plans
benefit plans
Discount rate
Impact of 100 bps increase in discount rate
$
(1,572)
$
(178)
Impact of 100 bps decrease in discount rate
1,941
220
Rate of increase in future compensation
Impact of 50 bps increase in rate of increase in future compensation
35
\u2013
Impact of 50 bps decrease in rate of increase in future compensation
(38)
\u2013
Mortality rate
Impact of an increase in longevity by one additional year
329
22
Healthcare cost trend rate
Impact of 100 bps increase in healthcare cost trend rate
n.a.
49
Impact of 100 bps decrease in healthcare cost trend rate
n.a.
(41)
\n
n.a.
not applicable", "dimensions": { "concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00680": { "value": "Note 17
Other liabilities
\n\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts payable and accrued expenses
$
1,475
$
1,580
Accrued interest payable
13,226
10,936
Cash collateral
19,582
23,365
Commodity liabilities
13,996
11,716
Deferred income
4,149
3,830
Deferred income taxes
542
426
Dividends payable
2,123
1,975
Employee benefit liabilities
1,924
1,611
Held-for-sale liabilities
\u2013
2,560
Insurance-related liabilities
36
194
Lease liabilities
4,673
4,764
Negotiable instruments
1,702
1,684
Payable to brokers, dealers and clients
8,270
8,065
Payroll and related compensation
11,781
9,089
Precious metals certificates
743
775
Provisions
793
644
Short-term borrowings of subsidiaries
\u2013
4,507
Taxes payable
2,398
2,962
Other
7,264
5,339
$
94,677
$
96,022
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00733": { "value": "Note 17
Other liabilities
\n\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts payable and accrued expenses
$
1,475
$
1,580
Accrued interest payable
13,226
10,936
Cash collateral
19,582
23,365
Commodity liabilities
13,996
11,716
Deferred income
4,149
3,830
Deferred income taxes
542
426
Dividends payable
2,123
1,975
Employee benefit liabilities
1,924
1,611
Held-for-sale liabilities
\u2013
2,560
Insurance-related liabilities
36
194
Lease liabilities
4,673
4,764
Negotiable instruments
1,702
1,684
Payable to brokers, dealers and clients
8,270
8,065
Payroll and related compensation
11,781
9,089
Precious metals certificates
743
775
Provisions
793
644
Short-term borrowings of subsidiaries
\u2013
4,507
Taxes payable
2,398
2,962
Other
7,264
5,339
$
94,677
$
96,022
", "dimensions": { "concept": "ifrs-full:DisclosureOfTradeAndOtherPayablesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00734": { "value": "\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts payable and accrued expenses
$
1,475
$
1,580
Accrued interest payable
13,226
10,936
Cash collateral
19,582
23,365
Commodity liabilities
13,996
11,716
Deferred income
4,149
3,830
Deferred income taxes
542
426
Dividends payable
2,123
1,975
Employee benefit liabilities
1,924
1,611
Held-for-sale liabilities
\u2013
2,560
Insurance-related liabilities
36
194
Lease liabilities
4,673
4,764
Negotiable instruments
1,702
1,684
Payable to brokers, dealers and clients
8,270
8,065
Payroll and related compensation
11,781
9,089
Precious metals certificates
743
775
Provisions
793
644
Short-term borrowings of subsidiaries
\u2013
4,507
Taxes payable
2,398
2,962
Other
7,264
5,339
$
94,677
$
96,022
", "dimensions": { "concept": "ifrs-full:DisclosureOfAccruedExpensesAndOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00735": { "value": "\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts payable and accrued expenses
$
1,475
$
1,580
Accrued interest payable
13,226
10,936
Cash collateral
19,582
23,365
Commodity liabilities
13,996
11,716
Deferred income
4,149
3,830
Deferred income taxes
542
426
Dividends payable
2,123
1,975
Employee benefit liabilities
1,924
1,611
Held-for-sale liabilities
\u2013
2,560
Insurance-related liabilities
36
194
Lease liabilities
4,673
4,764
Negotiable instruments
1,702
1,684
Payable to brokers, dealers and clients
8,270
8,065
Payroll and related compensation
11,781
9,089
Precious metals certificates
743
775
Provisions
793
644
Short-term borrowings of subsidiaries
\u2013
4,507
Taxes payable
2,398
2,962
Other
7,264
5,339
$
94,677
$
96,022
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherCurrentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00736": { "value": "\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts payable and accrued expenses
$
1,475
$
1,580
Accrued interest payable
13,226
10,936
Cash collateral
19,582
23,365
Commodity liabilities
13,996
11,716
Deferred income
4,149
3,830
Deferred income taxes
542
426
Dividends payable
2,123
1,975
Employee benefit liabilities
1,924
1,611
Held-for-sale liabilities
\u2013
2,560
Insurance-related liabilities
36
194
Lease liabilities
4,673
4,764
Negotiable instruments
1,702
1,684
Payable to brokers, dealers and clients
8,270
8,065
Payroll and related compensation
11,781
9,089
Precious metals certificates
743
775
Provisions
793
644
Short-term borrowings of subsidiaries
\u2013
4,507
Taxes payable
2,398
2,962
Other
7,264
5,339
$
94,677
$
96,022
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherNoncurrentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00737": { "value": "\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Accounts payable and accrued expenses
$
1,475
$
1,580
Accrued interest payable
13,226
10,936
Cash collateral
19,582
23,365
Commodity liabilities
13,996
11,716
Deferred income
4,149
3,830
Deferred income taxes
542
426
Dividends payable
2,123
1,975
Employee benefit liabilities
1,924
1,611
Held-for-sale liabilities
\u2013
2,560
Insurance-related liabilities
36
194
Lease liabilities
4,673
4,764
Negotiable instruments
1,702
1,684
Payable to brokers, dealers and clients
8,270
8,065
Payroll and related compensation
11,781
9,089
Precious metals certificates
743
775
Provisions
793
644
Short-term borrowings of subsidiaries
\u2013
4,507
Taxes payable
2,398
2,962
Other
7,264
5,339
$
94,677
$
96,022
", "dimensions": { "concept": "ifrs-full:DisclosureOfProvisionsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00738": { "value": "Note 18
Subordinated debentures
\n
The debentures are unsecured obligations and are subordinated in right of payment to the claims of depositors and certain other
\n
creditors. The amounts presented below are net of our own holdings in these debentures, and include the impact of fair value
\n
hedges used for managing interest rate risk.
\n\n \n
(Millions of Canadian dollars, except percentage and foreign currency)
As at
Denominated in
Earliest par value
Interest
foreign currency
October 31
October 31
Maturity
redemption date
rate
(millions)
2024
2023
January 27, 2026
(1)
4.65%
US$
1,500
$
2,026
$
1,939
July 25, 2029
(1), (2)
July 25, 2024
2.74%
\u2013
1,459
December 23, 2029
(1)
December 23, 2024
2.88%
(3)
1,495
1,442
February 1, 2033
(1)
February 1, 2028
5.01%
(4)
1,461
1,418
June 30, 2030
(1)
June 30, 2025
2.09%
(5)
1,219
1,249
November 3, 2031
(1)
November 3, 2026
2.14%
(6)
1,708
1,637
May 3, 2032
(1)
May 3, 2027
2.94%
(7)
955
919
January 28, 2033
(1)
January 28, 2028
1.67%
(8)
935
868
April 3, 2034
(1)
April 3, 2029
5.10%
(9)
2,020
\u2013
August 8, 2034
(1)
August 8, 2029
4.83%
(10)
1,263
\u2013
October 1, 2083
Any interest payment date
(11)
224
224
November 1, 2083
Any interest payment date
(12)
9
\u2013
June 29, 2085
Any interest payment date
(13)
US$
174
241
241
$
13,556
$
11,396
Deferred financing costs
(10)
(10)
$
13,546
$
11,386
\n
(1)
The notes include non-viability contingent capital (NVCC) provisions, necessary for the notes to qualify as Tier 2 regulatory capital under Basel III. NVCC provisions
\n
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
\n
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
\n
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 (subject to
\n
adjustment in certain circumstances), and (ii) the current market price of our common shares based on the volume weighted average trading price of our common
\n
shares on the Toronto Stock Exchange. The number of shares issued is determined by multiplying the par value of the note (including accrued and unpaid interest on
\n
such note) by the multiplier and then dividing the total by the conversion price.
\n
(2)
On July 25, 2024, we redeemed all $1,500 million of our outstanding 2.74% subordinated debentures due July 25, 2029 for 100% of their principal amount plus interest
\n
accrued to, but excluding, the redemption date.
\n
(3)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.89% above the 3-month CDOR, subject to transition to an ABR due to
\n
the interest rate benchmark reform.
\n
(4)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 2.12% above the Daily Compounded CORRA.
\n
(5)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 1.31% above the 3-month CDOR, subject to transition to an ABR due to
\n
the interest rate benchmark reform.
\n
(6)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.61% above the 3-month CDOR, subject to transition to an ABR due to
\n
the interest rate benchmark reform.
\n
(7)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.76% above the 3-month CDOR, subject to transition to an ABR due to
\n
the interest rate benchmark reform.
\n
(8)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 0.55% above the 3-month CDOR, subject to transition to an ABR due to
\n
the interest rate benchmark reform.
\n
(9)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 1.56% above the Daily Compounded CORRA.
\n
(10)
Interest at stated interest rate until earliest par value redemption date, and thereafter at a rate of 1.55% above the Daily Compounded CORRA.
\n
(11)
Interest at a rate of 0.50% plus the average of mid-market quotations for Government of Canada Treasury Bills maturing in or about 30 days from the date of quotation.
\n
(12)
Interest at a rate of 0.75% plus the average of mid-market quotations for Government of Canada Treasury Bills maturing in or about 30 days from the date of quotation.
\n
(13)
Interest at a rate of 0.25% above the U.S. dollar 3-month London Interbank Mean Rate (LIMEAN) under a synthetic methodology, subject to transition to 0.44911% plus
\n
compounded SOFR for interest period commencing December 30, 2024 due to the interest rate benchmark reform. In the event of a reduction of the annual dividend we
\n
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
\n
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.
\n
Maturity schedule
\n
The aggregate maturities of subordinated debentures, based on the maturity dates under the terms of issue, are as follows:
\n\n \n
As at
October 31
(Millions of Canadian dollars)
2024
Within 1 year
$
\u2013
1 to 5 years
2,026
5 to 10 years
11,056
Thereafter
474
$
13,556
", "dimensions": { "concept": "ifrs-full:DisclosureOfSubordinatedLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00739": { "value": "Note 19
Equity
\n
Share capital
\n
Authorized share capital
\n
Preferred \u2013 An unlimited number of First Preferred Shares and Second Preferred Shares without nominal or par value, issuable in
\n
series; provided that the maximum aggregate consideration for all First Preferred Shares outstanding at any time may not exceed
\n
$30 billion, and for all Second Preferred Shares that may be issued may not exceed $5 billion.
\n
Common \u2013 An unlimited number of shares without nominal or par value may be issued.
Outstanding share capital
\n
The following table details our common and preferred shares and other equity instruments outstanding.
\n\n \n
As at and for the year ended
October 31, 2024
October 31, 2023
Number of
Dividends
Number of
Dividends
(Millions of Canadian dollars, except the number
shares
declared
shares
declared
of shares and as otherwise noted)
(thousands)
Amount
per share
(thousands)
Amount
per share
Common shares issued
Balance at beginning of period
1,402,373
$ 19,398
1,385,591
$ 17,318
Issued in connection with share-based
compensation plans
(1)
1,746
168
740
68
Issued in connection with dividend
reinvestment plan
11,850
1,460
16,042
2,012
Purchased for cancellation
(2)
(889)
(13)
\u2013
\u2013
Balance at end of period
1,415,080
$ 21,013
$
5.60
1,402,373
$ 19,398
$
5.34
Treasury \u2013 common shares
Balance at beginning of period
(3)
(1,862)
$
(231)
(2,680)
$
(334)
Purchases
(43,995)
(5,302)
(30,195)
(3,556)
Sales
45,281
5,472
31,013
3,659
Balance at end of period
(3)
(576)
$
(61)
(1,862)
$
(231)
Common shares outstanding
1,414,504
$ 20,952
1,400,511
$ 19,167
Preferred shares and other equity
instruments issued
First preferred
(4)
Non-cumulative, fixed rate
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
Series AZ
(5)
\u2013
\u2013
0.69
20,000
500
0.93
Series BB
(6)
\u2013
\u2013
0.68
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
1.40
14,000
350
1.20
Series BT
750
750
4.20%
750
750
4.20%
Series BU
(7)
750
750
7.408%
\u2013
\u2013
\u2013
Series BW
(8)
600
600
6.698%
\u2013
\u2013
\u2013
Non-cumulative, fixed rate/floating rate
Series C-2
(9)
\u2013
\u2013
US$
\u2013
15
23
US$ 67.50
Other equity instruments
Limited recourse capital notes (LRCNs)
(10)
Series 1
(11)
1,750
1,750
4.50%
1,750
1,750
4.50%
Series 2
(11)
1,250
1,250
4.00%
1,250
1,250
4.00%
Series 3
(11)
1,000
1,000
3.65%
1,000
1,000
3.65%
Series 4
(11)
1,000
1,370
7.50%
\u2013
\u2013
\u2013
69,100
$
9,020
106,765
$
7,323
Treasury \u2013 preferred shares and other
equity instruments
Balance at beginning of period
(3)
(9)
$
(9)
(12)
$
(5)
Purchases
(1,921)
(1,225)
(1,924)
(519)
Sales
1,943
1,245
1,927
515
Balance at end of period
(3)
13
$
11
(9)
$
(9)
Preferred shares and other equity
instruments outstanding
69,113
$
9,031
106,756
$
7,314
\n
(1)
Includes fair value adjustments to stock options of $10 million (October 31, 2023 \u2013 $6 million).
\n
(2)
On June 10, 2024, we announced a normal course issuer bid (NCIB) to purchase up to 30 million of our common shares, commencing on June 12, 2024 and continuing until
\n
June 11, 2025, or such earlier date as we complete the repurchase of all shares permitted under the bid. During the year ended October 31, 2024, under the NCIB we
\n
purchased for cancellation common shares at a total fair value of $140 million (average cost of $157.74 per share), with a book value of $13 million (book value of
\n
$14.83 per share). As at October 31, 2023, we did not have an active NCIB. During the year ended October 31, 2023, we did not purchase for cancellation any common shares.
\n
(3)
Positive amounts represent a short position and negative amounts represent a long position.
\n
(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), Non-Cumulative
\n
5-Year Rate Reset First Preferred Share Series BU (Series BU) and Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BW (Series BW) which were issued at
\n
$1,000 per share, and Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 (Series C-2) which were issued at US$1,000 per share (equivalent to
\n
US$25 per depositary share).
\n
(5)
On May 24, 2024, we redeemed all 20 million of our issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series AZ at a redemption price of
\n
$25.00 per share.
\n
(6)
On August 24, 2024, we redeemed all 20 million of our issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BB at a redemption price of
\n
$25.00 per share.
\n
(7)
On January 25, 2024, we issued 750 thousand Series BU to certain institutional investors, at a price of $1,000 per share, for total gross proceeds of $750 million.
\n
(8)
On July 24, 2024, we issued 600 thousand Series BW to certain institutional investors, at a price of $1,000 per share, for total gross proceeds of $600 million.
\n
(9)
On November 7, 2023, we redeemed all of our issued and outstanding Series C-2 for cash at a redemption price of US$1,000 per share (equivalent to US$25 per depositary
\n
share). Concurrently, we redeemed all 615 thousand Series C-2 depositary shares, each of which represents a one-fortieth interest in a C-2 share.
\n
(10)
Each series of LRCNs (LRCN Series) were issued at a $1,000 per note, with the exception of LRCN Series 4 which were issued at US$1,000 per note. The number of shares represent
\n
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.
\n
(11)
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
\n
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
\n
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); in connection with the
\n
issuance of LRCN Series 4, we issued US$1,000 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BV (Series BV). The Series BQ, BR and BS
\n
preferred shares were issued at a price of $1,000 per share and the Series BV preferred shares were issued at a price of US$1,000 per share. These preferred shares were
\n
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
Current
Earliest
Current
dividend
redemption
Redemption
As at October 31, 2024
annual yield
Premium
per share
(1)
date
(2)
Issue date
price
(2), (3)
Preferred shares
First preferred
Non-cumulative, fixed rate
Series BH
(4)
4.90%
$
.306250
November 24, 2020
June 5, 2015
$
26.00
Series BI
(4)
4.90%
.306250
November 24, 2020
July 22, 2015
26.00
Non-cumulative, 5-Year
Rate Reset
(5)
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)
5.885%
2.38%
.367813
February 24, 2024
November 2, 2018
25.00
Series BT
(4)
4.20%
2.71%
21.000000
January 24, 2027
November 5, 2021
1,000.00
Series BU
(4)
7.408%
3.90%
37.040000
January 25, 2029
January 25, 2024
1,000.00
Series BW
(4)
6.698%
3.40%
33.490000
October 24, 2029
July 24, 2024
1,000.00
Other equity instruments
Limited recourse capital
notes
(6)
Series 1
(7)
4.50%
4.137%
n.a.
October 24, 2025
July 28, 2020
$1,000.00
Series 2
(8)
4.00%
3.617%
n.a.
January 24, 2026
November 2, 2020
1,000.00
Series 3
(9)
3.65%
2.665%
n.a.
October 24, 2026
June 8, 2021
1,000.00
Series 4
(10)
7.50%
2.887%
n.a.
May 2, 2029
April 24, 2024
US$1,000.00
\n
(1)
With the exception of Series BT, BU and BW, non-cumulative preferential dividends of each Series are payable quarterly, as and when declared by the Board of Directors,
\n
on or about the 24th day of February, May, August and November. In the case of Series BT, BU and BW, non-cumulative preferential dividends are payable semi-annually,
\n
as and when declared by the Board of Directors.
\n
(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
\n
of Series 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
\n
thereafter. In the case of Series 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
\n
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
\n
thereafter. In the case of Series BT and BW, these may be redeemed for cash at a price of $1,000 if redeemed during the earliest redemption period of January 24, 2027
\n
to February 24, 2027 and October 24, 2029 to November 24, 2029, respectively, and during the same redemption period every fifth year thereafter. In the case of Series BU,
\n
these may be redeemed for cash at a price of $1,000 if redeemed during the earliest redemption period from January 25, 2029 to February 24, 2029 and during the period
\n
from January 24 to and including February 24 every fifth year thereafter.
\n
(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
\n
price or prices at which, in the opinion of the Board of Directors, such shares are obtainable.
\n
(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
\n
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
\n
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
\n
automatic conversion formula with a multiplier of 1 and with a conversion price based on the greater of: (i) a floor price of $5 (subject to adjustment in certain
\n
circumstances), 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
\n
Exchange. The number of shares issued is determined by dividing the preferred share value by the conversion price.
\n
(5)
The dividend rate will reset on the earliest redemption date or on the last day of the redemption period, as applicable, and every fifth year thereafter at a rate equal to
\n
the 5-year Government of Canada bond yield plus the premium indicated. The holders of Series BD, BF and BO shares have the option to convert their shares into non-
\n
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-
\n
month Government of Canada Treasury Bill rate plus the premium indicated.
\n
(6)
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
\n
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
\n
(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
\n
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)
\n
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
\n
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
\n
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
\n
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
\n
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
\n
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
\n
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
\n
floor price of $5 (subject to adjustment in certain circumstances), and (ii) the current market price of our common shares based on the volume weighted average trading
\n
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
\n
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
\n
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
\n
upon such terms and conditions as we in our absolute discretion may determine, subject to any applicable law restricting the purchase of notes.
\n
(7)
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
\n
Government of Canada Yield plus 4.137% until maturity on November 24, 2080. The interest is paid semi-annually on or about the 24
\n
th
\n
day of May and November. LRCN
\n
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
\n
Series BQ pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(8)
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
\n
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
\n
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
\n
Series BR pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(9)
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
\n
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
\n
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
\n
Series BS pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(10)
LRCN Series 4 bear interest at a fixed rate of 7.5% per annum until May 2, 2029, and thereafter at a rate per annum, reset every fifth year, equal to the U.S. Treasury Rate
\n
plus 2.887% until maturity on May 2, 2084. The interest is paid quarterly on or about the 2nd day of February, May, August and November. LRCN Series 4 is redeemable on
\n
May 2, 2029 and on each 2nd day of February, May, August and November thereafter to the extent we redeem Series BV pursuant to their terms and subject to the consent
\n
of OSFI and requirements of the
Bank Act
(Canada).
\n
n.a.
not applicable
Restrictions on the payment of dividends
\n
We are prohibited by the
Bank Act
(Canada) from declaring any dividends on our preferred or common shares when we are, or
\n
would be placed as a result of the declaration, in contravention of the capital adequacy and liquidity regulations or any
\n
regulatory directives issued under the Act. We may not pay dividends on our common shares at any time unless all dividends to
\n
which preferred shareholders are then entitled have been declared and paid or set apart for payment.
\n
Currently, these limitations do not restrict the payment of dividends on our preferred or common shares.
\n
Dividend reinvestment plan
\n
Our dividend reinvestment plan (DRIP) provides common and preferred shareholders with a means to receive additional
\n
common shares rather than cash dividends. The plan is only open to shareholders residing in Canada or the U.S. The
\n
requirements of our DRIP are satisfied through either open market share purchases or shares issued from treasury. During the
\n
third and fourth quarters of 2024 and the first quarter of the year ended October 31, 2023, the requirements of our DRIP were
\n
satisfied through open market share purchases. During the first and second quarters of 2024 and the second, third and fourth
\n
quarters of the year ended October 31, 2023, the requirements of our DRIP were satisfied through shares issued from treasury at a
\n
discount.
\n
Shares available for future issuances
\n
As at October 31, 2024, 14.6 million common shares are available for future issue relating to our DRIP and potential exercise of
\n
stock options and awards outstanding. In addition, we may issue up to 38.9 million common shares from treasury under the
\nRBC 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00740": { "value": "Share capital
Authorized share capital
\n
Preferred \u2013 An unlimited number of First Preferred Shares and Second Preferred Shares without nominal or par value, issuable in
\n
series; provided that the maximum aggregate consideration for all First Preferred Shares outstanding at any time may not exceed
\n
$30 billion, and for all Second Preferred Shares that may be issued may not exceed $5 billion.
\n
Common \u2013 An unlimited number of shares without nominal or par value may be issued.
Outstanding share capital
\n
The following table details our common and preferred shares and other equity instruments outstanding.
\n\n \n
As at and for the year ended
October 31, 2024
October 31, 2023
Number of
Dividends
Number of
Dividends
(Millions of Canadian dollars, except the number
shares
declared
shares
declared
of shares and as otherwise noted)
(thousands)
Amount
per share
(thousands)
Amount
per share
Common shares issued
Balance at beginning of period
1,402,373
$ 19,398
1,385,591
$ 17,318
Issued in connection with share-based
compensation plans
(1)
1,746
168
740
68
Issued in connection with dividend
reinvestment plan
11,850
1,460
16,042
2,012
Purchased for cancellation
(2)
(889)
(13)
\u2013
\u2013
Balance at end of period
1,415,080
$ 21,013
$
5.60
1,402,373
$ 19,398
$
5.34
Treasury \u2013 common shares
Balance at beginning of period
(3)
(1,862)
$
(231)
(2,680)
$
(334)
Purchases
(43,995)
(5,302)
(30,195)
(3,556)
Sales
45,281
5,472
31,013
3,659
Balance at end of period
(3)
(576)
$
(61)
(1,862)
$
(231)
Common shares outstanding
1,414,504
$ 20,952
1,400,511
$ 19,167
Preferred shares and other equity
instruments issued
First preferred
(4)
Non-cumulative, fixed rate
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
Series AZ
(5)
\u2013
\u2013
0.69
20,000
500
0.93
Series BB
(6)
\u2013
\u2013
0.68
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
1.40
14,000
350
1.20
Series BT
750
750
4.20%
750
750
4.20%
Series BU
(7)
750
750
7.408%
\u2013
\u2013
\u2013
Series BW
(8)
600
600
6.698%
\u2013
\u2013
\u2013
Non-cumulative, fixed rate/floating rate
Series C-2
(9)
\u2013
\u2013
US$
\u2013
15
23
US$ 67.50
Other equity instruments
Limited recourse capital notes (LRCNs)
(10)
Series 1
(11)
1,750
1,750
4.50%
1,750
1,750
4.50%
Series 2
(11)
1,250
1,250
4.00%
1,250
1,250
4.00%
Series 3
(11)
1,000
1,000
3.65%
1,000
1,000
3.65%
Series 4
(11)
1,000
1,370
7.50%
\u2013
\u2013
\u2013
69,100
$
9,020
106,765
$
7,323
Treasury \u2013 preferred shares and other
equity instruments
Balance at beginning of period
(3)
(9)
$
(9)
(12)
$
(5)
Purchases
(1,921)
(1,225)
(1,924)
(519)
Sales
1,943
1,245
1,927
515
Balance at end of period
(3)
13
$
11
(9)
$
(9)
Preferred shares and other equity
instruments outstanding
69,113
$
9,031
106,756
$
7,314
\n
(1)
Includes fair value adjustments to stock options of $10 million (October 31, 2023 \u2013 $6 million).
\n
(2)
On June 10, 2024, we announced a normal course issuer bid (NCIB) to purchase up to 30 million of our common shares, commencing on June 12, 2024 and continuing until
\n
June 11, 2025, or such earlier date as we complete the repurchase of all shares permitted under the bid. During the year ended October 31, 2024, under the NCIB we
\n
purchased for cancellation common shares at a total fair value of $140 million (average cost of $157.74 per share), with a book value of $13 million (book value of
\n
$14.83 per share). As at October 31, 2023, we did not have an active NCIB. During the year ended October 31, 2023, we did not purchase for cancellation any common shares.
\n
(3)
Positive amounts represent a short position and negative amounts represent a long position.
\n
(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), Non-Cumulative
\n
5-Year Rate Reset First Preferred Share Series BU (Series BU) and Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BW (Series BW) which were issued at
\n
$1,000 per share, and Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 (Series C-2) which were issued at US$1,000 per share (equivalent to
\n
US$25 per depositary share).
\n
(5)
On May 24, 2024, we redeemed all 20 million of our issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series AZ at a redemption price of
\n
$25.00 per share.
\n
(6)
On August 24, 2024, we redeemed all 20 million of our issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BB at a redemption price of
\n
$25.00 per share.
\n
(7)
On January 25, 2024, we issued 750 thousand Series BU to certain institutional investors, at a price of $1,000 per share, for total gross proceeds of $750 million.
\n
(8)
On July 24, 2024, we issued 600 thousand Series BW to certain institutional investors, at a price of $1,000 per share, for total gross proceeds of $600 million.
\n
(9)
On November 7, 2023, we redeemed all of our issued and outstanding Series C-2 for cash at a redemption price of US$1,000 per share (equivalent to US$25 per depositary
\n
share). Concurrently, we redeemed all 615 thousand Series C-2 depositary shares, each of which represents a one-fortieth interest in a C-2 share.
\n
(10)
Each series of LRCNs (LRCN Series) were issued at a $1,000 per note, with the exception of LRCN Series 4 which were issued at US$1,000 per note. The number of shares represent
\n
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.
\n
(11)
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
\n
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
\n
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); in connection with the
\n
issuance of LRCN Series 4, we issued US$1,000 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BV (Series BV). The Series BQ, BR and BS
\n
preferred shares were issued at a price of $1,000 per share and the Series BV preferred shares were issued at a price of US$1,000 per share. These preferred shares were
\n
issued to a consolidated trust to be held as trust assets in connection with each respective LRCN Series.
\n
Significant terms and conditions of preferred shares and other equity instruments
\n\n \n
Current
Earliest
Current
dividend
redemption
Redemption
As at October 31, 2024
annual yield
Premium
per share
(1)
date
(2)
Issue date
price
(2), (3)
Preferred shares
First preferred
Non-cumulative, fixed rate
Series BH
(4)
4.90%
$
.306250
November 24, 2020
June 5, 2015
$
26.00
Series BI
(4)
4.90%
.306250
November 24, 2020
July 22, 2015
26.00
Non-cumulative, 5-Year
Rate Reset
(5)
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)
5.885%
2.38%
.367813
February 24, 2024
November 2, 2018
25.00
Series BT
(4)
4.20%
2.71%
21.000000
January 24, 2027
November 5, 2021
1,000.00
Series BU
(4)
7.408%
3.90%
37.040000
January 25, 2029
January 25, 2024
1,000.00
Series BW
(4)
6.698%
3.40%
33.490000
October 24, 2029
July 24, 2024
1,000.00
Other equity instruments
Limited recourse capital
notes
(6)
Series 1
(7)
4.50%
4.137%
n.a.
October 24, 2025
July 28, 2020
$1,000.00
Series 2
(8)
4.00%
3.617%
n.a.
January 24, 2026
November 2, 2020
1,000.00
Series 3
(9)
3.65%
2.665%
n.a.
October 24, 2026
June 8, 2021
1,000.00
Series 4
(10)
7.50%
2.887%
n.a.
May 2, 2029
April 24, 2024
US$1,000.00
\n
(1)
With the exception of Series BT, BU and BW, non-cumulative preferential dividends of each Series are payable quarterly, as and when declared by the Board of Directors,
\n
on or about the 24th day of February, May, August and November. In the case of Series BT, BU and BW, non-cumulative preferential dividends are payable semi-annually,
\n
as and when declared by the Board of Directors.
\n
(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
\n
of Series 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
\n
thereafter. In the case of Series 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
\n
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
\n
thereafter. In the case of Series BT and BW, these may be redeemed for cash at a price of $1,000 if redeemed during the earliest redemption period of January 24, 2027
\n
to February 24, 2027 and October 24, 2029 to November 24, 2029, respectively, and during the same redemption period every fifth year thereafter. In the case of Series BU,
\n
these may be redeemed for cash at a price of $1,000 if redeemed during the earliest redemption period from January 25, 2029 to February 24, 2029 and during the period
\n
from January 24 to and including February 24 every fifth year thereafter.
\n
(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
\n
price or prices at which, in the opinion of the Board of Directors, such shares are obtainable.
\n
(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
\n
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
\n
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
\n
automatic conversion formula with a multiplier of 1 and with a conversion price based on the greater of: (i) a floor price of $5 (subject to adjustment in certain
\n
circumstances), 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
\n
Exchange. The number of shares issued is determined by dividing the preferred share value by the conversion price.
\n
(5)
The dividend rate will reset on the earliest redemption date or on the last day of the redemption period, as applicable, and every fifth year thereafter at a rate equal to
\n
the 5-year Government of Canada bond yield plus the premium indicated. The holders of Series BD, BF and BO shares have the option to convert their shares into non-
\n
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-
\n
month Government of Canada Treasury Bill rate plus the premium indicated.
\n
(6)
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
\n
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
\n
(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
\n
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)
\n
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
\n
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
\n
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
\n
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
\n
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
\n
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
\n
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
\n
floor price of $5 (subject to adjustment in certain circumstances), and (ii) the current market price of our common shares based on the volume weighted average trading
\n
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
\n
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
\n
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
\n
upon such terms and conditions as we in our absolute discretion may determine, subject to any applicable law restricting the purchase of notes.
\n
(7)
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
\n
Government of Canada Yield plus 4.137% until maturity on November 24, 2080. The interest is paid semi-annually on or about the 24
\n
th
\n
day of May and November. LRCN
\n
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
\n
Series BQ pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(8)
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
\n
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
\n
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
\n
Series BR pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(9)
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
\n
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
\n
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
\n
Series BS pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(10)
LRCN Series 4 bear interest at a fixed rate of 7.5% per annum until May 2, 2029, and thereafter at a rate per annum, reset every fifth year, equal to the U.S. Treasury Rate
\n
plus 2.887% until maturity on May 2, 2084. The interest is paid quarterly on or about the 2nd day of February, May, August and November. LRCN Series 4 is redeemable on
\n
May 2, 2029 and on each 2nd day of February, May, August and November thereafter to the extent we redeem Series BV pursuant to their terms and subject to the consent
\n
of OSFI and requirements of the
Bank Act
(Canada).
\n
n.a.
not applicable", "dimensions": { "concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00741": { "value": "\n \n
As at and for the year ended
October 31, 2024
October 31, 2023
Number of
Dividends
Number of
Dividends
(Millions of Canadian dollars, except the number
shares
declared
shares
declared
of shares and as otherwise noted)
(thousands)
Amount
per share
(thousands)
Amount
per share
Common shares issued
Balance at beginning of period
1,402,373
$ 19,398
1,385,591
$ 17,318
Issued in connection with share-based
compensation plans
(1)
1,746
168
740
68
Issued in connection with dividend
reinvestment plan
11,850
1,460
16,042
2,012
Purchased for cancellation
(2)
(889)
(13)
\u2013
\u2013
Balance at end of period
1,415,080
$ 21,013
$
5.60
1,402,373
$ 19,398
$
5.34
Treasury \u2013 common shares
Balance at beginning of period
(3)
(1,862)
$
(231)
(2,680)
$
(334)
Purchases
(43,995)
(5,302)
(30,195)
(3,556)
Sales
45,281
5,472
31,013
3,659
Balance at end of period
(3)
(576)
$
(61)
(1,862)
$
(231)
Common shares outstanding
1,414,504
$ 20,952
1,400,511
$ 19,167
Preferred shares and other equity
instruments issued
First preferred
(4)
Non-cumulative, fixed rate
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
Series AZ
(5)
\u2013
\u2013
0.69
20,000
500
0.93
Series BB
(6)
\u2013
\u2013
0.68
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
1.40
14,000
350
1.20
Series BT
750
750
4.20%
750
750
4.20%
Series BU
(7)
750
750
7.408%
\u2013
\u2013
\u2013
Series BW
(8)
600
600
6.698%
\u2013
\u2013
\u2013
Non-cumulative, fixed rate/floating rate
Series C-2
(9)
\u2013
\u2013
US$
\u2013
15
23
US$ 67.50
Other equity instruments
Limited recourse capital notes (LRCNs)
(10)
Series 1
(11)
1,750
1,750
4.50%
1,750
1,750
4.50%
Series 2
(11)
1,250
1,250
4.00%
1,250
1,250
4.00%
Series 3
(11)
1,000
1,000
3.65%
1,000
1,000
3.65%
Series 4
(11)
1,000
1,370
7.50%
\u2013
\u2013
\u2013
69,100
$
9,020
106,765
$
7,323
Treasury \u2013 preferred shares and other
equity instruments
Balance at beginning of period
(3)
(9)
$
(9)
(12)
$
(5)
Purchases
(1,921)
(1,225)
(1,924)
(519)
Sales
1,943
1,245
1,927
515
Balance at end of period
(3)
13
$
11
(9)
$
(9)
Preferred shares and other equity
instruments outstanding
69,113
$
9,031
106,756
$
7,314
\n
(1)
Includes fair value adjustments to stock options of $10 million (October 31, 2023 \u2013 $6 million).
\n
(2)
On June 10, 2024, we announced a normal course issuer bid (NCIB) to purchase up to 30 million of our common shares, commencing on June 12, 2024 and continuing until
\n
June 11, 2025, or such earlier date as we complete the repurchase of all shares permitted under the bid. During the year ended October 31, 2024, under the NCIB we
\n
purchased for cancellation common shares at a total fair value of $140 million (average cost of $157.74 per share), with a book value of $13 million (book value of
\n
$14.83 per share). As at October 31, 2023, we did not have an active NCIB. During the year ended October 31, 2023, we did not purchase for cancellation any common shares.
\n
(3)
Positive amounts represent a short position and negative amounts represent a long position.
\n
(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), Non-Cumulative
\n
5-Year Rate Reset First Preferred Share Series BU (Series BU) and Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BW (Series BW) which were issued at
\n
$1,000 per share, and Non-Cumulative Fixed Rate/Floating Rate First Preferred Shares Series C-2 (Series C-2) which were issued at US$1,000 per share (equivalent to
\n
US$25 per depositary share).
\n
(5)
On May 24, 2024, we redeemed all 20 million of our issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series AZ at a redemption price of
\n
$25.00 per share.
\n
(6)
On August 24, 2024, we redeemed all 20 million of our issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BB at a redemption price of
\n
$25.00 per share.
\n
(7)
On January 25, 2024, we issued 750 thousand Series BU to certain institutional investors, at a price of $1,000 per share, for total gross proceeds of $750 million.
\n
(8)
On July 24, 2024, we issued 600 thousand Series BW to certain institutional investors, at a price of $1,000 per share, for total gross proceeds of $600 million.
\n
(9)
On November 7, 2023, we redeemed all of our issued and outstanding Series C-2 for cash at a redemption price of US$1,000 per share (equivalent to US$25 per depositary
\n
share). Concurrently, we redeemed all 615 thousand Series C-2 depositary shares, each of which represents a one-fortieth interest in a C-2 share.
\n
(10)
Each series of LRCNs (LRCN Series) were issued at a $1,000 per note, with the exception of LRCN Series 4 which were issued at US$1,000 per note. The number of shares represent
\n
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.
\n
(11)
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
\n
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
\n
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); in connection with the
\n
issuance of LRCN Series 4, we issued US$1,000 million of Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BV (Series BV). The Series BQ, BR and BS
\n
preferred shares were issued at a price of $1,000 per share and the Series BV preferred shares were issued at a price of US$1,000 per share. These preferred shares were
\n
issued to a consolidated trust to be held as trust assets in connection with each respective LRCN Series.
\n
Significant terms and conditions of preferred shares and other equity instruments
\n\n \n
Current
Earliest
Current
dividend
redemption
Redemption
As at October 31, 2024
annual yield
Premium
per share
(1)
date
(2)
Issue date
price
(2), (3)
Preferred shares
First preferred
Non-cumulative, fixed rate
Series BH
(4)
4.90%
$
.306250
November 24, 2020
June 5, 2015
$
26.00
Series BI
(4)
4.90%
.306250
November 24, 2020
July 22, 2015
26.00
Non-cumulative, 5-Year
Rate Reset
(5)
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)
5.885%
2.38%
.367813
February 24, 2024
November 2, 2018
25.00
Series BT
(4)
4.20%
2.71%
21.000000
January 24, 2027
November 5, 2021
1,000.00
Series BU
(4)
7.408%
3.90%
37.040000
January 25, 2029
January 25, 2024
1,000.00
Series BW
(4)
6.698%
3.40%
33.490000
October 24, 2029
July 24, 2024
1,000.00
Other equity instruments
Limited recourse capital
notes
(6)
Series 1
(7)
4.50%
4.137%
n.a.
October 24, 2025
July 28, 2020
$1,000.00
Series 2
(8)
4.00%
3.617%
n.a.
January 24, 2026
November 2, 2020
1,000.00
Series 3
(9)
3.65%
2.665%
n.a.
October 24, 2026
June 8, 2021
1,000.00
Series 4
(10)
7.50%
2.887%
n.a.
May 2, 2029
April 24, 2024
US$1,000.00
\n
(1)
With the exception of Series BT, BU and BW, non-cumulative preferential dividends of each Series are payable quarterly, as and when declared by the Board of Directors,
\n
on or about the 24th day of February, May, August and November. In the case of Series BT, BU and BW, non-cumulative preferential dividends are payable semi-annually,
\n
as and when declared by the Board of Directors.
\n
(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
\n
of Series 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
\n
thereafter. In the case of Series 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
\n
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
\n
thereafter. In the case of Series BT and BW, these may be redeemed for cash at a price of $1,000 if redeemed during the earliest redemption period of January 24, 2027
\n
to February 24, 2027 and October 24, 2029 to November 24, 2029, respectively, and during the same redemption period every fifth year thereafter. In the case of Series BU,
\n
these may be redeemed for cash at a price of $1,000 if redeemed during the earliest redemption period from January 25, 2029 to February 24, 2029 and during the period
\n
from January 24 to and including February 24 every fifth year thereafter.
\n
(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
\n
price or prices at which, in the opinion of the Board of Directors, such shares are obtainable.
\n
(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
\n
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
\n
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
\n
automatic conversion formula with a multiplier of 1 and with a conversion price based on the greater of: (i) a floor price of $5 (subject to adjustment in certain
\n
circumstances), 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
\n
Exchange. The number of shares issued is determined by dividing the preferred share value by the conversion price.
\n
(5)
The dividend rate will reset on the earliest redemption date or on the last day of the redemption period, as applicable, and every fifth year thereafter at a rate equal to
\n
the 5-year Government of Canada bond yield plus the premium indicated. The holders of Series BD, BF and BO shares have the option to convert their shares into non-
\n
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-
\n
month Government of Canada Treasury Bill rate plus the premium indicated.
\n
(6)
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
\n
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
\n
(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
\n
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)
\n
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
\n
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
\n
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
\n
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
\n
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
\n
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
\n
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
\n
floor price of $5 (subject to adjustment in certain circumstances), and (ii) the current market price of our common shares based on the volume weighted average trading
\n
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
\n
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
\n
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
\n
upon such terms and conditions as we in our absolute discretion may determine, subject to any applicable law restricting the purchase of notes.
\n
(7)
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
\n
Government of Canada Yield plus 4.137% until maturity on November 24, 2080. The interest is paid semi-annually on or about the 24
\n
th
\n
day of May and November. LRCN
\n
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
\n
Series BQ pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(8)
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
\n
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
\n
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
\n
Series BR pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(9)
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
\n
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
\n
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
\n
Series BS pursuant to their terms and subject to the consent of OSFI and requirements of the
Bank Act
(Canada).
\n
(10)
LRCN Series 4 bear interest at a fixed rate of 7.5% per annum until May 2, 2029, and thereafter at a rate per annum, reset every fifth year, equal to the U.S. Treasury Rate
\n
plus 2.887% until maturity on May 2, 2084. The interest is paid quarterly on or about the 2nd day of February, May, August and November. LRCN Series 4 is redeemable on
\n
May 2, 2029 and on each 2nd day of February, May, August and November thereafter to the extent we redeem Series BV pursuant to their terms and subject to the consent
\n
of OSFI and requirements of the
Bank Act
(Canada).
\n
n.a.
not applicable
Restrictions on the payment of dividends
\n
We are prohibited by the
Bank Act
(Canada) from declaring any dividends on our preferred or common shares when we are, or
\n
would be placed as a result of the declaration, in contravention of the capital adequacy and liquidity regulations or any
\n
regulatory directives issued under the Act. We may not pay dividends on our common shares at any time unless all dividends to
\n
which preferred shareholders are then entitled have been declared and paid or set apart for payment.
\n
Currently, these limitations do not restrict the payment of dividends on our preferred or common shares.
\n
Dividend reinvestment plan
\n
Our dividend reinvestment plan (DRIP) provides common and preferred shareholders with a means to receive additional
\n
common shares rather than cash dividends. The plan is only open to shareholders residing in Canada or the U.S. The
\n
requirements of our DRIP are satisfied through either open market share purchases or shares issued from treasury. During the
\n
third and fourth quarters of 2024 and the first quarter of the year ended October 31, 2023, the requirements of our DRIP were
\n
satisfied through open market share purchases. During the first and second quarters of 2024 and the second, third and fourth
\n
quarters of the year ended October 31, 2023, the requirements of our DRIP were satisfied through shares issued from treasury at a
\ndiscount.", "dimensions": { "concept": "ifrs-full:DisclosureOfDividendsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00744": { "value": "21013000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwners", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00", "unit": "iso4217:CAD" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00742": { "value": "5.6", "decimals": 2, "dimensions": { "concept": "ry:DividendsDeclaredOrdinarySharesPerShare", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00", "unit": "iso4217:CAD/xbrli:shares" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00745": { "value": "19398000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwners", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00743": { "value": "5.34", "decimals": 2, "dimensions": { "concept": "ry:DividendsDeclaredOrdinarySharesPerShare", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2022-11-01T00:00:00/2023-11-01T00:00:00", "unit": "iso4217:CAD/xbrli:shares" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00746": { "value": "Note 20
Share-based compensation
\n
Stock option plans
\n
We have stock option plans for certain key employees. Under the plans, options are periodically granted to purchase common
\n
shares. The exercise price for the majority of the grants is determined as the higher of the volume-weighted average of the
\n
trading prices per board lot (100 shares) of our common shares on the Toronto Stock Exchange (i) on the day preceding the day
\n
of grant; and (ii) the five consecutive trading days immediately preceding the day of grant. The exercise price for the remaining
\n
grants is the closing market share price of our common shares on the New York Stock Exchange on the date of grant. All options
\n
vest over a four-year period, and are exercisable for a period not exceeding 10 years from the grant date.
\n
The compensation expense recorded for the year ended October 31, 2024, in respect of the stock option plans was $16 million
\n
(October 31, 2023 \u2013 $11 million). The compensation expense related to non-vested options was $9 million at October 31, 2024
\n
(October 31, 2023 \u2013 $5 million), to be recognized over the weighted average period of 2.0 years (October 31, 2023 \u2013 1.9 years).
\n
Analysis of the movement in the number and weighted average exercise price of options is set out below:
\n
A summary of our stock option activity and related information
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
Number of
Weighted
Number of
Weighted
options
average
options
average
(Canadian dollars per share except share amounts)
(thousands)
exercise price
(1)
(thousands)
exercise price
(1)
Outstanding at beginning of period
7,767
$
106.01
7,509
$ 100.07
Granted
1,666
125.37
1,088
131.64
Exercised
(2), (3)
(1,720)
91.03
(740)
84.76
Forfeited in the period
(338)
124.64
(90)
113.55
Outstanding at end of period
7,375
$
113.00
7,767
$ 106.01
Exercisable at end of period
3,212
$
97.02
3,830
$
91.84
\n
(1)
The weighted average exercise prices reflect the conversion of foreign currency-denominated options at the exchange rates as of October 31, 2024 and October 31, 2023.
\n
For foreign currency-denominated options exercised during the year, the weighted average exercise prices are translated using exchange rates as at the settlement date.
\n
(2)
Cash received for options exercised during the year was $157 million (October 31, 2023 \u2013 $63 million) and the weighted average share price at the date of exercise was
\n
$144.69 (October 31, 2023 \u2013 $130.94).
\n
(3)
New shares were issued for all stock options exercised in 2024 and 2023.
\n
Options outstanding as at October 31, 2024 by range of exercise price
\n\n \n
Options outstanding
Options exercisable
Weighted
average
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)
$73.14 \u2013 $90.23
932
$
83.87
1.64
932
$
83.87
$96.55 \u2013 $102.33
994
98.76
3.55
994
98.76
$104.70 \u2013 $106.00
1,862
105.44
5.69
1,286
105.19
$125.37 \u2013 $125.37
1,553
125.37
9.12
\u2013
\u2013
$129.99 \u2013 $131.64
2,034
130.77
7.59
\u2013
\u2013
7,375
$ 113.00
6.14
3,212
$
97.02
\n
(1)
The weighted average exercise prices reflect the conversion of foreign currency-denominated options at the exchange rate as of October 31, 2024.
The weighted average fair value of options granted during the year ended October 31, 2024 was estimated at $13.60 (October 31,
\n
2023 \u2013 $11.51). This was determined by applying the Black-Scholes model on the date of grant, taking into account the specific
\n
terms and conditions under which the options are granted, such as the vesting period and expected share price volatility
\n
estimated by considering the historic average share price volatility over a historical period corresponding to the expected option
\n
life. The following assumptions were used to determine the fair value of options granted:
\n
Weighted average assumptions
\n\n \n
For the year ended
October 31
October 31
(Canadian dollars per share except percentages and years)
2024
2023
Share price at grant date
$
128.62
$
130.16
Risk-free interest rate
3.29%
2.89%
Expected dividend yield
4.20%
3.79%
Expected share price volatility
16%
14%
Expected life of option
6 Years
6 Years
\n
Employee savings and share ownership plans
\n
We offer many employees an opportunity to own our common shares through savings and share ownership plans. Under these
\n
plans, the employees can generally contribute between 1% and 10% of their annual salary or benefit base for commission-based
\n
employees. For each contribution between 1% and 6%, we will match 50% of the employee contributions in our common shares.
\n
For the RBC Dominion Securities Savings Plan, our maximum annual contribution is $4,500 per employee. For the RBC U.K. Share
\n
Incentive Plan, our maximum annual contribution is \u00a31,500 per employee. For the year ended October 31, 2024, we contributed
\n
$154 million (October 31, 2023 \u2013 $139 million), under the terms of these plans, towards the purchase of our common shares. As at
\n
October 31, 2024, an aggregate of 35 million common shares were held under these plans (October 31, 2023 \u2013 36 million common
\n
shares).
\n
Deferred share and other plans
\n
We offer deferred share unit plans to executives, certain key employees and non-employee directors of the Bank. Under these
\n
plans, participants may choose to receive all or a percentage of their annual variable short-term incentive bonus, commission, or
\n
directors\u2019 fee in the form of deferred share units (DSUs). The participants must elect to participate in the plan prior to the
\n
beginning of the year. DSUs earn dividend equivalents in the form of additional DSUs at the same rate as dividends on common
\n
shares. The participant is not allowed to convert the DSUs until retirement or termination of employment/directorship. The cash
\n
value of the DSUs is equivalent to the market value of common shares when conversion takes place.
\n
We also offer unit awards for certain key employees within Capital Markets. The bonus is invested as RBC share units and a
\n
specified percentage vests on a specified number of anniversary dates each year. Each vested amount is paid in cash and is
\n
based on the original number of share units granted plus accumulated dividends, valued using the average closing price of RBC
\n
common shares during the five trading days immediately preceding the vesting date.
\n
We offer performance deferred share award plans to certain key employees, all of which vest at the end of three years. Upon
\n
vesting, the award is generally paid in cash and is based on the original number of RBC share units granted plus accumulated
\n
dividends valued using the average closing price of RBC common shares during the five trading days immediately preceding the
\n
vesting date. A portion of the award under certain plans may be increased or decreased up to 25%, depending on our total
\n
shareholder return compared to a defined peer group of global financial institutions.
\n
We maintain non-qualified deferred compensation plans for certain key employees in the U.S. These plans allow eligible
\n
employees to defer a portion of their annual income and a variety of productivity and recruitment bonuses and allocate the
\n
deferrals among specified fund choices, including a RBC Share Account fund that tracks the value of our common shares.
\n
The following table presents the units granted under the deferred share and other plans for the year.
\n
Units granted under deferred share and other plans
\n\n \n
For the year ended
October 31, 2024
October 31, 2023
Weighted
Weighted
Units
average
Units
average
granted
fair value
granted
fair value
(Units and per unit amounts)
(thousands)
per unit
(thousands)
per unit
Deferred share unit plans
550
$
134.64
466
$
130.61
Capital Markets compensation plan unit awards
3,053
167.79
4,231
110.32
Performance deferred share award plans
2,848
123.83
2,362
131.41
Deferred compensation plans
86
132.99
103
126.81
Other share-based plans
1,108
129.38
1,506
130.12
7,645
$
143.07
8,668
$
120.79
\n
Our liabilities for the awards granted under the deferred share and other plans are measured at fair value, determined based on
\n
the quoted market price of our common shares and specified fund choices as applicable. Annually, our obligation is increased by
\n
additional units earned by plan participants, and is reduced by forfeitures, cancellations, and the settlement of vested units. In
\n
addition, our obligation is impacted by fluctuations in the market price of our common shares and specified fund units. For
\n
performance deferred share award plans, the estimated outcome of meeting the performance conditions also impacts our
\n
obligation.
The following tables present the units that have been earned by the participants, our obligations for these earned units
\n
under the deferred share and other plans, and the related compensation expenses (recoveries) recognized for the year.
\n
Obligations under deferred share and other plans
\n\n \n
As at
October 31, 2024
October 31, 2023
Units
Carrying
Units
Carrying
(Millions of Canadian dollars except units)
(thousands)
amount
(thousands)
amount
Deferred share unit plans
6,243
$ 1,051
5,786
$
641
Capital Markets compensation plan unit awards
9,593
1,603
9,934
1,098
Performance deferred share award plans
6,068
1,022
5,808
643
Deferred compensation plans
(1)
2,109
355
2,654
294
Other share-based plans
2,394
363
2,135
234
26,407
$ 4,394
26,317
$ 2,910
\n
(1)
Excludes obligations not determined based on the quoted market price of our common shares.
\n
Compensation expenses recognized under deferred share and other plans
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Deferred share unit plans
$
395
$
(51)
Capital Markets compensation plan unit awards
643
126
Performance deferred share award plans
685
216
Deferred compensation plans
797
213
Other share-based plans
276
104
$
2,796
$
608
", "dimensions": { "concept": "ifrs-full:DisclosureOfSharebasedPaymentArrangementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00747": { "value": "Note 21
Income taxes
\n
Components of tax expense
\n\n \n
For the year ended
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Income taxes (recoveries) in Consolidated Statements of Income
Current tax
Tax expense for current year
$
4,829
$
4,074
Adjustments for prior years
298
851
Recoveries arising from previously unrecognized tax loss, tax credit or temporary difference of
a prior period
(4)
(100)
5,123
4,825
Deferred tax
Origination and reversal of temporary difference
(1,118)
(1,308)
Effects of changes in tax rates
\u2013
(47)
Adjustments for prior years
(383)
125
Recoveries arising from previously unrecognized tax loss, tax credit or temporary difference of
a prior period, net
\u2013
(24)
(1,501)
(1,254)
3,622
3,571
Income taxes (recoveries) in Consolidated Statements of Comprehensive Income and Changes
in Equity
Other comprehensive income
Net unrealized gains (losses) on debt securities and loans at fair value through other
comprehensive income
302
(10)
Provision for credit losses recognized in income
(3)
\u2013
Reclassification of net losses (gains) on debt securities and loans at fair value through other
comprehensive income to income
(39)
(39)
Unrealized foreign currency translation gains (losses)
(11)
20
Net foreign currency translation gains (losses) from hedging activities
(195)
(306)
Reclassification of losses (gains) on net investment hedging activities to income
\u2013
45
Net gains (losses) on derivatives designated as cash flow hedges
105
190
Reclassification of losses (gains) on derivatives designated as cash flow hedges to income
(309)
59
Remeasurement gains (losses) on employee benefit plans
202
(68)
Net gains (losses) from fair value change due to credit risk on financial liabilities designated at
fair value through profit or loss
(399)
(222)
Net gains (losses) on equity securities designated at fair value through other comprehensive
income
43
24
Share-based compensation awards
(12)
2
Distributions on other equity instruments and issuance costs
(69)
(59)
(385)
(364)
Total income taxes
$
3,237
$
3,207
The following is an analysis of the differences between the income tax expense reflected in the Consolidated Statements of
\n
Income and the amounts calculated at the Canadian statutory tax rate.
\n
Reconciliation to statutory tax rate
\n\n \n
For the year ended
(Millions of Canadian dollars, except for percentage amounts)
October 31, 2024
October 31, 2023 (Restated \u2013 Note 2)
Income taxes at Canadian statutory tax rate
$
5,502
27.7%
$
5,037
27.7%
Increase (decrease) in income taxes resulting from:
Lower average tax rate applicable to subsidiaries
(1,971)
(9.9)
(2,081)
(11.4)
Tax-exempt income from securities
(52)
(0.3)
(337)
(1.9)
Tax rate change
\u2013
\u2013
1,050
5.8
Other
143
0.7
(98)
(0.6)
Income taxes in Consolidated Statements of Income / effective tax rate
$
3,622
18.2%
$
3,571
19.6%
\n
The effective income tax rate of 18.2% decreased 140 bps, primarily due to the impact of the Canada Recovery Dividend (CRD) in
\n
the prior year. The CRD is a one-time 15% tax for 2022 determined based on the average taxable income above $1 billion for
\n
taxation years 2020 and 2021 and payable in equal installments over five years. The CRD impact was partially offset by the impact
\n
of lower average tax rate applicable to subsidiaries and lower tax-exempt income from securities.
\n
Deferred tax assets and liabilities result from tax loss and tax credit carryforwards and temporary differences between the tax
\n
basis of assets and liabilities and their carrying amounts on our Consolidated Balance Sheets.
\n
Significant components of deferred tax assets and liabilities
\n\n \n
As at and for the year ended October 31, 2024
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
(1)
equity
profit or loss
differences
disposals
period
Net deferred tax asset/(liability)
Allowance for credit losses
$ 1,174
$
4
$
217
$
(1)
$
\u2013
$ 1,394
Deferred compensation
1,522
12
614
19
\u2013
2,167
Business realignment charges
23
\u2013
16
\u2013
4
43
Tax loss and tax credit carryforwards
261
\u2013
71
(1)
\u2013
331
Deferred (income) expense
651
4
641
2
20
1,318
Financial instruments measured at fair value
through other comprehensive income
(321)
164
(1)
\u2013
\u2013
(158)
Premises and equipment and intangibles
(967)
\u2013
136
(22)
(623)
(1,476)
Pension and post-employment related
(333)
(206)
20
(1)
57
(463)
Other
680
\u2013
(213)
\u2013
163
630
$ 2,690
$
(22)
$ 1,501
$
(4)
$ (379)
$ 3,786
Comprising
Deferred tax assets
$ 3,116
$ 4,328
Deferred tax liabilities
(426)
(542)
$ 2,690
$ 3,786
\n\n \n
As at and for the year ended October 31, 2023
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
(1)
equity
profit or loss
(1)
differences
disposals
period
Net deferred tax asset/(liability)
Allowance for credit losses
$
987
$
\u2013
$
185
$
2
$
\u2013
$
1,174
Deferred compensation
1,504
(2)
(2)
22
\u2013
1,522
Business realignment charges
12
\u2013
11
\u2013
\u2013
23
Tax loss and tax credit carryforwards
322
\u2013
(57)
1
(5)
261
Deferred (income) expense
6
(3)
661
(11)
(2)
651
Financial instruments measured at fair value
through other comprehensive income
(16)
(330)
\u2013
25
\u2013
(321)
Premises and equipment and intangibles
(1,234)
\u2013
302
(27)
(8)
(967)
Pension and post-employment related
(435)
68
37
1
(4)
(333)
Other
535
4
117
24
\u2013
680
$
1,681
$
(263)
$
1,254
$
37
$
(19)
$
2,690
Comprising
Deferred tax assets
$
2,120
$
3,116
Deferred tax liabilities
(439)
(426)
$
1,681
$
2,690
\n
(1)
Certain amounts are restated to reflect the IFRS 17 transition adjustments as at November 1, 2022. Refer to Note 2 for further details.
The tax loss and tax credit carryforwards amount of deferred tax assets primarily relates to losses and tax credits in our
\n
Canadian, U.S., and Caribbean operations. Deferred tax assets of $331 million were recognized at October 31, 2024 (October 31,
\n
2023 \u2013 $261 million) in respect of tax losses and tax credits incurred in current or preceding years for which recognition is
\n
dependent on the projection of future taxable profits. Management\u2019s forecasts support the assumption that it is probable that
\n
the results of future operations will generate sufficient taxable income to utilize the deferred tax assets. The forecasts rely on
\n
continued liquidity and capital support to our business operations, including tax planning strategies implemented in relation to
\n
such support.
\n
As at October 31, 2024, unused tax losses and tax credits of $412 million and $18 million (October 31, 2023 \u2013 $417 million and
\n
$18 million) available to be offset against potential tax adjustments or future taxable income were not recognized as deferred tax
\n
assets. There are no unused tax losses that will expire within one year (October 31, 2023 \u2013 $nil), or in two to four years (October 31,
\n
2023 \u2013 $nil) and there are $412 million of unused tax losses that will expire after four years (October 31, 2023 \u2013 $417 million). There
\n
are no tax credits that will expire in one year (October 31, 2023 \u2013 $nil), or in two to four years (October 31, 2023 \u2013 $nil) and there are
\n
$18 million that will expire after four years (October 31, 2023 \u2013 $18 million).
\n
The amount of temporary differences associated with investments in subsidiaries, branches and associates and interests in
\n
joint ventures for which deferred tax liabilities have not been recognized in the parent bank is $30 billion as at October 31, 2024
\n
(October 31, 2023 \u2013 $22 billion).
\n
Pillar Two legislation
\n
The Budget Implementation Act, 2024, No. 1 (the BIA), introduced as Bill C-69 and tabled by the Government of Canada, received
\n
Royal Assent and was enacted on June 20, 2024. The BIA included the Global Minimum Tax Act (the GMTA) which implemented
\n
into Canadian law certain measures relating to the Organisation for Economic Co-operation and Development\u2019s two-pillar plan to
\n
combat tax base erosion and profit shifting, including a 15% global minimum corporate tax on certain multinational enterprises
\n
(Pillar Two). A number of other countries in which RBC operates have also enacted Pillar Two legislation. The GMTA and
\n
corresponding foreign Pillar Two legislation will be effective for our fiscal year beginning November 1, 2024.
\n
Pillar Two income taxes may arise in or in relation to jurisdictions where the operations of RBC have an effective tax rate below
\n
15%. This is anticipated to occur mainly in certain Caribbean and European jurisdictions. Had Pillar Two legislation in all relevant
\n
jurisdictions applied to the fiscal year ended October 31, 2024, RBC\u2019s effective tax rate would have increased by an estimated 1% to
\n
2%. We continue to actively monitor the legislative developments in this area for each jurisdiction in which RBC operates.
\n
Tax examinations and assessments
\n
During the year, we received a reassessment from the Canada Revenue Agency (CRA) in respect of the 2019 taxation year, which
\n
suggested that Royal Bank of Canada owes additional taxes of approximately $277 million as the CRA denied the deductibility of
\n
certain dividends. The reassessment received is consistent with the reassessments received for taxation years 2012 to 2018 of
\n
approximately $1,856 million of additional income taxes and the reassessments received for taxation years 2009 to 2011 of
\n
approximately $434 million of additional income taxes and interest in respect of the same matter. These amounts represent the
\n
maximum additional taxes owing for those years.
\n
Legislative amendments introduced in the 2015 Canadian Federal Budget resulted in disallowed deduction of dividends from
\n
transactions with Taxable Canadian Corporations including those hedged with Tax Indifferent Investors, namely pension funds
\n
and non-resident entities with prospective application effective May 1, 2017. The dividends to which the reassessments relate
\n
include both dividends in transactions similar to those which are the target of the 2015 legislative amendments and dividends
\n
which are unrelated to the legislative amendments.
\n
It is possible that the CRA will reassess us for significant additional income tax for subsequent years on the same basis. In all
\ncases, 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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00748": { "value": "Significant components of deferred tax assets and liabilities \n \n
As at and for the year ended October 31, 2024
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
(1)
equity
profit or loss
differences
disposals
period
Net deferred tax asset/(liability)
Allowance for credit losses
$ 1,174
$
4
$
217
$
(1)
$
\u2013
$ 1,394
Deferred compensation
1,522
12
614
19
\u2013
2,167
Business realignment charges
23
\u2013
16
\u2013
4
43
Tax loss and tax credit carryforwards
261
\u2013
71
(1)
\u2013
331
Deferred (income) expense
651
4
641
2
20
1,318
Financial instruments measured at fair value
through other comprehensive income
(321)
164
(1)
\u2013
\u2013
(158)
Premises and equipment and intangibles
(967)
\u2013
136
(22)
(623)
(1,476)
Pension and post-employment related
(333)
(206)
20
(1)
57
(463)
Other
680
\u2013
(213)
\u2013
163
630
$ 2,690
$
(22)
$ 1,501
$
(4)
$ (379)
$ 3,786
Comprising
Deferred tax assets
$ 3,116
$ 4,328
Deferred tax liabilities
(426)
(542)
$ 2,690
$ 3,786
\n\n \n
As at and for the year ended October 31, 2023
Net asset
Change
Change
Exchange
Net asset
beginning of
through
through
rate
Acquisitions/
end of
(Millions of Canadian dollars)
period
(1)
equity
profit or loss
(1)
differences
disposals
period
Net deferred tax asset/(liability)
Allowance for credit losses
$
987
$
\u2013
$
185
$
2
$
\u2013
$
1,174
Deferred compensation
1,504
(2)
(2)
22
\u2013
1,522
Business realignment charges
12
\u2013
11
\u2013
\u2013
23
Tax loss and tax credit carryforwards
322
\u2013
(57)
1
(5)
261
Deferred (income) expense
6
(3)
661
(11)
(2)
651
Financial instruments measured at fair value
through other comprehensive income
(16)
(330)
\u2013
25
\u2013
(321)
Premises and equipment and intangibles
(1,234)
\u2013
302
(27)
(8)
(967)
Pension and post-employment related
(435)
68
37
1
(4)
(333)
Other
535
4
117
24
\u2013
680
$
1,681
$
(263)
$
1,254
$
37
$
(19)
$
2,690
Comprising
Deferred tax assets
$
2,120
$
3,116
Deferred tax liabilities
(439)
(426)
$
1,681
$
2,690
\n
(1)
Certain amounts are restated to reflect the IFRS 17 transition adjustments as at November 1, 2022. Refer to Note 2 for further details.", "dimensions": { "concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00749": { "value": "Note 22
Earnings per share
\n\n \n
For the year ended
October 31
October 31
2024
2023
(Millions of Canadian dollars, except share and per share amounts)
(Restated \u2013 Note 2)
Basic earnings per share
Net income
$
16,240
$
14,612
Dividends on preferred shares and distributions on other equity instruments
(322)
(236)
Net income attributable to non-controlling interests
(10)
(7)
Net income available to common shareholders
$
15,908
$
14,369
Weighted average number of common shares (in thousands)
1,411,903
1,391,020
Basic earnings per share (in dollars)
$
11.27
$
10.33
Diluted earnings per share
Net income available to common shareholders
$
15,908
$
14,369
Weighted average number of common shares (in thousands)
1,411,903
1,391,020
Stock options
(1)
1,833
1,483
Issuable under other share-based compensation plans
19
26
Average number of diluted common shares (in thousands)
1,413,755
1,392,529
Diluted earnings per share (in dollars)
$
11.25
$
10.32
\n
(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
\n
price of our common shares, the options are excluded from the calculation of diluted earnings per share. For the year ended October 31, 2024, no outstanding options
\n
were 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
\nexercise price of $130.73 were excluded from the calculation of diluted earnings per share.", "dimensions": { "concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00750": { "value": "Note 23
Guarantees, commitments, pledged assets and contingencies
\n
Guarantees and commitments
\n
We use guarantees and other off-balance sheet credit instruments to meet the financing needs of our clients.
\n
The table below summarizes our maximum exposure to credit losses related to our guarantees and commitments provided
\n
to third parties. The maximum exposure to credit risk relating to a guarantee is the maximum risk of loss if there was a total
\n
default by the guaranteed parties, without consideration of possible recoveries under recourse provisions, insurance policies or
\n
from collateral held or pledged. The maximum exposure to credit risk relating to a commitment to extend credit is the full amount
\n
of the commitment. In both cases, the maximum risk exposure is significantly greater than the amount recognized as a liability in
\n
our Consolidated Balance Sheets.
\n\n \n
Maximum exposure
to credit losses
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Financial guarantees
Financial standby letters of credit
$
27,222
$
23,314
Commitments to extend credit
Backstop liquidity facilities
53,090
51,544
Credit enhancements
3,482
3,226
Documentary and commercial letters of credit
559
291
Other commitments to extend credit
321,836
301,132
Other credit-related commitments
Securities lending indemnifications
81,347
95,055
Performance guarantees
12,283
7,503
Sponsored member guarantees
50,241
14,043
Other
446
203
\n
Our credit review process, our policy for requiring collateral security, and the types of collateral security held are generally the
\n
same for guarantees and commitments as for loans. Our clients generally have the right to request settlement of, or draw on, our
\n
guarantees and commitments within one year. However, certain guarantees can only be drawn if specified conditions are met.
\n
These conditions, along with collateral requirements, are described below. We believe that it is highly unlikely that all or
\n
substantially all of the guarantees and commitments will be drawn or settled within one year, and contracts may expire without
\n
being drawn or settled.
\n
Financial guarantees
\n
Financial standby letters of credit
\n
Financial standby letters of credit represent irrevocable assurances that we will make payments in the event that a client cannot
\n
meet its payment obligations to the third party. For certain guarantees, the guaranteed party can request payment from us even
\n
though the client has not defaulted on its obligations. These guarantees generally have a term of five to seven years.
\n
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is
\n
generally the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to
\n
the risk of the borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets
\n
pledged.
\n
Commitments to extend credit
\n
Backstop liquidity facilities
\n
Backstop liquidity facilities are provided to ABCP conduit programs administered by us and third parties as an alternative source
\n
of financing in the event that such programs are unable to access commercial paper markets, or in limited circumstances, when
\n
predetermined performance measures of the financial assets acquired or financed by these programs are not met. We also
\n
provide backstop liquidity facilities to certain third-party commercial mortgage securitization vehicles. The average remaining
\n
term of these liquidity facilities is approximately four years.
\n
The terms of the backstop liquidity facilities do not require us to advance money to these programs in the event of
\n
bankruptcy or insolvency and generally do not require us to purchase non-performing or defaulted assets.
\n
Credit enhancements
\n
We provide partial credit enhancement to multi-seller ABCP programs administered by us to protect commercial paper investors
\n
in the event that the collections on the underlying assets together with the transaction-specific credit enhancements or the
\n
liquidity facilities prove to be insufficient to pay for maturing commercial paper. Each of the asset pools is structured to achieve
\n
a high investment grade credit profile through credit enhancements required to be provided by the third-party sellers related to
\n
each transaction. The average remaining term of the credit facilities provided by RBC is approximately three years.
\n
Documentary and commercial letters of credit
\n
Documentary and commercial letters of credit, which are written undertakings by us on behalf of a client authorizing a third party
\n
to draw drafts on us up to a stipulated amount under specific terms and conditions, where some are collateralized based on the
\n
underlying agreement with the client and others are collateralized by cash deposits or other assets of the client.
\n
Other commitments to extend credit
\n
Commitments to extend credit represent unused portions of authorizations to extend credit in the form of loans, reverse
\n
repurchase agreements, bankers\u2019 acceptances or letters of credit where we do not have the ability to unilaterally withdraw the
\n
credit extended to the borrower.
Other credit-related commitments
\n
Securities lending indemnifications
\n
In securities lending transactions, we act as an agent for the owner of a security, who agrees to lend the security to a borrower
\n
for a fee, under the terms of a pre-arranged contract. The borrower must fully collateralize the security loaned at all times. As
\n
part of this custodial business, an indemnification may be provided to securities lending customers to ensure that the fair value
\n
of securities loaned will be returned in the event that the borrower fails to return the borrowed securities and the collateral held
\n
is insufficient to cover the fair value of those securities. These indemnifications normally terminate without being drawn upon.
\n
The term of these indemnifications varies, as the securities loaned are recallable on demand. Collateral held for our securities
\n
lending transactions typically includes cash, securities that are issued or guaranteed by the Canadian government, U.S.
\n
government or other OECD countries or high quality debt or equity instruments.
\n
Performance guarantees
\n
Performance guarantees represent irrevocable assurances that we will make payments to third-party beneficiaries in the event
\n
that a client fails to perform under a specified non-financial contractual obligation. Such obligations typically include works and
\n
service contracts, performance bonds, and warranties related to international trade. The term of these guarantees can range up
\n
to three to seven years.
\n
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is
\n
generally the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to
\n
the risk of the borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets
\n
pledged.
\n
Sponsored member guarantees
\n
For certain overnight repurchase and reverse repurchase transactions, we act as a sponsoring member to eligible clients to clear
\n
transactions through the Fixed Income Clearing Corporation (FICC). We also provide a guarantee to FICC for the prompt and full
\n
payment and performance of our sponsored member clients\u2019 respective obligations under the FICC rules. The guarantees are
\n
fully collateralized by cash and securities issued or guaranteed by the U.S. government.
\n
Indemnifications
\n
In the normal course of our operations, we provide indemnifications which are often standard contractual terms to
\n
counterparties in transactions such as purchase and sale contracts, fiduciary, agency, licensing, custodial and service
\n
agreements, clearing system arrangements, participation as a member of exchanges, director/officer contracts and leasing
\n
transactions. These indemnification agreements may require us to compensate the counterparties for costs incurred as a result
\n
of changes in laws and regulations (including tax legislation) or as a result of litigation claims or statutory sanctions that may be
\n
suffered by the counterparty as a consequence of the transaction. The terms of these indemnification agreements vary based on
\n
the contract. The nature of the indemnification agreements prevents us from making a reasonable estimate of the maximum
\n
potential amount we could be required to pay to counterparties. Historically, we have not made any significant payments under
\n
such indemnifications.
\n
Uncommitted amounts
\n
Uncommitted amounts represent undrawn credit facilities for which we have the ability to unilaterally withdraw the credit
\n
extended to the borrower at any time. These include both retail and commercial commitments. As at October 31, 2024, the total
\n
balance of uncommitted amounts was $470 billion (October 31, 2023 \u2013 $398 billion).
\n
Other commitments
\n
We invest in private companies, directly or through third-party investment funds, including venture capital funds, private equity
\n
funds, Small Business Investment Companies, real estate funds and Low Income Housing Tax Credit funds. These funds are
\n
generally structured as closed-end limited partnerships wherein we hold a limited partner interest. For the year ended
\n
October 31, 2024, we have unfunded commitments of $1,922 million (October 31, 2023 \u2013 $1,832 million) representing the aggregate
\n
amount of cash we are obligated to contribute as capital to these partnerships under the terms of the relevant contracts.
\n
Pledged assets and collateral
\n
In the ordinary course of business, we pledge assets and enter into collateral agreements with terms and conditions that are
\n
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
\n
following are examples of our general terms and conditions on pledged assets and collateral:
\n
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\n
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\n
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
\n
is pledged.
\n
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
\n
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
\n
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
\n
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
\n
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
\n
October 31, 2024, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31, 2023 \u2013
\n
$1 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada to cover a
\n
settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance. There were
\n
no overnight advances taken on October 31, 2024 and October 31, 2023.
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Sources of pledged assets and collateral
Bank assets
Loans
$
105,577
$
102,944
Securities
105,061
107,122
Other assets
31,583
28,953
242,221
239,019
Client assets
(1)
Collateral received and available for sale or re-pledging
539,630
502,109
Less: not sold or re-pledged
(30,767)
(6,876)
508,863
495,233
$
751,084
$
734,252
Uses of pledged assets and collateral
Securities borrowing and lending
$
198,887
$
168,681
Obligations related to securities sold short
46,088
46,260
Obligations related to securities loaned or sold under repurchase agreements
305,788
331,784
Securitization
39,769
38,686
Covered bonds
71,307
69,802
Derivative transactions
50,100
40,352
Foreign governments and central banks
8,469
9,111
Clearing systems, payment systems and depositories
11,261
10,709
Other
19,415
18,867
$
751,084
$
734,252
\n
(1)
Primarily relates to Obligations related to securities loaned or sold under repurchase agreements, Securities loaned and Derivative transactions.", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00751": { "value": "Note 23
Guarantees, commitments, pledged assets and contingencies
\n
Guarantees and commitments
\n
We use guarantees and other off-balance sheet credit instruments to meet the financing needs of our clients.
\n
The table below summarizes our maximum exposure to credit losses related to our guarantees and commitments provided
\n
to third parties. The maximum exposure to credit risk relating to a guarantee is the maximum risk of loss if there was a total
\n
default by the guaranteed parties, without consideration of possible recoveries under recourse provisions, insurance policies or
\n
from collateral held or pledged. The maximum exposure to credit risk relating to a commitment to extend credit is the full amount
\n
of the commitment. In both cases, the maximum risk exposure is significantly greater than the amount recognized as a liability in
\n
our Consolidated Balance Sheets.
\n\n \n
Maximum exposure
to credit losses
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Financial guarantees
Financial standby letters of credit
$
27,222
$
23,314
Commitments to extend credit
Backstop liquidity facilities
53,090
51,544
Credit enhancements
3,482
3,226
Documentary and commercial letters of credit
559
291
Other commitments to extend credit
321,836
301,132
Other credit-related commitments
Securities lending indemnifications
81,347
95,055
Performance guarantees
12,283
7,503
Sponsored member guarantees
50,241
14,043
Other
446
203
\n
Our credit review process, our policy for requiring collateral security, and the types of collateral security held are generally the
\n
same for guarantees and commitments as for loans. Our clients generally have the right to request settlement of, or draw on, our
\n
guarantees and commitments within one year. However, certain guarantees can only be drawn if specified conditions are met.
\n
These conditions, along with collateral requirements, are described below. We believe that it is highly unlikely that all or
\n
substantially all of the guarantees and commitments will be drawn or settled within one year, and contracts may expire without
\n
being drawn or settled.
\n
Financial guarantees
\n
Financial standby letters of credit
\n
Financial standby letters of credit represent irrevocable assurances that we will make payments in the event that a client cannot
\n
meet its payment obligations to the third party. For certain guarantees, the guaranteed party can request payment from us even
\n
though the client has not defaulted on its obligations. These guarantees generally have a term of five to seven years.
\n
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is
\n
generally the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to
\n
the risk of the borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets
\n
pledged.
\n
Commitments to extend credit
\n
Backstop liquidity facilities
\n
Backstop liquidity facilities are provided to ABCP conduit programs administered by us and third parties as an alternative source
\n
of financing in the event that such programs are unable to access commercial paper markets, or in limited circumstances, when
\n
predetermined performance measures of the financial assets acquired or financed by these programs are not met. We also
\n
provide backstop liquidity facilities to certain third-party commercial mortgage securitization vehicles. The average remaining
\n
term of these liquidity facilities is approximately four years.
\n
The terms of the backstop liquidity facilities do not require us to advance money to these programs in the event of
\n
bankruptcy or insolvency and generally do not require us to purchase non-performing or defaulted assets.
\n
Credit enhancements
\n
We provide partial credit enhancement to multi-seller ABCP programs administered by us to protect commercial paper investors
\n
in the event that the collections on the underlying assets together with the transaction-specific credit enhancements or the
\n
liquidity facilities prove to be insufficient to pay for maturing commercial paper. Each of the asset pools is structured to achieve
\n
a high investment grade credit profile through credit enhancements required to be provided by the third-party sellers related to
\n
each transaction. The average remaining term of the credit facilities provided by RBC is approximately three years.
\n
Documentary and commercial letters of credit
\n
Documentary and commercial letters of credit, which are written undertakings by us on behalf of a client authorizing a third party
\n
to draw drafts on us up to a stipulated amount under specific terms and conditions, where some are collateralized based on the
\n
underlying agreement with the client and others are collateralized by cash deposits or other assets of the client.
\n
Other commitments to extend credit
\n
Commitments to extend credit represent unused portions of authorizations to extend credit in the form of loans, reverse
\n
repurchase agreements, bankers\u2019 acceptances or letters of credit where we do not have the ability to unilaterally withdraw the
\n
credit extended to the borrower.
Other credit-related commitments
\n
Securities lending indemnifications
\n
In securities lending transactions, we act as an agent for the owner of a security, who agrees to lend the security to a borrower
\n
for a fee, under the terms of a pre-arranged contract. The borrower must fully collateralize the security loaned at all times. As
\n
part of this custodial business, an indemnification may be provided to securities lending customers to ensure that the fair value
\n
of securities loaned will be returned in the event that the borrower fails to return the borrowed securities and the collateral held
\n
is insufficient to cover the fair value of those securities. These indemnifications normally terminate without being drawn upon.
\n
The term of these indemnifications varies, as the securities loaned are recallable on demand. Collateral held for our securities
\n
lending transactions typically includes cash, securities that are issued or guaranteed by the Canadian government, U.S.
\n
government or other OECD countries or high quality debt or equity instruments.
\n
Performance guarantees
\n
Performance guarantees represent irrevocable assurances that we will make payments to third-party beneficiaries in the event
\n
that a client fails to perform under a specified non-financial contractual obligation. Such obligations typically include works and
\n
service contracts, performance bonds, and warranties related to international trade. The term of these guarantees can range up
\n
to three to seven years.
\n
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is
\n
generally the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to
\n
the risk of the borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets
\n
pledged.
\n
Sponsored member guarantees
\n
For certain overnight repurchase and reverse repurchase transactions, we act as a sponsoring member to eligible clients to clear
\n
transactions through the Fixed Income Clearing Corporation (FICC). We also provide a guarantee to FICC for the prompt and full
\n
payment and performance of our sponsored member clients\u2019 respective obligations under the FICC rules. The guarantees are
\n
fully collateralized by cash and securities issued or guaranteed by the U.S. government.
\n
Indemnifications
\n
In the normal course of our operations, we provide indemnifications which are often standard contractual terms to
\n
counterparties in transactions such as purchase and sale contracts, fiduciary, agency, licensing, custodial and service
\n
agreements, clearing system arrangements, participation as a member of exchanges, director/officer contracts and leasing
\n
transactions. These indemnification agreements may require us to compensate the counterparties for costs incurred as a result
\n
of changes in laws and regulations (including tax legislation) or as a result of litigation claims or statutory sanctions that may be
\n
suffered by the counterparty as a consequence of the transaction. The terms of these indemnification agreements vary based on
\n
the contract. The nature of the indemnification agreements prevents us from making a reasonable estimate of the maximum
\n
potential amount we could be required to pay to counterparties. Historically, we have not made any significant payments under
\n
such indemnifications.
\n
Uncommitted amounts
\n
Uncommitted amounts represent undrawn credit facilities for which we have the ability to unilaterally withdraw the credit
\n
extended to the borrower at any time. These include both retail and commercial commitments. As at October 31, 2024, the total
\n
balance of uncommitted amounts was $470 billion (October 31, 2023 \u2013 $398 billion).
\n
Other commitments
\n
We invest in private companies, directly or through third-party investment funds, including venture capital funds, private equity
\n
funds, Small Business Investment Companies, real estate funds and Low Income Housing Tax Credit funds. These funds are
\n
generally structured as closed-end limited partnerships wherein we hold a limited partner interest. For the year ended
\n
October 31, 2024, we have unfunded commitments of $1,922 million (October 31, 2023 \u2013 $1,832 million) representing the aggregate
\n
amount of cash we are obligated to contribute as capital to these partnerships under the terms of the relevant contracts.
\n
Pledged assets and collateral
\n
In the ordinary course of business, we pledge assets and enter into collateral agreements with terms and conditions that are
\n
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
\n
following are examples of our general terms and conditions on pledged assets and collateral:
\n
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\n
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\n
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
\n
is pledged.
\n
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
\n
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
\n
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
\n
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
\n
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
\n
October 31, 2024, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31, 2023 \u2013
\n
$1 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada to cover a
\n
settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance. There were
\n
no overnight advances taken on October 31, 2024 and October 31, 2023.
\n
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Sources of pledged assets and collateral
Bank assets
Loans
$
105,577
$
102,944
Securities
105,061
107,122
Other assets
31,583
28,953
242,221
239,019
Client assets
(1)
Collateral received and available for sale or re-pledging
539,630
502,109
Less: not sold or re-pledged
(30,767)
(6,876)
508,863
495,233
$
751,084
$
734,252
Uses of pledged assets and collateral
Securities borrowing and lending
$
198,887
$
168,681
Obligations related to securities sold short
46,088
46,260
Obligations related to securities loaned or sold under repurchase agreements
305,788
331,784
Securitization
39,769
38,686
Covered bonds
71,307
69,802
Derivative transactions
50,100
40,352
Foreign governments and central banks
8,469
9,111
Clearing systems, payment systems and depositories
11,261
10,709
Other
19,415
18,867
$
751,084
$
734,252
\n
(1)
Primarily relates to Obligations related to securities loaned or sold under repurchase agreements, Securities loaned and Derivative transactions.", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00752": { "value": "Note 23
Guarantees, commitments, pledged assets and contingencies
\n
Guarantees and commitments
\n
We use guarantees and other off-balance sheet credit instruments to meet the financing needs of our clients.
\n
The table below summarizes our maximum exposure to credit losses related to our guarantees and commitments provided
\n
to third parties. The maximum exposure to credit risk relating to a guarantee is the maximum risk of loss if there was a total
\n
default by the guaranteed parties, without consideration of possible recoveries under recourse provisions, insurance policies or
\n
from collateral held or pledged. The maximum exposure to credit risk relating to a commitment to extend credit is the full amount
\n
of the commitment. In both cases, the maximum risk exposure is significantly greater than the amount recognized as a liability in
\n
our Consolidated Balance Sheets.
\n\n \n
Maximum exposure
to credit losses
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Financial guarantees
Financial standby letters of credit
$
27,222
$
23,314
Commitments to extend credit
Backstop liquidity facilities
53,090
51,544
Credit enhancements
3,482
3,226
Documentary and commercial letters of credit
559
291
Other commitments to extend credit
321,836
301,132
Other credit-related commitments
Securities lending indemnifications
81,347
95,055
Performance guarantees
12,283
7,503
Sponsored member guarantees
50,241
14,043
Other
446
203
\n
Our credit review process, our policy for requiring collateral security, and the types of collateral security held are generally the
\n
same for guarantees and commitments as for loans. Our clients generally have the right to request settlement of, or draw on, our
\n
guarantees and commitments within one year. However, certain guarantees can only be drawn if specified conditions are met.
\n
These conditions, along with collateral requirements, are described below. We believe that it is highly unlikely that all or
\n
substantially all of the guarantees and commitments will be drawn or settled within one year, and contracts may expire without
\n
being drawn or settled.
\n
Financial guarantees
\n
Financial standby letters of credit
\n
Financial standby letters of credit represent irrevocable assurances that we will make payments in the event that a client cannot
\n
meet its payment obligations to the third party. For certain guarantees, the guaranteed party can request payment from us even
\n
though the client has not defaulted on its obligations. These guarantees generally have a term of five to seven years.
\n
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is
\n
generally the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to
\n
the risk of the borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets
\n
pledged.
\n
Commitments to extend credit
\n
Backstop liquidity facilities
\n
Backstop liquidity facilities are provided to ABCP conduit programs administered by us and third parties as an alternative source
\n
of financing in the event that such programs are unable to access commercial paper markets, or in limited circumstances, when
\n
predetermined performance measures of the financial assets acquired or financed by these programs are not met. We also
\n
provide backstop liquidity facilities to certain third-party commercial mortgage securitization vehicles. The average remaining
\n
term of these liquidity facilities is approximately four years.
\n
The terms of the backstop liquidity facilities do not require us to advance money to these programs in the event of
\n
bankruptcy or insolvency and generally do not require us to purchase non-performing or defaulted assets.
\n
Credit enhancements
\n
We provide partial credit enhancement to multi-seller ABCP programs administered by us to protect commercial paper investors
\n
in the event that the collections on the underlying assets together with the transaction-specific credit enhancements or the
\n
liquidity facilities prove to be insufficient to pay for maturing commercial paper. Each of the asset pools is structured to achieve
\n
a high investment grade credit profile through credit enhancements required to be provided by the third-party sellers related to
\n
each transaction. The average remaining term of the credit facilities provided by RBC is approximately three years.
\n
Documentary and commercial letters of credit
\n
Documentary and commercial letters of credit, which are written undertakings by us on behalf of a client authorizing a third party
\n
to draw drafts on us up to a stipulated amount under specific terms and conditions, where some are collateralized based on the
\n
underlying agreement with the client and others are collateralized by cash deposits or other assets of the client.
\n
Other commitments to extend credit
\n
Commitments to extend credit represent unused portions of authorizations to extend credit in the form of loans, reverse
\n
repurchase agreements, bankers\u2019 acceptances or letters of credit where we do not have the ability to unilaterally withdraw the
\n
credit extended to the borrower.
Other credit-related commitments
\n
Securities lending indemnifications
\n
In securities lending transactions, we act as an agent for the owner of a security, who agrees to lend the security to a borrower
\n
for a fee, under the terms of a pre-arranged contract. The borrower must fully collateralize the security loaned at all times. As
\n
part of this custodial business, an indemnification may be provided to securities lending customers to ensure that the fair value
\n
of securities loaned will be returned in the event that the borrower fails to return the borrowed securities and the collateral held
\n
is insufficient to cover the fair value of those securities. These indemnifications normally terminate without being drawn upon.
\n
The term of these indemnifications varies, as the securities loaned are recallable on demand. Collateral held for our securities
\n
lending transactions typically includes cash, securities that are issued or guaranteed by the Canadian government, U.S.
\n
government or other OECD countries or high quality debt or equity instruments.
\n
Performance guarantees
\n
Performance guarantees represent irrevocable assurances that we will make payments to third-party beneficiaries in the event
\n
that a client fails to perform under a specified non-financial contractual obligation. Such obligations typically include works and
\n
service contracts, performance bonds, and warranties related to international trade. The term of these guarantees can range up
\n
to three to seven years.
\n
Our policy for requiring collateral security with respect to these instruments and the types of collateral security held is
\n
generally the same as for loans. When collateral security is taken, it is determined on an account-by-account basis according to
\n
the risk of the borrower and the specifics of the transaction. Collateral security may include cash, securities and other assets
\n
pledged.
\n
Sponsored member guarantees
\n
For certain overnight repurchase and reverse repurchase transactions, we act as a sponsoring member to eligible clients to clear
\n
transactions through the Fixed Income Clearing Corporation (FICC). We also provide a guarantee to FICC for the prompt and full
\n
payment and performance of our sponsored member clients\u2019 respective obligations under the FICC rules. The guarantees are
\n
fully collateralized by cash and securities issued or guaranteed by the U.S. government.
\n
Indemnifications
\n
In the normal course of our operations, we provide indemnifications which are often standard contractual terms to
\n
counterparties in transactions such as purchase and sale contracts, fiduciary, agency, licensing, custodial and service
\n
agreements, clearing system arrangements, participation as a member of exchanges, director/officer contracts and leasing
\n
transactions. These indemnification agreements may require us to compensate the counterparties for costs incurred as a result
\n
of changes in laws and regulations (including tax legislation) or as a result of litigation claims or statutory sanctions that may be
\n
suffered by the counterparty as a consequence of the transaction. The terms of these indemnification agreements vary based on
\n
the contract. The nature of the indemnification agreements prevents us from making a reasonable estimate of the maximum
\n
potential amount we could be required to pay to counterparties. Historically, we have not made any significant payments under
\n
such indemnifications.
\n
Uncommitted amounts
\n
Uncommitted amounts represent undrawn credit facilities for which we have the ability to unilaterally withdraw the credit
\n
extended to the borrower at any time. These include both retail and commercial commitments. As at October 31, 2024, the total
\n
balance of uncommitted amounts was $470 billion (October 31, 2023 \u2013 $398 billion).
\n
Other commitments
\n
We invest in private companies, directly or through third-party investment funds, including venture capital funds, private equity
\n
funds, Small Business Investment Companies, real estate funds and Low Income Housing Tax Credit funds. These funds are
\n
generally structured as closed-end limited partnerships wherein we hold a limited partner interest. For the year ended
\n
October 31, 2024, we have unfunded commitments of $1,922 million (October 31, 2023 \u2013 $1,832 million) representing the aggregate
\n
amount of cash we are obligated to contribute as capital to these partnerships under the terms of the relevant contracts.
\n
Pledged assets and collateral
\n
In the ordinary course of business, we pledge assets and enter into collateral agreements with terms and conditions that are
\n
usual and customary to our regular lending, borrowing and trading activities recorded on our Consolidated Balance Sheets. The
\n
following are examples of our general terms and conditions on pledged assets and collateral:
\n
\u2022
The risks and rewards of the pledged assets reside with the pledgor.
\n
\u2022
The pledged asset is returned to the pledgor when the necessary conditions have been satisfied.
\n
\u2022
The right of the pledgee to sell or re-pledge the asset is dependent on the specific agreement under which the collateral
\n
is pledged.
\n
\u2022
If there is no default, the pledgee must return the comparable asset to the pledgor upon satisfaction of the obligation.
\n
We are also required to provide intraday pledges to the Bank of Canada when we use a real-time electronic wire transfer system
\n
that continuously processes all Canadian dollar large-value or time-critical payments throughout the day. The pledged assets
\n
earmarked for our Canadian dollar large-value or time-critical payments are normally released back to us at the end of the
\n
settlement cycle each day. Therefore, the pledged assets amount is not included in the following table. For the year ended
\n
October 31, 2024, we had on average $1 billion of assets pledged intraday to the Bank of Canada on a daily basis (October 31, 2023 \u2013
\n
$1 billion). There are infrequent occasions where we are required to take an overnight advance from the Bank of Canada to cover a
\n
settlement requirement, in which case an equivalent value of the pledged assets would be used to secure the advance. There were
\n
no overnight advances taken on October 31, 2024 and October 31, 2023.
\n
Assets pledged against liabilities and collateral assets held or re-pledged
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Sources of pledged assets and collateral
Bank assets
Loans
$
105,577
$
102,944
Securities
105,061
107,122
Other assets
31,583
28,953
242,221
239,019
Client assets
(1)
Collateral received and available for sale or re-pledging
539,630
502,109
Less: not sold or re-pledged
(30,767)
(6,876)
508,863
495,233
$
751,084
$
734,252
Uses of pledged assets and collateral
Securities borrowing and lending
$
198,887
$
168,681
Obligations related to securities sold short
46,088
46,260
Obligations related to securities loaned or sold under repurchase agreements
305,788
331,784
Securitization
39,769
38,686
Covered bonds
71,307
69,802
Derivative transactions
50,100
40,352
Foreign governments and central banks
8,469
9,111
Clearing systems, payment systems and depositories
11,261
10,709
Other
19,415
18,867
$
751,084
$
734,252
\n
(1)
Primarily relates to Obligations related to securities loaned or sold under repurchase agreements, Securities loaned and Derivative transactions.", "dimensions": { "concept": "ifrs-full:DisclosureOfContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00753": { "value": "Note 24
Legal and regulatory matters
\n
We are a large global institution that is subject to many different complex legal and regulatory requirements that continue to
\n
evolve. We are and have been subject to a variety of legal proceedings, including civil claims and lawsuits, regulatory
\n
examinations, investigations, audits and requests for information by various governmental regulatory agencies and law
\n
enforcement authorities in various jurisdictions. Some of these matters may involve novel legal theories and interpretations and
\n
may be advanced under criminal as well as civil statutes, and some proceedings could result in the imposition of civil, regulatory
\n
enforcement or criminal penalties. We review the status of all proceedings on an ongoing basis and will exercise judgment in
\n
resolving them in such manner as we believe to be in our best interest. In many proceedings, it is inherently difficult to determine
\n
whether any loss is probable or to reliably estimate the amount of any loss. This is an area of significant judgment and
\n
uncertainty and the extent of our financial and other exposure to these proceedings after taking into account current provisions
\n
could be material to our results of operations in any particular period though we do not believe that the ultimate resolution of
\n
any such matter will have a material effect on our consolidated financial condition. The following is a description of our
\n
significant legal proceedings. Based on the facts currently known, except as may otherwise be noted, it is not possible at this
\n
time for us to predict the ultimate outcome of these proceedings or the timing of their resolution.
\n
London interbank offered rate (LIBOR) litigation
\n
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
\n
respect to the setting of U.S. dollar LIBOR including a number of class action lawsuits which have been consolidated before the
\n
U.S. District Court for the Southern District of New York. The complaints in those private lawsuits assert claims against us and
\n
other panel banks under various U.S. laws, including U.S. antitrust laws, the U.S. Commodity Exchange Act, and state law. On
\n
December 30, 2021, the U.S. Court of Appeals for the Second Circuit issued an opinion affirming in part and reversing in part
\n
certain district court rulings that had dismissed a substantial portion of the consolidated class action on jurisdictional grounds
\n
and lack of standing. The Second Circuit remanded the matter to the district court for further proceedings consistent with its
\n
decision.
\n
On July 21, 2023, Royal Bank of Canada and several other defendants executed a settlement agreement resolving the LIBOR
\n
class action brought on behalf of certain plaintiffs that purchased U.S. dollar LIBOR-based instruments. The settlement was
\n
granted final court approval on December 12, 2023.
\n
In mid-2024, Royal Bank of Canada and several other defendants executed settlement agreements resolving the two
\n
remaining LIBOR putative class actions in which Royal Bank of Canada was a defendant. These class actions were brought on
\n
behalf of certain plaintiffs who transacted in Eurodollar futures contracts and/or related options on exchanges (the Exchange
\n
Action), and certain plaintiffs who originated or purchased LIBOR-linked loans (the Lender Action). The settlements in both the
\n
Exchange Action and Lender Action were granted final court approval on September 5, 2024 and October 17, 2024, respectively.
\n
Royal Bank of Canada remains a defendant in certain LIBOR-related individual actions.
Royal Bank of Canada Trust Company (Bahamas) Limited proceedings
\n
On April 13, 2015, a French investigating judge notified Royal Bank of Canada Trust Company (Bahamas) Limited (RBC Bahamas)
\n
of the issuance of an
ordonnance de renvoi
referring RBC Bahamas and other unrelated persons to the French
tribunal
\n
correctionnel
to face the charge of complicity in estate tax fraud relating to actions taken relating to a trust for which RBC
\n
Bahamas serves as trustee. RBC Bahamas contested the charge in the French court. On January 12, 2017, the French court
\n
acquitted all parties including RBC Bahamas and on June 29, 2018, the French appellate court affirmed the acquittals. The
\n
acquittals were appealed and on January 6, 2021, the French Supreme Court issued a judgment reversing the decision of the
\n
French Court of Appeal and sent the case back to the French Court of Appeal for rehearing. The retrial before the Court of Appeal
\n
commenced on September 18, 2023 and on March 5, 2024, the Court of Appeal rendered a judgment of conviction (the Conviction)
\n
against RBC Bahamas and the other parties. RBC Bahamas was ordered by the Court of Appeal to pay a fine of
\u20ac
5,000 in
\n
connection with the Conviction. In addition, the Court of Appeal ordered that certain of those convicted of complicity in the
\n
matter, including RBC Bahamas, are jointly liable for the allegedly unpaid inheritance taxes owing, plus penalties and interest
\n
(such aggregate amount will be determined in separate proceedings before the tax courts, to which RBC Bahamas is not a party).
\n
RBC Bahamas believes that its actions did not violate French law and has appealed the Conviction to the French Supreme Court.
\n
Under French law, upon the filing of an appeal by RBC Bahamas, the Conviction, as well as its effects (fine and joint liability) were
\n
stayed pending the outcome of the appeal.
\n
On October 28, 2016, Royal Bank of Canada was granted an exemption by the U.S. Department of Labor that allows Royal
\n
Bank of Canada and its current and future affiliates to continue to qualify for the Qualified Professional Asset Manager (QPAM)
\n
exemption under the Employee Retirement Income Security Act despite any potential conviction of RBC Bahamas in the French
\n
proceeding for a temporary one-year period from the date of conviction. On December 11, 2023, the U.S. Department of Labor
\n
published a technical correction to the prior one-year exemption reflecting the fact that the pending French Court of Appeal\u2019s
\n
decision would be rendered by an appellate court, and not the district court. As a result of the Conviction, the temporary
\n
one-year period commenced on March 5, 2024. Royal Bank of Canada is seeking longer term relief from the Department of Labor.
\n
In addition, the Department of Labor has proposed amendments to the QPAM exemption. If the amendments are finalized as
\n
proposed, it is unclear how they would affect Royal Bank of Canada\u2019s ability to obtain relief beyond the one-year temporary
\n
exemption period.
\n
RBC Bahamas continues to review the trustee\u2019s and the trust\u2019s legal obligations, including liabilities and potential liabilities
\n
under applicable tax and other laws.
\n
U.S. communications recordkeeping inquiry
\n
In October 2022, our subsidiary RBC Capital Markets, LLC received a request for information and documents from the Securities
\n
and Exchange Commission (SEC) concerning compliance with records preservation requirements relating to business
\n
communications exchanged on electronic channels that have not been approved by RBC Capital Markets, LLC. RBC Capital
\n
Markets, LLC is cooperating with the SEC\u2019s inquiry. As has been publicly reported, the SEC is conducting similar inquiries into
\n
recordkeeping practices at multiple other financial institutions. On August 14, 2024, the SEC entered into a settlement with RBC
\n
Capital Markets, LLC, pursuant to which RBC Capital Markets, LLC paid a US$45 million civil penalty.
\n
U.K. Competition and Markets Authority investigation
\n
In November 2018, the U.K. Competition and Markets Authority (CMA) started an investigation of Royal Bank of Canada and RBC
\n
Europe Limited relating to alleged anti-competitive conduct between 2009 and 2013, involving U.K. government bonds and related
\n
derivatives. In May 2023, the CMA issued a statement of objections to Royal Bank of Canada and RBC Europe Limited, and certain
\n
other financial institutions. Royal Bank of Canada and RBC Europe Limited are contesting the CMA\u2019s case.
\n
In June 2023, RBC Europe Limited and RBC Capital Markets, LLC, among other financial institutions, were named as
\n
defendants in a putative class action filed in the U.S. by plaintiffs alleging anti-competitive conduct in the U.K. government bonds
\n
market. In September 2023, the defendants filed a motion to dismiss the complaint which motion was granted, without prejudice,
\n
in September 2024. Subsequently, on October 31, 2024, RBC Europe Limited, RBC Capital Markets, LLC and certain of the other
\n
defendants executed an agreement to dismiss the action, with prejudice, against those defendants. The settlement agreement
\n
remains subject to court approval.
\n
Vacation pay class action
\n
On December 29, 2022, the Ontario Superior Court of Justice certified a class in an action against RBC Dominion Securities
\n
Limited and RBC Dominion Securities Inc. (together, RBC DS). The action commenced in July 2020, asserting claims relating to
\n
statutory vacation pay and public holiday pay for investment advisors, associates and assistants in our Canadian Wealth
\n
Management business, with the exception of those employed in Alberta and British Columbia.
\n
Other matters
\n
We are a defendant in a number of other actions alleging that certain of our practices and actions were improper. The lawsuits
\n
involve a variety of complex issues and the timing of their resolution is varied and uncertain. Management believes that we will
\n
ultimately be successful in resolving these lawsuits, to the extent that we are able to assess them, without material financial
\n
impact to the Bank. This is, however, an area of significant judgment and the potential liability resulting from these lawsuits
\n
could be material to our results of operations in any particular period.
\n
Various other legal proceedings are pending that challenge certain of our other practices or actions. While this is an area of
\n
significant judgment and some matters are currently inestimable, we consider that the aggregate liability, to the extent that we
\n
are able to assess it, resulting from these other proceedings will not be material to our consolidated financial position or results
\nof operations.", "dimensions": { "concept": "ifrs-full:DisclosureOfRegulatoryDeferralAccountsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00754": { "value": "Note 25
Related party transactions
\n
Related parties
\n
Related parties include associated companies over which we have direct or indirect control or have significant influence and
\n
post-employment benefit plans for the benefit of our employees. Related parties also include key management personnel (KMP),
\n
the Board of Directors (Directors), close family members of KMP and Directors, and entities which are, directly or indirectly,
\n
controlled by or jointly controlled by KMP, Directors or their close family members.
\n
Key management personnel and Directors
\n
KMP are defined as those persons having authority and responsibility for planning, directing and controlling our activities,
\n
directly or indirectly. They include the senior members of our organization called the Group Executive (GE). The GE is comprised
\n
of the President and Chief Executive Officer, and the Chief Officers and Group Heads, who report directly to him. The Directors do
\n
not plan, direct, or control the activities of the entity; they oversee the management of the business and provide stewardship.
\n
Compensation of Key management personnel and Directors
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
(1)
2023
Salaries and other short-term employee benefits
(2)
$
31
$
23
Post-employment benefits
(3)
3
2
Share-based payments
67
39
$
101
$
64
\n
(1)
During the year ended October 31, 2024, certain executives, who were members of the Bank\u2019s GE as at October 31, 2023, left the Bank and therefore were no longer part of
\n
KMP. Compensation for the year ended October 31, 2024, attributable to the former executives, including benefits and share-based payments relating to awards granted
\n
in prior years was $13 million.
\n
(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 20 for further details.
\n
Directors receive retainers but do not receive salaries and other short-term employee benefits.
\n
(3)
Directors do not receive post-employment benefits.
\n
Stock options, share-based awards and shares held by Key management personnel, Directors and their close family
\n
members
\n\n \n
As at
October 31, 2024
(1)
October 31, 2023 (2)
No. of
No. of
(Millions of Canadian dollars, except number of units)
units held
Value
units held
Value
Stock options
(3)
2,891,158
$
161
2,805,471
$
26
Other non-option share-based awards
(3)
1,108,143
185
991,909
110
RBC common and preferred shares
208,721
35
181,648
20
4,208,022
$
381
3,979,028
$
156
\n
(1)
During the year ended October 31, 2024, certain executives, who were members of the Bank\u2019s GE as at October 31, 2023, left the Bank and therefore were no longer part of
\n
KMP. Total shareholdings held upon their departure was 79,445 units with a value of $12 million.
\n
(2)
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 and options
\n
held upon their departure was 32,958 units with a value of $4 million.
\n
(3)
Directors do not receive stock options or any other non-option share-based awards.
\n
Transactions, arrangements and agreements involving Key management personnel, Directors and their close family
\n
members
\n
In the normal course of business, we provide certain banking services to KMP, Directors and their close family members. These
\n
transactions were made on substantially the same terms, including interest rates and security, as for comparable transactions
\n
with persons of a similar standing and did not involve more than the normal risk of repayment or present other unfavourable
\n
features.
\n
As at October 31, 2024, total loans to KMP, Directors and their close family members were $16 million (October 31, 2023 \u2013
\n
$18 million). We have no Stage 3 allowance or provision for credit losses relating to these loans as at and for the years ended
\n
October 31, 2024 and October 31, 2023. No guarantees, pledges or commitments have been given to KMP, Directors or their close
\n
family members.
\n
Joint ventures and associates
\n
In the normal course of business, we provide certain banking and financial services to our joint ventures and associates,
\n
including loans, interest and non-interest bearing deposits. These transactions meet the definition of related party transactions
\n
and were made on substantially the same terms as for comparable transactions with third parties.
\n
As at October 31, 2024, loans to joint ventures and associates were $184 million (October 31, 2023 \u2013 $217 million) and deposits
\n
from joint ventures and associates were $58 million (October 31, 2023 \u2013 $77 million). We have no stage 3 allowance or provision
\n
for credit losses relating to loans to joint ventures and associates as at and for the years ended October 31, 2024 and October 31,
\n
2023. $1 million of guarantees have been given to joint ventures and associates for the year ended October 31, 2024 (October 31,
\n
2023 \u2013 $1 million).
Other transactions, arrangements or agreements involving joint ventures and associates
\n\n \n
As at or for the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
2023
Commitments and other contingencies
$
1,226
$
1,089
Other fees received for services rendered
73
55
Other fees paid for services received
119
108
", "dimensions": { "concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00755": { "value": "Note 25 Related party transactions \nRelated parties \nRelated parties include associated companies over which we have direct or indirect control or have significant influence and \npost-employment benefit plans for the benefit of our employees. Related parties also include key management personnel (KMP), \nthe Board of Directors (Directors), close family members of KMP and Directors, and entities which are, directly or indirectly, \ncontrolled by or jointly controlled by KMP, Directors or their close family members. \nKey management personnel and Directors \nKMP are defined as those persons having authority and responsibility for planning, directing and controlling our activities, \ndirectly or indirectly. They include the senior members of our organization called the Group Executive (GE). The GE is comprised \nof the President and Chief Executive Officer, and the Chief Officers and Group Heads, who report directly to him. The Directors do \nnot plan, direct, or control the activities of the entity; they oversee the management of the business and provide stewardship. \nCompensation of Key management personnel and Directors \n\n For the year ended October 31 October 31 (Millions of Canadian dollars) 2024 (1) 2023 Salaries and other short-term employee benefits (2) $ 31 $ 23 Post-employment benefits (3) 3 2 Share-based payments 67 39 $ 101 $ 64 \n \n(1) During the year ended October 31, 2024, certain executives, who were members of the Bank\u2019s GE as at October 31, 2023, left the Bank and therefore were no longer part of \nKMP. Compensation for the year ended October 31, 2024, attributable to the former executives, including benefits and share-based payments relating to awards granted \nin prior years was $13 million. \n(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 20 for further details. \nDirectors receive retainers but do not receive salaries and other short-term employee benefits. \n(3) Directors do not receive post-employment benefits. \nStock options, share-based awards and shares held by Key management personnel, Directors and their close family \nmembers \n\n As at October 31, 2024 (1) October 31, 2023 (2) No. of No. of (Millions of Canadian dollars, except number of units) units held Value units held Value Stock options (3) 2,891,158 $ 161 2,805,471 $ 26 Other non-option share-based awards (3) 1,108,143 185 991,909 110 RBC common and preferred shares 208,721 35 181,648 20 4,208,022 $ 381 3,979,028 $ 156 \n \n(1) During the year ended October 31, 2024, certain executives, who were members of the Bank\u2019s GE as at October 31, 2023, left the Bank and therefore were no longer part of \nKMP. Total shareholdings held upon their departure was 79,445 units with a value of $12 million. \n(2) 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 and options \nheld upon their departure was 32,958 units with a value of $4 million. \n(3) Directors do not receive stock options or any other non-option share-based awards. \nTransactions, arrangements and agreements involving Key management personnel, Directors and their close family \nmembers \nIn the normal course of business, we provide certain banking services to KMP, Directors and their close family members. These \ntransactions were made on substantially the same terms, including interest rates and security, as for comparable transactions \nwith persons of a similar standing and did not involve more than the normal risk of repayment or present other unfavourable \nfeatures. \nAs at October 31, 2024, total loans to KMP, Directors and their close family members were $16 million (October 31, 2023 \u2013 \n$18 million). We have no Stage 3 allowance or provision for credit losses relating to these loans as at and for the years ended \nOctober 31, 2024 and October 31, 2023. No guarantees, pledges or commitments have been given to KMP, Directors or their close \nfamily members. \nJoint ventures and associates \nIn the normal course of business, we provide certain banking and financial services to our joint ventures and associates, \nincluding loans, interest and non-interest bearing deposits. These transactions meet the definition of related party transactions \nand were made on substantially the same terms as for comparable transactions with third parties. \nAs at October 31, 2024, loans to joint ventures and associates were $184 million (October 31, 2023 \u2013 $217 million) and deposits \nfrom joint ventures and associates were $58 million (October 31, 2023 \u2013 $77 million). We have no stage 3 allowance or provision \nfor credit losses relating to loans to joint ventures and associates as at and for the years ended October 31, 2024 and October 31, \n2023. $1 million of guarantees have been given to joint ventures and associates for the year ended October 31, 2024 (October 31, \n2023 \u2013 $1 million). Other transactions, arrangements or agreements involving joint ventures and associates \n\n As at or for the year ended October 31 October 31 (Millions of Canadian dollars) 2024 2023 Commitments and other contingencies $ 1,226 $ 1,089 Other fees received for services rendered 73 55 Other fees paid for services received 119 108 \n ", "dimensions": { "concept": "ifrs-full:DescriptionOfTransactionsWithRelatedParty", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00756": { "value": "Key management personnel and Directors
KMP are defined as those persons having authority and responsibility for planning, directing and controlling our activities,
\n
directly or indirectly. They include the senior members of our organization called the Group Executive (GE). The GE is comprised
\n
of the President and Chief Executive Officer, and the Chief Officers and Group Heads, who report directly to him. The Directors do
\n
not plan, direct, or control the activities of the entity; they oversee the management of the business and provide stewardship.
\n
Compensation of Key management personnel and Directors
\n\n \n
For the year ended
October 31
October 31
(Millions of Canadian dollars)
2024
(1)
2023
Salaries and other short-term employee benefits
(2)
$
31
$
23
Post-employment benefits
(3)
3
2
Share-based payments
67
39
$
101
$
64
\n
(1)
During the year ended October 31, 2024, certain executives, who were members of the Bank\u2019s GE as at October 31, 2023, left the Bank and therefore were no longer part of
\n
KMP. Compensation for the year ended October 31, 2024, attributable to the former executives, including benefits and share-based payments relating to awards granted
\n
in prior years was $13 million.
\n
(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 20 for further details.
\n
Directors receive retainers but do not receive salaries and other short-term employee benefits.
\n
(3)
Directors do not receive post-employment benefits.
\n
Stock options, share-based awards and shares held by Key management personnel, Directors and their close family
\n
members
\n\n \n
As at
October 31, 2024
(1)
October 31, 2023 (2)
No. of
No. of
(Millions of Canadian dollars, except number of units)
units held
Value
units held
Value
Stock options
(3)
2,891,158
$
161
2,805,471
$
26
Other non-option share-based awards
(3)
1,108,143
185
991,909
110
RBC common and preferred shares
208,721
35
181,648
20
4,208,022
$
381
3,979,028
$
156
\n
(1)
During the year ended October 31, 2024, certain executives, who were members of the Bank\u2019s GE as at October 31, 2023, left the Bank and therefore were no longer part of
\n
KMP. Total shareholdings held upon their departure was 79,445 units with a value of $12 million.
\n
(2)
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 and options
\n
held upon their departure was 32,958 units with a value of $4 million.
\n
(3)
Directors do not receive stock options or any other non-option share-based awards.
\n
Transactions, arrangements and agreements involving Key management personnel, Directors and their close family
\n
members
\n
In the normal course of business, we provide certain banking services to KMP, Directors and their close family members. These
\n
transactions were made on substantially the same terms, including interest rates and security, as for comparable transactions
\n
with persons of a similar standing and did not involve more than the normal risk of repayment or present other unfavourable
\n
features.
\n
As at October 31, 2024, total loans to KMP, Directors and their close family members were $16 million (October 31, 2023 \u2013
\n
$18 million). We have no Stage 3 allowance or provision for credit losses relating to these loans as at and for the years ended
\n
October 31, 2024 and October 31, 2023. No guarantees, pledges or commitments have been given to KMP, Directors or their close
\nfamily members.", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutKeyManagementPersonnelExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00757": { "value": "Note 26
Results by business segment
\n
Composition of business segments
\n
For management purposes, based on the products and services offered, we are organized into five business segments: Personal
\n
Banking, Commercial Banking, Wealth Management, Insurance and Capital Markets. Effective the fourth quarter of 2024, the
\n
Personal & Commercial Banking segment became two standalone business segments: Personal Banking and Commercial
\n
Banking. With this change, RBC Direct Investing moved from the previous Personal Banking segment to the Wealth Management
\n
segment. From a reporting perspective, there were no changes to our Capital Markets and Insurance segments. Comparative
\n
results have been revised to conform to our new basis of segment presentation.
\n
Personal Banking provides a broad suite of financial products and services to retail clients for their day-to-day banking, investing
\n
and financing needs through three geographies: Canada, the Caribbean and the U.S. In Canada, we provide a broad suite of
\n
financial products and services through our large branch network, ATMs, and mobile sales network. In the Caribbean and the
\n
U.S., we offer a broad range of financial products and services in targeted markets. Non-interest income in Personal Banking
\n
mainly comprises Mutual fund revenue, Service charges and Card service revenue.
\n
Commercial Banking offers a wide range of lending, deposit and transaction banking products and services to Canadian
\n
companies and foreign businesses in Canada at every stage of their business lifecycle through digital solutions, customized
\n
banking advice and services by experienced advisors, relationship managers and our broad team of specialists. Non-interest
\n
income in Commercial Banking mainly comprises Service charges, Credit fees, and Foreign exchange revenue, other than trading.
\n
Wealth Management primarily serves high net worth and ultra-high net worth individual and institutional clients with a
\n
comprehensive suite of advice-based solutions and investment strategies, as well as personalized banking relationships and
\n
self-directed investment service through our lines of businesses in Canada, the U.S., the U.K., Europe and Asia, including
\n
Canadian Wealth Management, U.S. Wealth Management (including City National), Global Asset Management, International
\n
Wealth Management, and Investor Services. Non-interest income in Wealth Management mainly comprises Investment
\n
management and custodial fees, Mutual fund revenue and Securities brokerage commissions.
\n
Insurance has operations in Canada and globally providing a wide range of advice and solutions for individual and business
\n
clients including life, health, wealth, property & casualty, travel, group benefits, annuities, and reinsurance. We offer our
\n
products and services through a wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\n
\u00ae
\n
stores
\n
and digital platforms, as well as through independent brokers and partners. We also operate in reinsurance and retrocession
\n
markets globally offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance
\n
primarily comprises Insurance service result and Insurance investment result.
\n
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
\n
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
\n
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
\n
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
\n
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
\n
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
\n
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
\n
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
\n
mainly includes Underwriting and other advisory fees, Trading revenue and Credit fees.
\n
All other enterprise level activities that are not allocated to these five business segments, such as certain treasury and liquidity
\n
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
\n
elimination of the taxable equivalent basis (teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross up
\n
income from certain tax-advantaged sources from Canadian taxable corporate dividends received on or before December 31,
\n
2023 and U.S. tax credit investments recorded in Capital Markets to their effective tax equivalent value with the corresponding
\n
offset recorded in the provision for income taxes. Management believes that these teb adjustments are necessary for Capital
\n
Markets to reflect how it is managed and enhances the comparability of revenue across our taxable and tax-advantaged sources.
\n
Our use of teb adjustments may not be comparable to similarly adjusted amounts at other financial institutions. The teb
\n
adjustment for the year ended October 31, 2024 was $294 million (October 31, 2023 \u2013 $559 million). Gains (losses) on economic
\n
hedges of our U.S. Wealth Management (including City National) share-based compensation plans, which are reflected in
\n
revenue, and related variability in share-based compensation expense driven by changes in the fair value of liabilities relating to
\n
these plans are also included in Corporate Support as this presentation more closely aligns with how we view business
\n
performance and manage the underlying risks.
\n
Geographic segments
\n
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
\n
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
\n
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
\n
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
\n
exchange rate fluctuations with respect to the movement in the Canadian dollar.
Management reporting framework
\n
Our management reporting framework is intended to measure the performance of each business segment as if it were a stand-
\n
alone business and reflects the way that the business segment is managed. This approach is intended to ensure that our
\n
business segments\u2019 results include all applicable revenue and expenses associated with the conduct of their business and
\n
depicts how management views those results. We regularly monitor these segment results for the purpose of making decisions
\n
about resource allocation and performance assessment. These items do not impact our consolidated results.
\n
The expenses in each business segment may include costs or services directly incurred or provided on their behalf at the
\n
enterprise level. For other costs not directly attributable to one of our business segments, we use a management reporting
\n
framework that uses assumptions and methodologies for allocating overhead costs and indirect expenses to our business
\n
segments and that assists in the attribution of capital and the transfer pricing of funds to our business segments in a manner that
\n
consistently measures and aligns the economic costs with the underlying benefits and risks of that specific business segment.
\n
Activities and business conducted between our business segments are generally at market rates. All other enterprise level
\n
activities that are not allocated to our five business segments are reported under Corporate Support.
\n
Our assumptions and methodologies used in our management reporting framework are periodically reviewed by us to ensure
\n
that they remain valid. The capital attribution methodologies involve a number of assumptions that are revised periodically.
\n\n \n
For the year ended October 31, 2024
Personal
Commercial
Wealth
Capital
Corporate
United
Other
(Millions of Canadian dollars)
Banking
(1)
Banking
(1)
Management
(1)
Insurance
Markets
(1), (2)
Support
(2)
Total
Canada
States
International
Net interest income
(3)
$ 12,438
$
6,061
$
4,979
$
\u2013
$
3,183
$
1,292
$
27,953
$
22,281
$
4,268
$
1,404
Non-interest income
4,904
1,321
14,647
1,224
8,829
(1,534)
29,391
13,566
10,766
5,059
Total revenue
17,342
7,382
19,626
1,224
12,012
(242)
57,344
35,847
15,034
6,463
Provision for credit losses
1,802
975
29
2
424
\u2013
3,232
2,876
276
80
Non-interest expense
7,485
2,512
15,312
285
7,016
1,640
34,250
17,321
12,553
4,376
Net income (loss) before
income taxes
8,055
3,895
4,285
937
4,572
(1,882)
19,862
15,650
2,205
2,007
Income taxes (recoveries)
2,134
1,077
863
208
(1)
(659)
3,622
4,384
(675)
(87)
Net income
$
5,921
$
2,818
$
3,422
$
729
$
4,573
$
(1,223)
$
16,240
$
11,266
$
2,880
$
2,094
Non-interest expense
includes:
Depreciation and
amortization
$
1,105
$
62
$
1,223
$
6
$
528
$
(11)
$
2,913
$
1,747
$
846
$
320
Impairment of other
intangibles
21
\u2013
23
2
22
\u2013
68
44
22
2
Total assets
$ 555,029
$ 187,142
$
184,503
$ 29,288
$
1,127,661
$
87,959
$2,171,582
$1,205,561
$ 615,747
$
350,274
Total assets include:
Additions to premises and
equipment and
intangibles
$
2,274
$
740
$
887
$
11
$
494
$
680
$
5,086
$
4,005
$
769
$
312
Total liabilities
$ 554,970
$ 187,135
$
183,055
$ 29,158
$
1,127,564
$ (37,492)
$2,044,390
\n\n \n
For the year ended October 31, 2023 (Restated \u2013 Note 2)
Personal
Commercial
Wealth
Capital
Corporate
United
Other
(Millions of Canadian dollars)
Banking
(4)
Banking
(4)
Management
(4)
Insurance
Markets
(2)
Support
(2)
Total
Canada
States
International
Net interest income
(3)
$
10,945
$
4,771
$
4,853
$
\u2013
$
3,379
$
1,181
$
25,129
$
18,752
$
5,065
$
1,312
Non-interest income
4,526
1,261
13,308
1,010
7,672
(1,442)
26,335
12,241
8,563
5,531
Total revenue
15,471
6,032
18,161
1,010
11,051
(261)
51,464
30,993
13,628
6,843
Provision for credit losses
1,264
315
328
\u2013
561
\u2013
2,468
1,648
784
36
Non-interest expense
6,813
2,143
14,387
293
6,509
668
30,813
14,972
11,177
4,664
Net income (loss) before
income taxes
7,394
3,574
3,446
717
3,981
(929)
18,183
14,373
1,667
2,143
Income taxes (recoveries)
1,976
992
753
168
(158)
(160)
3,571
4,707
(1,103)
(33)
Net income
$
5,418
$
2,582
$
2,693
$
549
$
4,139
$
(769)
$
14,612
$
9,666
$
2,770
$
2,176
Non-interest expense
includes:
Depreciation and
amortization
$
951
$
4
$
1,240
$
42
$
509
$
\u2013
$
2,746
$
1,554
$
836
$
356
Impairment of other
intangibles
13
\u2013
81
1
2
11
108
28
65
15
Total assets
$ 498,533
$
135,959
$
180,781
$
24,130
$
1,100,172
$
66,956
$ 2,006,531
$ 1,043,737
$ 639,296
$
323,498
Total assets include:
Additions to premises and
equipment and
intangibles
$
463
$
\u2013
$
1,008
$
53
$
311
$
639
$
2,474
$
1,334
$
700
$
440
Total liabilities
$ 498,442
$
135,956
$
178,943
$
24,895
$
1,099,893
$ (46,745)
$ 1,891,384
\n
(1)
On March 28, 2024, we completed the HSBC Canada transaction. HSBC Canada results have been consolidated from the closing date, and are included in our Personal
\n
Banking, Commercial Banking, Wealth Management and Capital Markets segments. For further details, refer to Note 6
\n
(2)
Taxable equivalent basis.
\n
(3)
Interest revenue is reported net of interest expense as we rely primarily on net interest income as a performance measure.
\n
(4)
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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00758": { "value": "Note 26
Results by business segment
\n
Composition of business segments
\n
For management purposes, based on the products and services offered, we are organized into five business segments: Personal
\n
Banking, Commercial Banking, Wealth Management, Insurance and Capital Markets. Effective the fourth quarter of 2024, the
\n
Personal & Commercial Banking segment became two standalone business segments: Personal Banking and Commercial
\n
Banking. With this change, RBC Direct Investing moved from the previous Personal Banking segment to the Wealth Management
\n
segment. From a reporting perspective, there were no changes to our Capital Markets and Insurance segments. Comparative
\n
results have been revised to conform to our new basis of segment presentation.
\n
Personal Banking provides a broad suite of financial products and services to retail clients for their day-to-day banking, investing
\n
and financing needs through three geographies: Canada, the Caribbean and the U.S. In Canada, we provide a broad suite of
\n
financial products and services through our large branch network, ATMs, and mobile sales network. In the Caribbean and the
\n
U.S., we offer a broad range of financial products and services in targeted markets. Non-interest income in Personal Banking
\n
mainly comprises Mutual fund revenue, Service charges and Card service revenue.
\n
Commercial Banking offers a wide range of lending, deposit and transaction banking products and services to Canadian
\n
companies and foreign businesses in Canada at every stage of their business lifecycle through digital solutions, customized
\n
banking advice and services by experienced advisors, relationship managers and our broad team of specialists. Non-interest
\n
income in Commercial Banking mainly comprises Service charges, Credit fees, and Foreign exchange revenue, other than trading.
\n
Wealth Management primarily serves high net worth and ultra-high net worth individual and institutional clients with a
\n
comprehensive suite of advice-based solutions and investment strategies, as well as personalized banking relationships and
\n
self-directed investment service through our lines of businesses in Canada, the U.S., the U.K., Europe and Asia, including
\n
Canadian Wealth Management, U.S. Wealth Management (including City National), Global Asset Management, International
\n
Wealth Management, and Investor Services. Non-interest income in Wealth Management mainly comprises Investment
\n
management and custodial fees, Mutual fund revenue and Securities brokerage commissions.
\n
Insurance has operations in Canada and globally providing a wide range of advice and solutions for individual and business
\n
clients including life, health, wealth, property & casualty, travel, group benefits, annuities, and reinsurance. We offer our
\n
products and services through a wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\n
\u00ae
\n
stores
\n
and digital platforms, as well as through independent brokers and partners. We also operate in reinsurance and retrocession
\n
markets globally offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance
\n
primarily comprises Insurance service result and Insurance investment result.
\n
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
\n
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
\n
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
\n
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
\n
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
\n
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
\n
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
\n
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
\n
mainly includes Underwriting and other advisory fees, Trading revenue and Credit fees.
\n
All other enterprise level activities that are not allocated to these five business segments, such as certain treasury and liquidity
\n
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
\n
elimination of the taxable equivalent basis (teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross up
\n
income from certain tax-advantaged sources from Canadian taxable corporate dividends received on or before December 31,
\n
2023 and U.S. tax credit investments recorded in Capital Markets to their effective tax equivalent value with the corresponding
\n
offset recorded in the provision for income taxes. Management believes that these teb adjustments are necessary for Capital
\n
Markets to reflect how it is managed and enhances the comparability of revenue across our taxable and tax-advantaged sources.
\n
Our use of teb adjustments may not be comparable to similarly adjusted amounts at other financial institutions. The teb
\n
adjustment for the year ended October 31, 2024 was $294 million (October 31, 2023 \u2013 $559 million). Gains (losses) on economic
\n
hedges of our U.S. Wealth Management (including City National) share-based compensation plans, which are reflected in
\n
revenue, and related variability in share-based compensation expense driven by changes in the fair value of liabilities relating to
\n
these plans are also included in Corporate Support as this presentation more closely aligns with how we view business
\n
performance and manage the underlying risks.
\n
Geographic segments
\n
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
\n
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
\n
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
\n
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
\n
exchange rate fluctuations with respect to the movement in the Canadian dollar.
\n
Management reporting framework
\n
Our management reporting framework is intended to measure the performance of each business segment as if it were a stand-
\n
alone business and reflects the way that the business segment is managed. This approach is intended to ensure that our
\n
business segments\u2019 results include all applicable revenue and expenses associated with the conduct of their business and
\n
depicts how management views those results. We regularly monitor these segment results for the purpose of making decisions
\n
about resource allocation and performance assessment. These items do not impact our consolidated results.
\n
The expenses in each business segment may include costs or services directly incurred or provided on their behalf at the
\n
enterprise level. For other costs not directly attributable to one of our business segments, we use a management reporting
\n
framework that uses assumptions and methodologies for allocating overhead costs and indirect expenses to our business
\n
segments and that assists in the attribution of capital and the transfer pricing of funds to our business segments in a manner that
\n
consistently measures and aligns the economic costs with the underlying benefits and risks of that specific business segment.
\n
Activities and business conducted between our business segments are generally at market rates. All other enterprise level
\n
activities that are not allocated to our five business segments are reported under Corporate Support.
\n
Our assumptions and methodologies used in our management reporting framework are periodically reviewed by us to ensure
\n
that they remain valid. The capital attribution methodologies involve a number of assumptions that are revised periodically.
\n\n \n
For the year ended October 31, 2024
Personal
Commercial
Wealth
Capital
Corporate
United
Other
(Millions of Canadian dollars)
Banking
(1)
Banking
(1)
Management
(1)
Insurance
Markets
(1), (2)
Support
(2)
Total
Canada
States
International
Net interest income
(3)
$ 12,438
$
6,061
$
4,979
$
\u2013
$
3,183
$
1,292
$
27,953
$
22,281
$
4,268
$
1,404
Non-interest income
4,904
1,321
14,647
1,224
8,829
(1,534)
29,391
13,566
10,766
5,059
Total revenue
17,342
7,382
19,626
1,224
12,012
(242)
57,344
35,847
15,034
6,463
Provision for credit losses
1,802
975
29
2
424
\u2013
3,232
2,876
276
80
Non-interest expense
7,485
2,512
15,312
285
7,016
1,640
34,250
17,321
12,553
4,376
Net income (loss) before
income taxes
8,055
3,895
4,285
937
4,572
(1,882)
19,862
15,650
2,205
2,007
Income taxes (recoveries)
2,134
1,077
863
208
(1)
(659)
3,622
4,384
(675)
(87)
Net income
$
5,921
$
2,818
$
3,422
$
729
$
4,573
$
(1,223)
$
16,240
$
11,266
$
2,880
$
2,094
Non-interest expense
includes:
Depreciation and
amortization
$
1,105
$
62
$
1,223
$
6
$
528
$
(11)
$
2,913
$
1,747
$
846
$
320
Impairment of other
intangibles
21
\u2013
23
2
22
\u2013
68
44
22
2
Total assets
$ 555,029
$ 187,142
$
184,503
$ 29,288
$
1,127,661
$
87,959
$2,171,582
$1,205,561
$ 615,747
$
350,274
Total assets include:
Additions to premises and
equipment and
intangibles
$
2,274
$
740
$
887
$
11
$
494
$
680
$
5,086
$
4,005
$
769
$
312
Total liabilities
$ 554,970
$ 187,135
$
183,055
$ 29,158
$
1,127,564
$ (37,492)
$2,044,390
\n\n \n
For the year ended October 31, 2023 (Restated \u2013 Note 2)
Personal
Commercial
Wealth
Capital
Corporate
United
Other
(Millions of Canadian dollars)
Banking
(4)
Banking
(4)
Management
(4)
Insurance
Markets
(2)
Support
(2)
Total
Canada
States
International
Net interest income
(3)
$
10,945
$
4,771
$
4,853
$
\u2013
$
3,379
$
1,181
$
25,129
$
18,752
$
5,065
$
1,312
Non-interest income
4,526
1,261
13,308
1,010
7,672
(1,442)
26,335
12,241
8,563
5,531
Total revenue
15,471
6,032
18,161
1,010
11,051
(261)
51,464
30,993
13,628
6,843
Provision for credit losses
1,264
315
328
\u2013
561
\u2013
2,468
1,648
784
36
Non-interest expense
6,813
2,143
14,387
293
6,509
668
30,813
14,972
11,177
4,664
Net income (loss) before
income taxes
7,394
3,574
3,446
717
3,981
(929)
18,183
14,373
1,667
2,143
Income taxes (recoveries)
1,976
992
753
168
(158)
(160)
3,571
4,707
(1,103)
(33)
Net income
$
5,418
$
2,582
$
2,693
$
549
$
4,139
$
(769)
$
14,612
$
9,666
$
2,770
$
2,176
Non-interest expense
includes:
Depreciation and
amortization
$
951
$
4
$
1,240
$
42
$
509
$
\u2013
$
2,746
$
1,554
$
836
$
356
Impairment of other
intangibles
13
\u2013
81
1
2
11
108
28
65
15
Total assets
$ 498,533
$
135,959
$
180,781
$
24,130
$
1,100,172
$
66,956
$ 2,006,531
$ 1,043,737
$ 639,296
$
323,498
Total assets include:
Additions to premises and
equipment and
intangibles
$
463
$
\u2013
$
1,008
$
53
$
311
$
639
$
2,474
$
1,334
$
700
$
440
Total liabilities
$ 498,442
$
135,956
$
178,943
$
24,895
$
1,099,893
$ (46,745)
$ 1,891,384
\n
(1)
On March 28, 2024, we completed the HSBC Canada transaction. HSBC Canada results have been consolidated from the closing date, and are included in our Personal
\n
Banking, Commercial Banking, Wealth Management and Capital Markets segments. For further details, refer to Note 6
\n
(2)
Taxable equivalent basis.
\n
(3)
Interest revenue is reported net of interest expense as we rely primarily on net interest income as a performance measure.
\n
(4)
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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00834": { "value": "Note 26
Results by business segment
\n
Composition of business segments
\n
For management purposes, based on the products and services offered, we are organized into five business segments: Personal
\n
Banking, Commercial Banking, Wealth Management, Insurance and Capital Markets. Effective the fourth quarter of 2024, the
\n
Personal & Commercial Banking segment became two standalone business segments: Personal Banking and Commercial
\n
Banking. With this change, RBC Direct Investing moved from the previous Personal Banking segment to the Wealth Management
\n
segment. From a reporting perspective, there were no changes to our Capital Markets and Insurance segments. Comparative
\n
results have been revised to conform to our new basis of segment presentation.
\n
Personal Banking provides a broad suite of financial products and services to retail clients for their day-to-day banking, investing
\n
and financing needs through three geographies: Canada, the Caribbean and the U.S. In Canada, we provide a broad suite of
\n
financial products and services through our large branch network, ATMs, and mobile sales network. In the Caribbean and the
\n
U.S., we offer a broad range of financial products and services in targeted markets. Non-interest income in Personal Banking
\n
mainly comprises Mutual fund revenue, Service charges and Card service revenue.
\n
Commercial Banking offers a wide range of lending, deposit and transaction banking products and services to Canadian
\n
companies and foreign businesses in Canada at every stage of their business lifecycle through digital solutions, customized
\n
banking advice and services by experienced advisors, relationship managers and our broad team of specialists. Non-interest
\n
income in Commercial Banking mainly comprises Service charges, Credit fees, and Foreign exchange revenue, other than trading.
\n
Wealth Management primarily serves high net worth and ultra-high net worth individual and institutional clients with a
\n
comprehensive suite of advice-based solutions and investment strategies, as well as personalized banking relationships and
\n
self-directed investment service through our lines of businesses in Canada, the U.S., the U.K., Europe and Asia, including
\n
Canadian Wealth Management, U.S. Wealth Management (including City National), Global Asset Management, International
\n
Wealth Management, and Investor Services. Non-interest income in Wealth Management mainly comprises Investment
\n
management and custodial fees, Mutual fund revenue and Securities brokerage commissions.
\n
Insurance has operations in Canada and globally providing a wide range of advice and solutions for individual and business
\n
clients including life, health, wealth, property & casualty, travel, group benefits, annuities, and reinsurance. We offer our
\n
products and services through a wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\n
\u00ae
\n
stores
\n
and digital platforms, as well as through independent brokers and partners. We also operate in reinsurance and retrocession
\n
markets globally offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance
\n
primarily comprises Insurance service result and Insurance investment result.
\n
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
\n
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
\n
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
\n
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
\n
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
\n
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
\n
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
\n
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
\n
mainly includes Underwriting and other advisory fees, Trading revenue and Credit fees.
\n
All other enterprise level activities that are not allocated to these five business segments, such as certain treasury and liquidity
\n
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
\n
elimination of the taxable equivalent basis (teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross up
\n
income from certain tax-advantaged sources from Canadian taxable corporate dividends received on or before December 31,
\n
2023 and U.S. tax credit investments recorded in Capital Markets to their effective tax equivalent value with the corresponding
\n
offset recorded in the provision for income taxes. Management believes that these teb adjustments are necessary for Capital
\n
Markets to reflect how it is managed and enhances the comparability of revenue across our taxable and tax-advantaged sources.
\n
Our use of teb adjustments may not be comparable to similarly adjusted amounts at other financial institutions. The teb
\n
adjustment for the year ended October 31, 2024 was $294 million (October 31, 2023 \u2013 $559 million). Gains (losses) on economic
\n
hedges of our U.S. Wealth Management (including City National) share-based compensation plans, which are reflected in
\n
revenue, and related variability in share-based compensation expense driven by changes in the fair value of liabilities relating to
\n
these plans are also included in Corporate Support as this presentation more closely aligns with how we view business
\n
performance and manage the underlying risks.
\n
Geographic segments
\n
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
\n
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
\n
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
\n
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
\n
exchange rate fluctuations with respect to the movement in the Canadian dollar.
\n
Management reporting framework
\n
Our management reporting framework is intended to measure the performance of each business segment as if it were a stand-
\n
alone business and reflects the way that the business segment is managed. This approach is intended to ensure that our
\n
business segments\u2019 results include all applicable revenue and expenses associated with the conduct of their business and
\n
depicts how management views those results. We regularly monitor these segment results for the purpose of making decisions
\n
about resource allocation and performance assessment. These items do not impact our consolidated results.
\n
The expenses in each business segment may include costs or services directly incurred or provided on their behalf at the
\n
enterprise level. For other costs not directly attributable to one of our business segments, we use a management reporting
\n
framework that uses assumptions and methodologies for allocating overhead costs and indirect expenses to our business
\n
segments and that assists in the attribution of capital and the transfer pricing of funds to our business segments in a manner that
\n
consistently measures and aligns the economic costs with the underlying benefits and risks of that specific business segment.
\n
Activities and business conducted between our business segments are generally at market rates. All other enterprise level
\n
activities that are not allocated to our five business segments are reported under Corporate Support.
\n
Our assumptions and methodologies used in our management reporting framework are periodically reviewed by us to ensure
\n
that they remain valid. The capital attribution methodologies involve a number of assumptions that are revised periodically.
\n\n \n
For the year ended October 31, 2024
Personal
Commercial
Wealth
Capital
Corporate
United
Other
(Millions of Canadian dollars)
Banking
(1)
Banking
(1)
Management
(1)
Insurance
Markets
(1), (2)
Support
(2)
Total
Canada
States
International
Net interest income
(3)
$ 12,438
$
6,061
$
4,979
$
\u2013
$
3,183
$
1,292
$
27,953
$
22,281
$
4,268
$
1,404
Non-interest income
4,904
1,321
14,647
1,224
8,829
(1,534)
29,391
13,566
10,766
5,059
Total revenue
17,342
7,382
19,626
1,224
12,012
(242)
57,344
35,847
15,034
6,463
Provision for credit losses
1,802
975
29
2
424
\u2013
3,232
2,876
276
80
Non-interest expense
7,485
2,512
15,312
285
7,016
1,640
34,250
17,321
12,553
4,376
Net income (loss) before
income taxes
8,055
3,895
4,285
937
4,572
(1,882)
19,862
15,650
2,205
2,007
Income taxes (recoveries)
2,134
1,077
863
208
(1)
(659)
3,622
4,384
(675)
(87)
Net income
$
5,921
$
2,818
$
3,422
$
729
$
4,573
$
(1,223)
$
16,240
$
11,266
$
2,880
$
2,094
Non-interest expense
includes:
Depreciation and
amortization
$
1,105
$
62
$
1,223
$
6
$
528
$
(11)
$
2,913
$
1,747
$
846
$
320
Impairment of other
intangibles
21
\u2013
23
2
22
\u2013
68
44
22
2
Total assets
$ 555,029
$ 187,142
$
184,503
$ 29,288
$
1,127,661
$
87,959
$2,171,582
$1,205,561
$ 615,747
$
350,274
Total assets include:
Additions to premises and
equipment and
intangibles
$
2,274
$
740
$
887
$
11
$
494
$
680
$
5,086
$
4,005
$
769
$
312
Total liabilities
$ 554,970
$ 187,135
$
183,055
$ 29,158
$
1,127,564
$ (37,492)
$2,044,390
\n\n \n
For the year ended October 31, 2023 (Restated \u2013 Note 2)
Personal
Commercial
Wealth
Capital
Corporate
United
Other
(Millions of Canadian dollars)
Banking
(4)
Banking
(4)
Management
(4)
Insurance
Markets
(2)
Support
(2)
Total
Canada
States
International
Net interest income
(3)
$
10,945
$
4,771
$
4,853
$
\u2013
$
3,379
$
1,181
$
25,129
$
18,752
$
5,065
$
1,312
Non-interest income
4,526
1,261
13,308
1,010
7,672
(1,442)
26,335
12,241
8,563
5,531
Total revenue
15,471
6,032
18,161
1,010
11,051
(261)
51,464
30,993
13,628
6,843
Provision for credit losses
1,264
315
328
\u2013
561
\u2013
2,468
1,648
784
36
Non-interest expense
6,813
2,143
14,387
293
6,509
668
30,813
14,972
11,177
4,664
Net income (loss) before
income taxes
7,394
3,574
3,446
717
3,981
(929)
18,183
14,373
1,667
2,143
Income taxes (recoveries)
1,976
992
753
168
(158)
(160)
3,571
4,707
(1,103)
(33)
Net income
$
5,418
$
2,582
$
2,693
$
549
$
4,139
$
(769)
$
14,612
$
9,666
$
2,770
$
2,176
Non-interest expense
includes:
Depreciation and
amortization
$
951
$
4
$
1,240
$
42
$
509
$
\u2013
$
2,746
$
1,554
$
836
$
356
Impairment of other
intangibles
13
\u2013
81
1
2
11
108
28
65
15
Total assets
$ 498,533
$
135,959
$
180,781
$
24,130
$
1,100,172
$
66,956
$ 2,006,531
$ 1,043,737
$ 639,296
$
323,498
Total assets include:
Additions to premises and
equipment and
intangibles
$
463
$
\u2013
$
1,008
$
53
$
311
$
639
$
2,474
$
1,334
$
700
$
440
Total liabilities
$ 498,442
$
135,956
$
178,943
$
24,895
$
1,099,893
$ (46,745)
$ 1,891,384
\n
(1)
On March 28, 2024, we completed the HSBC Canada transaction. HSBC Canada results have been consolidated from the closing date, and are included in our Personal
\n
Banking, Commercial Banking, Wealth Management and Capital Markets segments. For further details, refer to Note 6
\n
(2)
Taxable equivalent basis.
\n
(3)
Interest revenue is reported net of interest expense as we rely primarily on net interest income as a performance measure.
\n
(4)
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": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00759": { "value": "Composition of business segments
For management purposes, based on the products and services offered, we are organized into five business segments: Personal
\n
Banking, Commercial Banking, Wealth Management, Insurance and Capital Markets. Effective the fourth quarter of 2024, the
\n
Personal & Commercial Banking segment became two standalone business segments: Personal Banking and Commercial
\n
Banking. With this change, RBC Direct Investing moved from the previous Personal Banking segment to the Wealth Management
\n
segment. From a reporting perspective, there were no changes to our Capital Markets and Insurance segments. Comparative
\n
results have been revised to conform to our new basis of segment presentation.
\n
Personal Banking provides a broad suite of financial products and services to retail clients for their day-to-day banking, investing
\n
and financing needs through three geographies: Canada, the Caribbean and the U.S. In Canada, we provide a broad suite of
\n
financial products and services through our large branch network, ATMs, and mobile sales network. In the Caribbean and the
\n
U.S., we offer a broad range of financial products and services in targeted markets. Non-interest income in Personal Banking
\n
mainly comprises Mutual fund revenue, Service charges and Card service revenue.
\n
Commercial Banking offers a wide range of lending, deposit and transaction banking products and services to Canadian
\n
companies and foreign businesses in Canada at every stage of their business lifecycle through digital solutions, customized
\n
banking advice and services by experienced advisors, relationship managers and our broad team of specialists. Non-interest
\n
income in Commercial Banking mainly comprises Service charges, Credit fees, and Foreign exchange revenue, other than trading.
\n
Wealth Management primarily serves high net worth and ultra-high net worth individual and institutional clients with a
\n
comprehensive suite of advice-based solutions and investment strategies, as well as personalized banking relationships and
\n
self-directed investment service through our lines of businesses in Canada, the U.S., the U.K., Europe and Asia, including
\n
Canadian Wealth Management, U.S. Wealth Management (including City National), Global Asset Management, International
\n
Wealth Management, and Investor Services. Non-interest income in Wealth Management mainly comprises Investment
\n
management and custodial fees, Mutual fund revenue and Securities brokerage commissions.
\n
Insurance has operations in Canada and globally providing a wide range of advice and solutions for individual and business
\n
clients including life, health, wealth, property & casualty, travel, group benefits, annuities, and reinsurance. We offer our
\n
products and services through a wide variety of channels, comprised of mobile advisors, advice centres, RBC Insurance
\n
\u00ae
\n
stores
\n
and digital platforms, as well as through independent brokers and partners. We also operate in reinsurance and retrocession
\n
markets globally offering life, critical illness, disability and longevity reinsurance products. Non-interest income in Insurance
\n
primarily comprises Insurance service result and Insurance investment result.
\n
Capital Markets provides expertise in advisory & origination, sales & trading, lending & financing and transaction banking to
\n
corporations, institutional clients, asset managers, private equity firms and governments globally in our two main business lines:
\n
Corporate & Investment Banking and Global Markets. In North America, we offer a full suite of products and services which
\n
include equity and debt origination and distribution, advisory services, and sales & trading. Outside North America, we have a
\n
targeted strategic presence in the U.K. & Europe, Australia, Asia & other markets aligned to our global expertise. In the U.K. &
\n
Europe, we offer a diversified set of capabilities in key industry sectors of focus. In Australia and Asia, we compete with global
\n
and regional investment banks in targeted areas aligned to our global expertise, including fixed income distribution and
\n
currencies trading, secured financing, as well as corporate and investment banking. Non-interest income in Capital Markets
\n
mainly includes Underwriting and other advisory fees, Trading revenue and Credit fees.
\n
All other enterprise level activities that are not allocated to these five business segments, such as certain treasury and liquidity
\n
management activities, including amounts associated with unattributed capital, and consolidation adjustments, including the
\n
elimination of the taxable equivalent basis (teb) gross-up amounts, are included in Corporate Support. Teb adjustments gross up
\n
income from certain tax-advantaged sources from Canadian taxable corporate dividends received on or before December 31,
\n
2023 and U.S. tax credit investments recorded in Capital Markets to their effective tax equivalent value with the corresponding
\n
offset recorded in the provision for income taxes. Management believes that these teb adjustments are necessary for Capital
\n
Markets to reflect how it is managed and enhances the comparability of revenue across our taxable and tax-advantaged sources.
\n
Our use of teb adjustments may not be comparable to similarly adjusted amounts at other financial institutions. The teb
\n
adjustment for the year ended October 31, 2024 was $294 million (October 31, 2023 \u2013 $559 million). Gains (losses) on economic
\n
hedges of our U.S. Wealth Management (including City National) share-based compensation plans, which are reflected in
\n
revenue, and related variability in share-based compensation expense driven by changes in the fair value of liabilities relating to
\n
these plans are also included in Corporate Support as this presentation more closely aligns with how we view business
\nperformance and manage the underlying risks.", "dimensions": { "concept": "ifrs-full:DisclosureOfCompositionOfGroupExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00760": { "value": "Geographic segments
For geographic reporting, our segments are grouped into Canada, the U.S. and Other International. Transactions are primarily
\n
recorded in the location that best reflects the risk due to negative changes in economic conditions and prospects for growth due
\n
to positive economic changes. This location frequently corresponds with the location of the legal entity through which the
\n
business is conducted and the location of our clients. Transactions are recorded in the local currency and are subject to foreign
\nexchange rate fluctuations with respect to the movement in the Canadian dollar.", "dimensions": { "concept": "ifrs-full:DisclosureOfGeographicalAreasExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00761": { "value": "Note 27
Nature and extent of risks arising from financial instruments
\n
We are exposed to credit, market and liquidity and funding risks as a result of holding financial instruments. Our risk
\n
measurement and objectives, policies and methodologies for managing these risks are disclosed in the shaded text along with
\n
those tables specifically marked with an asterisk (*) in the Credit risk section of Management\u2019s Discussion and Analysis. These
\n
shaded text and tables are an integral part of these Consolidated Financial Statements.
\n
Concentrations of credit risk exist if a number of our counterparties are engaged in similar activities, are located in the same
\n
geographic region or have comparable economic characteristics such that their ability to meet contractual obligations would be
\n
similarly affected by changes in economic, political or other conditions.
\n
Concentrations of credit risk indicate the relative sensitivity of our performance to developments affecting a particular
\n
industry or geographic location. The amounts of credit exposure associated with certain of our on- and off-balance sheet
\n
financial instruments are summarized in the following tables.
\n\n \n
As at October 31, 2024
(Millions of Canadian dollars,
United
Other
except percentage amounts)
Canada
%
States
%
Europe
%
International
%
Total
On-balance sheet assets other than
derivatives
(1)
$ 897,614
67%
$ 297,335
22%
$
88,394
7%
$
54,912
4%
$ 1,338,255
Derivatives before master netting
agreements
(2), (3)
21,555
14%
47,204
31%
71,198
46%
13,276
9%
153,233
$ 919,169
61%
$ 344,539
23%
$ 159,592
11%
$
68,188
5%
$ 1,491,488
Off-balance sheet credit
instruments
(4)
Committed and uncommitted
(5)
$ 487,142
57%
$ 282,907
34%
$
51,516
6%
$
27,615
3%
$
849,180
Other
82,910
48%
67,322
39%
18,162
11%
3,145
2%
171,539
$ 570,052
56%
$ 350,229
34%
$
69,678
7%
$
30,760
3%
$ 1,020,719
\n\n \n
As at October 31, 2023
(Millions of Canadian dollars,
United
Other
except percentage amounts)
Canada
%
States
%
Europe
%
International
%
Total
On-balance sheet assets other than
derivatives
(1)
$ 798,259
66%
$ 294,670
24%
$
76,637
6%
$
50,147
4%
$ 1,219,713
Derivatives before master netting
agreements
(2), (3)
27,221
19%
36,698
25%
67,406
46%
14,470
10%
145,795
$ 825,480
60%
$ 331,368
24%
$ 144,043
11%
$
64,617
5%
$ 1,365,508
Off-balance sheet credit
instruments
(4)
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
$ 513,071
57%
$ 282,808
32%
$
72,821
8%
$
25,914
3%
$
894,614
\n
(1)
Includes Assets purchased under reverse repurchase agreements and securities borrowed, Loans and Customers\u2019 liability under acceptances. The largest concentrations
\n
in Canada are Ontario at 57% (October 31, 2023 \u2013 57%), Alberta, Saskatchewan and Manitoba at 13% (October 31, 2023 \u2013 15%), British Columbia and the territories at 16%
\n
(October 31, 2023 \u2013 14%) and Quebec at 10% (October 31, 2023 \u2013 10%). No industry accounts for more than 20% (October 31, 2023 \u2013 20%) of total on-balance sheet credit
\n
instruments, with the exception of Banking, which accounted for 24% (October 31, 2023 \u2013 25%), and Government, which accounted for 28% (October 31, 2023 \u2013 28%). The
\n
classification of our sectors aligns with our view of credit risk by industry.
\n
(2)
A further breakdown of our derivative exposures by risk rating and counterparty type is provided in Note 9.
\n
(3)
Excludes valuation adjustments determined on a pooled basis.
\n
(4)
Balances presented are contractual amounts representing our maximum exposure to credit risk.
\n
(5)
Represents our maximum exposure to credit risk. Retail and wholesale commitments respectively comprise 40% and 60% of our total commitments (October 31, 2023 \u2013
\n
44% and 56%). The largest concentrations in the wholesale portfolio relate to Financial services at 14% (October 31, 2023 \u2013 15%), Real estate and related at 12%
\n
(October 31, 2023 \u2013 12%), Investments at 10% (October 31, 2023 \u2013 6%), Utilities at 10% (October 31, 2023 \u2013 11%), and Other services at 7% (October 31, 2023 \u2013 8%). The
\nclassification of our sectors aligns with our view of credit risk by industry.", "dimensions": { "concept": "ifrs-full:DisclosureOfNatureAndExtentOfRisksArisingFromFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00762": { "value": "Note 28
Capital management
\n
Regulatory capital and capital ratios
\n
OSFI formally establishes risk-based capital and leverage minimums and Total Loss Absorbing Capacity (TLAC) ratios for deposit-
\n
taking institutions in Canada. We are required to calculate our capital ratios using the Basel III framework. Under Basel III,
\n
regulatory capital includes Common Equity Tier 1 (CET1), Tier 1 and Tier 2 capital. CET1 capital mainly consists of common shares,
\n
retained earnings and other components of equity. Regulatory adjustments under Basel III include deductions of goodwill and
\n
other intangibles, certain deferred tax assets, defined benefit pension fund assets, investments in banking, financial and
\n
insurance entities, the shortfall of provisions to expected losses, prudential valuation adjustments, prepaid portfolio insurance
\n
assets, non payment and non delivery of trades and equity investment in funds subject to the fall-back approach. Tier 1 capital
\n
comprises predominantly CET1 and Additional Tier 1 items including non-cumulative preferred shares and LRCNs that meet
\n
certain criteria. Tier 2 capital includes subordinated debentures that meet certain criteria, certain loan loss allowances and
\n
non-controlling interests in subsidiaries\u2019 Tier 2 instruments. Total capital is the sum of Tier 1 and Tier 2 capital. TLAC available is
\n
defined as the sum of Total capital and external TLAC instruments. External TLAC instruments comprise predominantly senior
\n
bail-in debt, which includes eligible senior unsecured debt with an original term to maturity of greater than 400 days and
\n
remaining term to maturity of greater than 365 days.
Regulatory capital ratios are calculated by dividing CET1, Tier 1, Total capital and TLAC available by risk-weighted assets. The
\n
leverage ratio is calculated by dividing Tier 1 capital by an exposure measure. The exposure measure consists of total assets
\n
(excluding items deducted from Tier 1 capital) and certain off-balance sheet items converted into credit exposure equivalents.
\n
Adjustments are also made to derivatives and secured financing transactions to reflect credit and other risks. The TLAC leverage
\n
ratio is calculated by dividing TLAC available by the leverage ratio exposure.
\n
During 2024 and 2023, we complied with all applicable capital, leverage and TLAC requirements, including the domestic stability
\n
buffer, imposed by OSFI.
\n\n \n
As at
October 31
October 31
(Millions of Canadian dollars, except percentage amounts and as otherwise noted)
2024
2023
Capital
(1), (2)
CET1 capital
$
88,936
$
86,611
Tier 1 capital
97,952
93,904
Total capital
110,487
104,952
Risk-weighted assets (RWA) used in calculation of capital ratios
(1), (2)
Credit risk
$
548,809
$
475,842
Market risk
33,930
40,498
Operational risk
89,543
79,883
Total RWA
$
672,282
$
596,223
Capital ratios and Leverage ratio
(1), (2)
CET1 ratio
13.2%
14.5%
Tier 1 capital ratio
14.6%
15.7%
Total capital ratio
16.4%
17.6%
Leverage ratio
4.2%
4.3%
Leverage ratio exposure
$ 2,344,228
$ 2,179,590
TLAC available and ratios
(1), (3)
TLAC available
$
196,659
$
184,916
TLAC ratio
29.3%
31.0%
TLAC leverage ratio
8.4%
8.5%
\n
(1)
As prior period restatements are not required by OSFI, there was no impact from the adoption of IFRS 17 on regulatory capital, RWA, capital ratios, leverage ratio, TLAC
\n
available and TLAC ratios for periods prior to November 1, 2023.
\n
(2)
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
\n
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
\n
adoption of the revised CAR and LR guidelines that came into effect in the second quarter of 2023, as further updated on October 20, 2023 as part of OSFI\u2019s
\n
implementation of the Basel III reforms. The results for the year ended October 31, 2024 also reflect our adoption of the revised market risk and CVA frameworks that
\n
came into effect on November 1, 2023.
\n
(3)
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
\n
Royal Bank of Canada and its subsidiaries. A resolution entity and its subsidiaries are collectively called a resolution group. The TLAC ratio and TLAC leverage ratio are
\ncalculated using the TLAC available as a percentage of total RWA and leverage exposure, respectively.", "dimensions": { "concept": "ifrs-full:DisclosureOfObjectivesPoliciesAndProcessesForManagingCapitalExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00763": { "value": "Note 29
Offsetting financial assets and financial liabilities
\n
Offsetting within our Consolidated Balance Sheets may be achieved where financial assets and liabilities are subject to master
\n
netting arrangements that provide the currently enforceable right of offset and where there is an intention to settle on a net
\n
basis, or realize the assets and settle the liabilities simultaneously. For derivative contracts and repurchase and reverse
\n
repurchase arrangements, this is generally achieved when there is a market mechanism for settlement (e.g., central counterparty
\n
exchange or clearing house) which provides daily net settlement of cash flows arising from these contracts. Margin receivables
\n
and margin payables are generally offset as they settle simultaneously through a market settlement mechanism.
\n
Amounts that do not qualify for offsetting include master netting arrangements that only permit outstanding transactions
\n
with the same counterparty to be offset in an event of default or occurrence of other predetermined events. Such master netting
\n
arrangements include the International Swaps and Derivatives Association Master Agreement or certain derivative exchange or
\n
clearing counterparty agreements for derivative contracts, global master repurchase agreements and global master securities
\n
lending agreements for repurchase, reverse repurchase and other similar secured lending and borrowing arrangements.
\n
The amount of financial collateral received or pledged subject to master netting arrangements or similar agreements that do
\n
not qualify for offsetting refers to the collateral received or pledged to cover the net exposure between counterparties by
\n
enabling the collateral to be realized in an event of default or the occurrence of other predetermined events. Certain amounts of
\n
collateral are restricted from being sold or re-pledged unless there is an event of default or the occurrence of other
\n
predetermined events.
The following tables provide the financial instrument amounts that have been offset on the Consolidated Balance Sheets and
\n
the amounts that do not qualify for offsetting but are subject to enforceable master netting arrangements or similar agreements.
\n
The amounts presented are not intended to represent our actual exposure to credit risk.
\n
Financial instruments subject to enforceable master netting arrangements or similar agreements
\n\n \n
As at October 31, 2024
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
$
495,881
$
145,078
$
350,803
$
112
$ 349,044
$
1,647
$
\u2013
$
350,803
Derivative assets
145,420
1,568
143,852
105,433
16,806
21,613
6,760
150,612
Other financial assets
2,940
527
2,413
58
288
2,067
\u2013
2,413
$
644,241
$
147,173
$
497,068
$
105,603
$ 366,138
$
25,327
$
6,760
$
503,828
Financial liabilities
Obligations related to assets sold
under repurchase agreements
and securities loaned
$
450,399
$
145,078
$
305,321
$
112
$ 302,779
$
2,430
$
\u2013
$
305,321
Derivative liabilities
151,564
1,568
149,996
105,433
17,727
26,836
13,767
163,763
Other financial liabilities
1,941
527
1,414
58
\u2013
1,356
\u2013
1,414
$
603,904
$
147,173
$
456,731
$
105,603
$ 320,506
$
30,622
$
13,767
$
470,498
\n\n \n
As at October 31, 2023
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
$
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
$
578,241
$
98,663
$
479,578
$
90,109
$
358,843
$
30,626
$
5,926
$
485,504
Financial liabilities
Obligations related to assets sold
under repurchase agreements
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
$
561,575
$
98,663
$
462,912
$
90,109
$
343,014
$
29,789
$
15,987
$
478,899
\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
\n
over-collateralization is excluded from the table.
\n
(2)
Includes cash collateral of $14 billion (October 31, 2023 \u2013 $17 billion) and non-cash collateral of $352 billion (October 31, 2023 \u2013 $342 billion) received for financial assets
\nand cash collateral of $14 billion (October 31, 2023 \u2013 $15 billion) and non-cash collateral of $307 billion (October 31, 2023 \u2013 $328 billion) pledged for financial liabilities.", "dimensions": { "concept": "ifrs-full:DisclosureOfOffsettingOfFinancialAssetsAndFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00764": { "value": "Note 29
Offsetting financial assets and financial liabilities
\n
Offsetting within our Consolidated Balance Sheets may be achieved where financial assets and liabilities are subject to master
\n
netting arrangements that provide the currently enforceable right of offset and where there is an intention to settle on a net
\n
basis, or realize the assets and settle the liabilities simultaneously. For derivative contracts and repurchase and reverse
\n
repurchase arrangements, this is generally achieved when there is a market mechanism for settlement (e.g., central counterparty
\n
exchange or clearing house) which provides daily net settlement of cash flows arising from these contracts. Margin receivables
\n
and margin payables are generally offset as they settle simultaneously through a market settlement mechanism.
\n
Amounts that do not qualify for offsetting include master netting arrangements that only permit outstanding transactions
\n
with the same counterparty to be offset in an event of default or occurrence of other predetermined events. Such master netting
\n
arrangements include the International Swaps and Derivatives Association Master Agreement or certain derivative exchange or
\n
clearing counterparty agreements for derivative contracts, global master repurchase agreements and global master securities
\n
lending agreements for repurchase, reverse repurchase and other similar secured lending and borrowing arrangements.
\n
The amount of financial collateral received or pledged subject to master netting arrangements or similar agreements that do
\n
not qualify for offsetting refers to the collateral received or pledged to cover the net exposure between counterparties by
\n
enabling the collateral to be realized in an event of default or the occurrence of other predetermined events. Certain amounts of
\n
collateral are restricted from being sold or re-pledged unless there is an event of default or the occurrence of other
\n
predetermined events.
The following tables provide the financial instrument amounts that have been offset on the Consolidated Balance Sheets and
\n
the amounts that do not qualify for offsetting but are subject to enforceable master netting arrangements or similar agreements.
\n
The amounts presented are not intended to represent our actual exposure to credit risk.
\n
Financial instruments subject to enforceable master netting arrangements or similar agreements
\n\n \n
As at October 31, 2024
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
$
495,881
$
145,078
$
350,803
$
112
$ 349,044
$
1,647
$
\u2013
$
350,803
Derivative assets
145,420
1,568
143,852
105,433
16,806
21,613
6,760
150,612
Other financial assets
2,940
527
2,413
58
288
2,067
\u2013
2,413
$
644,241
$
147,173
$
497,068
$
105,603
$ 366,138
$
25,327
$
6,760
$
503,828
Financial liabilities
Obligations related to assets sold
under repurchase agreements
and securities loaned
$
450,399
$
145,078
$
305,321
$
112
$ 302,779
$
2,430
$
\u2013
$
305,321
Derivative liabilities
151,564
1,568
149,996
105,433
17,727
26,836
13,767
163,763
Other financial liabilities
1,941
527
1,414
58
\u2013
1,356
\u2013
1,414
$
603,904
$
147,173
$
456,731
$
105,603
$ 320,506
$
30,622
$
13,767
$
470,498
\n\n \n
As at October 31, 2023
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
$
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
$
578,241
$
98,663
$
479,578
$
90,109
$
358,843
$
30,626
$
5,926
$
485,504
Financial liabilities
Obligations related to assets sold
under repurchase agreements
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
$
561,575
$
98,663
$
462,912
$
90,109
$
343,014
$
29,789
$
15,987
$
478,899
\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
\n
over-collateralization is excluded from the table.
\n
(2)
Includes cash collateral of $14 billion (October 31, 2023 \u2013 $17 billion) and non-cash collateral of $352 billion (October 31, 2023 \u2013 $342 billion) received for financial assets
\nand cash collateral of $14 billion (October 31, 2023 \u2013 $15 billion) and non-cash collateral of $307 billion (October 31, 2023 \u2013 $328 billion) pledged for financial liabilities.", "dimensions": { "concept": "ifrs-full:DisclosureOfOffsettingOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00765": { "value": "Note 29
Offsetting financial assets and financial liabilities
\n
Offsetting within our Consolidated Balance Sheets may be achieved where financial assets and liabilities are subject to master
\n
netting arrangements that provide the currently enforceable right of offset and where there is an intention to settle on a net
\n
basis, or realize the assets and settle the liabilities simultaneously. For derivative contracts and repurchase and reverse
\n
repurchase arrangements, this is generally achieved when there is a market mechanism for settlement (e.g., central counterparty
\n
exchange or clearing house) which provides daily net settlement of cash flows arising from these contracts. Margin receivables
\n
and margin payables are generally offset as they settle simultaneously through a market settlement mechanism.
\n
Amounts that do not qualify for offsetting include master netting arrangements that only permit outstanding transactions
\n
with the same counterparty to be offset in an event of default or occurrence of other predetermined events. Such master netting
\n
arrangements include the International Swaps and Derivatives Association Master Agreement or certain derivative exchange or
\n
clearing counterparty agreements for derivative contracts, global master repurchase agreements and global master securities
\n
lending agreements for repurchase, reverse repurchase and other similar secured lending and borrowing arrangements.
\n
The amount of financial collateral received or pledged subject to master netting arrangements or similar agreements that do
\n
not qualify for offsetting refers to the collateral received or pledged to cover the net exposure between counterparties by
\n
enabling the collateral to be realized in an event of default or the occurrence of other predetermined events. Certain amounts of
\n
collateral are restricted from being sold or re-pledged unless there is an event of default or the occurrence of other
\n
predetermined events.
The following tables provide the financial instrument amounts that have been offset on the Consolidated Balance Sheets and
\n
the amounts that do not qualify for offsetting but are subject to enforceable master netting arrangements or similar agreements.
\n
The amounts presented are not intended to represent our actual exposure to credit risk.
\n
Financial instruments subject to enforceable master netting arrangements or similar agreements
\n\n \n
As at October 31, 2024
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
$
495,881
$
145,078
$
350,803
$
112
$ 349,044
$
1,647
$
\u2013
$
350,803
Derivative assets
145,420
1,568
143,852
105,433
16,806
21,613
6,760
150,612
Other financial assets
2,940
527
2,413
58
288
2,067
\u2013
2,413
$
644,241
$
147,173
$
497,068
$
105,603
$ 366,138
$
25,327
$
6,760
$
503,828
Financial liabilities
Obligations related to assets sold
under repurchase agreements
and securities loaned
$
450,399
$
145,078
$
305,321
$
112
$ 302,779
$
2,430
$
\u2013
$
305,321
Derivative liabilities
151,564
1,568
149,996
105,433
17,727
26,836
13,767
163,763
Other financial liabilities
1,941
527
1,414
58
\u2013
1,356
\u2013
1,414
$
603,904
$
147,173
$
456,731
$
105,603
$ 320,506
$
30,622
$
13,767
$
470,498
\n\n \n
As at October 31, 2023
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
$
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
$
578,241
$
98,663
$
479,578
$
90,109
$
358,843
$
30,626
$
5,926
$
485,504
Financial liabilities
Obligations related to assets sold
under repurchase agreements
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
$
561,575
$
98,663
$
462,912
$
90,109
$
343,014
$
29,789
$
15,987
$
478,899
\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
\n
over-collateralization is excluded from the table.
\n
(2)
Includes cash collateral of $14 billion (October 31, 2023 \u2013 $17 billion) and non-cash collateral of $352 billion (October 31, 2023 \u2013 $342 billion) received for financial assets
\nand cash collateral of $14 billion (October 31, 2023 \u2013 $15 billion) and non-cash collateral of $307 billion (October 31, 2023 \u2013 $328 billion) pledged for financial liabilities.", "dimensions": { "concept": "ifrs-full:DisclosureOfOffsettingOfFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00766": { "value": "Note 31
Parent company information
\n
The following table presents information regarding the legal entity of Royal Bank of Canada with its subsidiaries presented on an
\n
equity accounted basis.
\n
Condensed Balance Sheets
\n\n \n
As at
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Assets
Cash and due from banks
$
40,944
$
41,770
Interest-bearing deposits with banks
54,009
61,256
Securities
233,376
217,490
Investments in bank subsidiaries and associated companies
(1)
57,926
55,082
Investments in other subsidiaries and associated companies
117,362
102,457
Assets purchased under reverse repurchase agreements and securities borrowed
174,131
150,207
Loans, net of allowance for loan losses
839,424
709,635
Net balances due from bank subsidiaries
(1)
97
\u2013
Other assets
216,003
214,145
$
1,733,272
$
1,552,042
Liabilities and shareholders\u2019 equity
Deposits
$
1,168,765
$
1,006,284
Net balances due to bank subsidiaries
(1)
\u2013
10,132
Net balances due to other subsidiaries
17,840
6,866
Other liabilities
406,032
402,326
1,592,637
1,425,608
Subordinated debentures
13,546
11,386
Shareholders\u2019 equity
127,089
115,048
$
1,733,272
$
1,552,042
\n
(1)
Bank refers primarily to regulated deposit-taking institutions and securities firms.
\n
Condensed Statements of Income and Comprehensive Income
\n\n \n
For the year ended
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Interest and dividend income
(1)
$
70,603
$
56,495
Interest expense
57,094
44,174
Net interest income
13,509
12,321
Non-interest income
(2)
5,080
5,390
Total revenue
18,589
17,711
Provision for credit losses
2,964
2,002
Non-interest expense
13,543
11,780
Income before income taxes
2,082
3,929
Income taxes
1,031
1,874
Net income before equity in undistributed income of subsidiaries
1,051
2,055
Equity in undistributed income of subsidiaries
15,179
12,550
Net income
$
16,230
$
14,605
Other comprehensive income (loss), net of taxes
597
251
Total comprehensive income
$
16,827
$
14,856
\n
(1)
Includes dividend income from investments in subsidiaries and associated companies of $9 million (October 31, 2023 \u2013 $25 million).
\n
(2)
Includes a nominal share of income (loss) from associated companies (October 31, 2023 \u2013 nominal).
Condensed Statements of Cash Flows
\n\n \n
For the year ended
October 31
October 31
2024
2023
(Millions of Canadian dollars)
(Restated \u2013 Note 2)
Cash flows from operating activities
Net income
$
16,230
$
14,605
Adjustments to determine net cash from operating activities:
Change in undistributed earnings of subsidiaries
(15,179)
(12,550)
Change in deposits, net of securitizations
77,327
50,306
Change in loans, net of securitizations
(56,572)
(30,055)
Change in trading securities
3,162
(12,832)
Change in obligations related to assets sold under repurchase agreements and securities
loaned
(2,860)
21,954
Change in assets purchased under reverse repurchase agreements and securities borrowed
(24,203)
(17,378)
Change in obligations related to securities sold short
(1,721)
(819)
Other operating activities, net
(2,565)
5,000
Net cash from (used in) operating activities
(6,381)
18,231
Cash flows from investing activities
Change in interest-bearing deposits with banks
7,247
23,424
Proceeds from sales and maturities of investment securities
167,772
127,965
Purchases of investment securities
(152,935)
(153,099)
Net acquisitions of premises and equipment and other intangibles
(1,277)
(2,075)
Cash used in an acquisition, net of cash acquired
(12,872)
\u2013
Change in cash invested in subsidiaries
1,252
(3,802)
Change in net funding provided to subsidiaries
(166)
(12,531)
Net cash from (used in) investing activities
9,021
(20,118)
Cash flows from financing activities
Issuance of subordinated debentures
3,239
1,500
Repayment of subordinated debentures
(1,500)
(110)
Issue of common shares, net of issuance costs
159
65
Common shares purchased for cancellation
(140)
\u2013
Issue of preferred shares and other equity instruments, net of issuance costs
2,702
\u2013
Redemption of preferred shares and other equity instruments
(1,021)
\u2013
Dividends paid on shares and distributions paid on other equity instruments
(6,637)
(5,549)
Repayment of lease liabilities
(268)
(311)
Net cash from (used in) financing activities
(3,466)
(4,405)
Net change in cash and due from banks
(826)
(6,292)
Cash and due from banks at beginning of year
41,770
48,062
Cash and due from banks at end of year
$
40,944
$
41,770
Supplemental disclosure of cash flow information
Amount of interest paid
$
55,119
$
35,104
Amount of interest received
67,857
49,098
Amount of dividends received
2,869
2,628
Amount of income taxes paid
504
2,604
", "dimensions": { "concept": "ifrs-full:DisclosureOfConsolidatedAndSeparateFinancialStatementsExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00767": { "value": "Note 32
Principal subsidiaries
\n\n \n
(Millions of Canadian dollars)
As at October 31, 2024
Carrying value of
voting shares owned
Principal subsidiaries
(1)
Principal office address
(2)
by the Bank
(3)
Royal Bank Holding Inc.
Toronto, Ontario, Canada
$
93,533
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 (Cayman) Funding Ltd.
George Town, Grand Cayman, Cayman Islands
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
34,826
RBC USA Holdco Corporation
New York, New York, U.S.
RBC Capital Markets, LLC
New York, New York, U.S.
City National Bank
Los Angeles, California, U.S.
RBC Dominion Securities Limited
Toronto, Ontario, Canada
17,243
RBC Dominion Securities Inc.
Toronto, Ontario, Canada
Royal Bank Mortgage Corporation
Toronto, Ontario, Canada
6,932
RBC Europe Limited
London, England
3,170
The Royal Trust Company
Montreal, Quebec, Canada
1,587
Royal Trust Corporation of Canada
Toronto, Ontario, Canada
681
\n
(1)
The Bank directly or indirectly controls each subsidiary.
\n
(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
\n
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
\n
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.
\n
(3)
The carrying value of voting shares is stated as the Bank\u2019s equity in such investments.
\n
Certain of our subsidiaries, joint ventures and associates are subject to regulatory requirements of the jurisdictions in which they
\n
operate. When these subsidiaries, joint ventures and associates are subject to such requirements, they may be restricted from
\n
transferring to us our share of their assets in the form of cash dividends, loans or advances. As at October 31, 2024, restricted net
\nassets of these subsidiaries, joint ventures and associates were $56 billion (October 31, 2023 \u2013 $50 billion).", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInSubsidiariesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00768": { "value": "Note 32
Principal subsidiaries
\n\n \n
(Millions of Canadian dollars)
As at October 31, 2024
Carrying value of
voting shares owned
Principal subsidiaries
(1)
Principal office address
(2)
by the Bank
(3)
Royal Bank Holding Inc.
Toronto, Ontario, Canada
$
93,533
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 (Cayman) Funding Ltd.
George Town, Grand Cayman, Cayman Islands
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
34,826
RBC USA Holdco Corporation
New York, New York, U.S.
RBC Capital Markets, LLC
New York, New York, U.S.
City National Bank
Los Angeles, California, U.S.
RBC Dominion Securities Limited
Toronto, Ontario, Canada
17,243
RBC Dominion Securities Inc.
Toronto, Ontario, Canada
Royal Bank Mortgage Corporation
Toronto, Ontario, Canada
6,932
RBC Europe Limited
London, England
3,170
The Royal Trust Company
Montreal, Quebec, Canada
1,587
Royal Trust Corporation of Canada
Toronto, Ontario, Canada
681
\n
(1)
The Bank directly or indirectly controls each subsidiary.
\n
(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
\n
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
\n
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.
\n
(3)
The carrying value of voting shares is stated as the Bank\u2019s equity in such investments.
\n
Certain of our subsidiaries, joint ventures and associates are subject to regulatory requirements of the jurisdictions in which they
\n
operate. When these subsidiaries, joint ventures and associates are subject to such requirements, they may be restricted from
\n
transferring to us our share of their assets in the form of cash dividends, loans or advances. As at October 31, 2024, restricted net
\nassets of these subsidiaries, joint ventures and associates were $56 billion (October 31, 2023 \u2013 $50 billion).", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestsInSubsidiariesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00769": { "value": "\n \n
(Millions of Canadian dollars)
As at October 31, 2024
Carrying value of
voting shares owned
Principal subsidiaries
(1)
Principal office address
(2)
by the Bank
(3)
Royal Bank Holding Inc.
Toronto, Ontario, Canada
$
93,533
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 (Cayman) Funding Ltd.
George Town, Grand Cayman, Cayman Islands
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
34,826
RBC USA Holdco Corporation
New York, New York, U.S.
RBC Capital Markets, LLC
New York, New York, U.S.
City National Bank
Los Angeles, California, U.S.
RBC Dominion Securities Limited
Toronto, Ontario, Canada
17,243
RBC Dominion Securities Inc.
Toronto, Ontario, Canada
Royal Bank Mortgage Corporation
Toronto, Ontario, Canada
6,932
RBC Europe Limited
London, England
3,170
The Royal Trust Company
Montreal, Quebec, Canada
1,587
Royal Trust Corporation of Canada
Toronto, Ontario, Canada
681
\n
(1)
The Bank directly or indirectly controls each subsidiary.
\n
(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
\n
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
\n
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.
\n
(3)
The carrying value of voting shares is stated as the Bank\u2019s equity in such investments.
\n
Certain of our subsidiaries, joint ventures and associates are subject to regulatory requirements of the jurisdictions in which they
\n
operate. When these subsidiaries, joint ventures and associates are subject to such requirements, they may be restricted from
\n
transferring to us our share of their assets in the form of cash dividends, loans or advances. As at October 31, 2024, restricted net
\nassets of these subsidiaries, joint ventures and associates were $56 billion (October 31, 2023 \u2013 $50 billion).", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestsInOtherEntitiesExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } }, "TagsThatMustBeAppliedIfCorrespondingInformationIsPresentInAReport_Label_00770": { "value": "Note 33
Subsequent events
\n
On November 1, 2024, we issued US$1,000 million of LRCN Series 5, at a price per note of US$1,000, with recourse limited to assets
\n
held by a third party trustee in a consolidated trust. The trust assets in respect of LRCN Series 5 consist of US$1,000 million of our
\n
Non-Cumulative 5-Year Rate Reset First Preferred Shares Series BX (Series BX) issued concurrently with LRCN Series 5 at a price
\n
of US$1,000 per Series BX. LRCN Series 5 bear interest at a fixed rate of 6.35% per annum until November 24, 2034, and thereafter
\n
at a rate per annum, reset every fifth year, equal to the 5-year U.S. Treasury Rate plus 2.257% until maturity on November 24,
\n2084.", "dimensions": { "concept": "ifrs-full:DisclosureOfEventsAfterReportingPeriodExplanatory", "language": "en", "entity": "scheme:ES7IP3U3RHIGC71XBU11", "period": "2023-11-01T00:00:00/2024-11-01T00:00:00" } } } }