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Securities (Tables)
 12 Months Ended
Oct. 31, 2022
Text Block [Abstract]  
Summary of Securities
 
$ millions, as at October 31
  
2022
 
  
2021
 
Securities measured and designated at FVOCI
(1)
   
$
 56,099
 
    $ 53,997  
Securities measured at amortized cost
(2)
   
 
52,484
 
      35,159  
Securities mandatorily measured and designated at FVTPL
   
 
67,296
 
      72,245  
 
   
$
    175,879
 
    $     161,401  
 
(1)
Certain
 prior year
information has been reclassified to conform to the current year presentation.
(2)
During the year,
less than 
$1
 
million of amortized cost debt securities were disposed o
f
, generally
 
shortly before their maturity, resulting in a realized gain of less than $1
 
million (2021: a realized gain of less than $1 million).
Summary of Residual Term to Contractual Maturity of Financial Instruments
 
 
Residual term to contractual maturity
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
$ millions, as at October 31
 
Within 1 year
 
 
1 to 5 years
 
 
5 to 10 years
 
 
Over 10 years
 
 
No specific
maturity
 
 
  
 
 
  
 
 
2022
Total
 
 
  
 
 
  
 
 
2021
Total
 
 
  
 
  
 
Carrying
value
 
 
Yield
 (1)
 
 
Carrying
value
 
 
Yield
 (1)
 
 
Carrying
value
 
 
Yield
 (1)
 
 
Carrying
value
 
 
Yield
 (1)
 
 
Carrying
value
 
 
Yield
 (1)
 
 
  
 
 
Carrying
value
 
 
Yield
 (1)
 
 
  
 
 
Carrying
value
 
 
Yield
 (1)
 
 
  
 
Debt securities measured at FVOCI
 
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Securities issued or guaranteed by:
 
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Canadian federal government
  
$
2,222
 
  
 
2.9
 % 
  
$
7,050
 
  
 
3.8
 % 
  
$
1,367
 
  
 
3.6
 % 
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
          
$
10,639
 
  
 
3.6
 % 
           $ 8,340       0.9  %         
Other Canadian governments
  
 
842
 
  
 
1.7
 
  
 
6,422
 
  
 
4.0
 
  
 
9,947
 
  
 
3.5
 
  
 
241
 
  
 
3.4
 
  
 
–
 
  
 
–
 
          
 
17,452
 
  
 
3.6
 
             14,189       2.0          
U.S. Treasury and agencies
  
 
3,524
 
  
 
2.0
 
  
 
8,300
 
  
 
1.5
 
  
 
135
 
  
 
3.4
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
          
 
11,959
 
  
 
1.7
 
             14,127       0.5          
Other foreign governments
  
 
3,792
 
  
 
2.5
 
  
 
3,047
 
  
 
3.0
 
  
 
176
 
  
 
5.4
 
  
 
23
 
  
 
6.1
 
  
 
–
 
  
 
–
 
          
 
7,038
 
  
 
2.8
 
             6,775       0.7          
Mortgage-backed securities
(2)
  
 
67
 
  
 
2.5
 
  
 
193
 
  
 
3.4
 
  
 
322
 
  
 
2.7
 
  
 
581
 
  
 
3.8
 
  
 
–
 
  
 
–
 
          
 
1,163
 
  
 
3.3
 
             1,545       1.4          
Asset-backed securities
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
359
 
  
 
5.5
 
  
 
–
 
  
 
–
 
          
 
359
 
  
 
5.5
 
             352       1.3          
Corporate debt
  
 
1,583
 
  
 
3.4
 
  
 
4,549
 
  
 
3.2
 
  
 
819
 
  
 
3.4
 
  
 
16
 
  
 
4.0
 
  
 
–
 
  
 
–
 
  
 
 
 
  
 
6,967
 
  
 
3.2
 
  
 
 
 
     7,833       0.5    
 
 
 
 
  
$
12,030
 
  
 
 
 
  
$
29,561
 
  
 
 
 
  
$
12,766
 
  
 
 
 
  
$
1,220
 
  
 
 
 
  
$
–
 
  
 
 
 
  
 
 
 
  
$
55,577
 
  
 
 
 
  
 
 
 
   $ 53,161    
 
 
 
  
 
 
 
Securities measured at amortized cost
 
                                                                                                        
Securities issued or guaranteed by:
 
                                                                                                                                
Canadian federal government
  
$
–
 
    
–
 % 
  
$
2,159
 
    
1.8
 % 
  
$
53
 
    
4.0
 % 
  
$
–
 
    
–
 % 
  
$
–
 
    
–
 % 
          
$
2,212
 
    
1.8
 % 
           $ 1,668      
1.2
 
%
 
        
Other Canadian governments
  
 
1,102
 
    
4.0
    
 
8,879
 
    
3.2
    
 
4,033
 
    
4.0
    
 
458
 
    
4.2
    
 
–
 
    
–
            
 
14,472
 
    
3.5
               12,020      
1.8
          
U.S. Treasury and agencies
  
 
4,430
 
    
1.4
    
 
19,856
 
    
1.4
    
 
2,565
 
    
2.0
    
 
–
 
    
–
    
 
–
 
    
–
            
 
26,851
 
    
1.5
               12,874      
1.3
          
Other foreign governments
  
 
62
 
    
0.5
    
 
382
 
    
1.7
    
 
204
 
    
2.4
    
 
533
 
    
1.4
    
 
–
 
    
–
            
 
1,181
 
    
1.7
               695      
1.1
          
Mortgage-backed securities
(3)
  
 
374
 
    
0.5
    
 
1,436
 
    
1.6
    
 
1,318
 
    
2.2
    
 
509
 
    
2.8
    
 
–
 
    
–
            
 
3,637
 
    
1.9
               3,412      
1.6
          
Asset-backed securities
  
 
–
 
    
–
    
 
103
 
    
2.4
    
 
347
 
    
4.6
    
 
40
 
    
8.3
    
 
–
 
    
–
            
 
490
 
    
4.4
               309      
2.3
          
Corporate debt
  
 
869
 
  
 
4.0
 
  
 
2,525
 
  
 
2.4
 
  
 
247
 
  
 
2.2
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
 
 
  
 
3,641
 
  
 
2.7
 
  
 
 
 
     4,181    
 
 1.3
 
  
 
 
 
 
  
$
6,837
 
  
 
  
 
  
$
35,340
 
  
 
      
$
8,767
 
  
 
      
$
1,540
 
  
 
  
 
  
$
–
 
  
 
  
 
  
 
 
 
  
$
52,484
 
  
 
  
 
  
 
 
 
   $ 35,159    
 
 
 
  
 
 
 
Securities mandatorily measured and
designated at FVTPL
 
                                                                                                        
Securities issued or guaranteed by:
 
                                                                                                                                
Canadian federal government
  
$
2,850
 
          
$
3,914
 
          
$
2,323
 
          
$
1,735
 
          
$
–
 
                  
$
10,822
 
                   $ 8,452                  
Other Canadian governments
  
 
1,294
 
          
 
1,764
 
          
 
890
 
          
 
4,686
 
          
 
–
 
                  
 
8,634
 
                     10,334                  
U.S. Treasury and agencies
  
 
1,534
 
          
 
2,553
 
          
 
633
 
          
 
486
 
          
 
–
 
                  
 
5,206
 
                     4,935                  
Other foreign governments
  
 
2,485
 
          
 
894
 
          
 
66
 
          
 
43
 
          
 
–
 
                  
 
3,488
 
                     4,031                  
Mortgage-backed securities
(4)
  
 
331
 
          
 
2,332
 
          
 
215
 
          
 
–
 
          
 
–
 
                  
 
2,878
 
                     1,957                  
Asset-backed securities
  
 
821
 
          
 
157
 
          
 
4
 
          
 
3
 
          
 
–
 
                  
 
985
 
                     333                  
Corporate debt
  
 
1,192
 
  
 
 
 
  
 
1,438
 
  
 
 
 
  
 
661
 
  
 
 
 
  
 
320
 
  
 
 
 
  
 
–
 
  
 
 
 
  
 
 
 
  
 
3,611
 
  
 
 
 
  
 
 
 
     3,999    
 
 
 
  
 
 
 
 
  
$
10,507
 
  
 
 
 
  
$
13,052
 
  
 
 
 
  
$
4,792
 
  
 
 
 
  
$
7,273
 
  
 
 
 
  
$
–
 
  
 
 
 
  
 
 
 
  
$
35,624
 
  
 
 
 
  
 
 
 
   $ 34,041    
 
 
 
  
 
 
 
Corporate equity mandatorily measured
at FVTPL and designated at
    FVOCI (5)
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
  
$
32,194
 
  
 
n/m
 
          
$
32,194
 
  
 
n/m
 
          
$
 39,040       n/m        
Total securities
(
6
)
  
$
     29,374
 
  
 
 
 
  
$
  77,953
 
  
 
 
 
  
$
   26,325
 
  
 
 
 
  
$
 10,033
 
  
 
 
 
  
$
  32,194
 
  
 
 
 
  
 
 
 
  
$
    175,879
 
  
 
 
 
  
 
 
 
   $    161,401    
 
 
    
 
 
 
 
 
(1)
Represents the weighted-average yield, which is determined by applying the weighted average of the yields of individual fixed income securities.
(2)
Includes securities backed by mortgages insured by the Canada Mortgage and Housing Corporation (CMHC), with amortized cost of $192 million (2021: $301 million) and fair value of $193 million (2021: $303 million); securities issued by Federal National Mortgage Association (Fannie Mae), with amortized cost of $439 million (2021: $537 million) and fair value of $416 million (2021: $554 million); securities issued by Federal Home Loan Mortgage Corporation (Freddie Mac), with amortized cost of $190 million (2021: $235 million) and fair value of $180 million (2021: $243 million); and securities issued by Government National Mortgage Association, a U.S. government corporation (Ginnie Mae), with amortized cost of $381 million (2021: $443 million) and fair value of $374 million (2021: $445 million).
(3)
Includes securities backed by mortgages insured by the CMHC, with amortized cost of $225 million (2021: $419 million) and fair value of $225 million (2021: $420 million); securities issued by Fannie Mae, with amortized cost of $806 million (2021: $838 million) and fair value of $743 million (2021: $851 million); securities issued by Freddie Mac, with amortized cost of $1,962 million (2021: $1,823 million) and fair value of $1,777 million (2021: $1,859 million); and securities issued by Ginnie Mae, with amortized cost of $57 million (2021: $39 million) and fair value of $52 million (2021: $40 million).
(4)
Includes securities backed by mortgages insured by the CMHC of $2,877 million (2021: $1,954 million).
(
5
)
Certain prior year information has been reclassified to conform to the current year presentation.  
(
6
)
Includes securities denominated in U.S. dollars with carrying value of $83.2 billion (2021: $80.2 billion) and securities denominated in other foreign currencies with carrying value of $8,851 million (2021: $4,611 million).
n/m
Not meaningful.
 
Fair Value of Debt Securities Measured and Equity Securities Designated at FVOCI
Fair value of debt securities measured and equity securities designated at FVOCI

 
$ millions, as at October 31
 
  
 
 
2022
 
 
  
 
  
  
 
 
2021
 
  
 
Cost/
Amortized
cost
 
(1)
 
  
Gross
unrealized
gains
 
  
Gross
unrealized
losses
 
 
Fair
value
 
 
  
 
  
Cost/
Amortized
cost 
(1)
 
  
Gross
unrealized
gains
 
  
Gross
unrealized
losses
 
 
Fair
value
 
Securities issued or guaranteed by:
 
  
  
 
 
  
  
  
 
Canadian federal government
  
$
10,646
 
   
$
10
 
   
$
(17
)
   
$
10,639
 
            $ 8,310      $ 31      $ (1 )    $ 8,340  
Other Canadian governments
  
 
17,494
 
   
 
32
 
   
 
(74
)
   
 
17,452
 
              14,007        182        –       14,189  
U.S. Treasury and agencies
  
 
12,305
 
   
 
5
 
   
 
(351
)
   
 
11,959
 
              14,157        23        (53 )      14,127  
Other foreign governments
  
 
7,048
 
   
 
21
 
   
 
(31
)
   
 
7,038
 
              6,750        30        (5 )      6,775  
Mortgage-backed securities
  
 
1,202
 
   
 
1
 
   
 
(40
)
   
 
1,163
 
              1,516        29        –       1,545  
Asset-backed securities
  
 
375
 
   
 
–
 
   
 
(16
)
   
 
359
 
              354        –        (2 )      352  
Corporate debt
  
 
7,023
 
   
 
–
 
   
 
(56
)
   
 
6,967
 
  
 
 
 
      7,820        15        (2 )      7,833  
 
  
 
56,093
 
   
 
69
 
   
 
(585
)
   
 
55,577
 
  
 
 
 
      52,914        310        (63 )      53,161  
Corporate equity
(2)
(3)
  
 
525
 
   
 
31
 
   
 
(34
)
   
 
522
 
              730        144        (38 )      836  
 
  
$
    56,618
 
   
$
    100
 
   
$
     (619
)
   
$
    56,099
 
  
 
 
 
    $     53,644      $     454      $     (101 )    $     53,997  
 
 
(1)
Net of allowance for credit losses for debt securities measured at FVOCI of $24 million (2021: $19 million).
(2)
Includes restricted stock.
(3)
Certain prior year information has been reclassified to conform to the current year presentation.  
Summary of Profit or Loss Recognized on FVOCI Securities
The table below presents profit or loss recognized on FVOCI
debt
 
securities:
 
$ millions, for the year ended October 31
 
2022
 
 
2021
 
Realized gains
  
$
57
 
   $ 91  
Realized losses
  
 
(23
)
     (2 ) 
(Provision for) reversal of credit losses on debt securities
  
 
(2
)
     2  
 
 
$
 
32
 
 
$
91
 
Summary of Allowance for Losses measured at FVOCI
Allowance for credit losses
The following table provides a reconciliation of the opening balance to the closing balance of the ECL allowance for debt securities measured at FVOCI:
 
        
Stage 1
    
Stage 2
     
Stage 3
         
$ millions, as at or for the year ended October 31
  
Collective provision
12-month ECL
performing
    
Collective provision
lifetime ECL
performing
     
Collective and
individual provision
lifetime ECL
credit-impaired
     
Total
  
2022
   
Debt securities measured at FVOCI
                                  
    
Balance at beginning of year
  
$
4
 
  
$
15
 
   
$
–
 
   
$
19
 
    
Provision for (reversal of) credit losses
(1)
  
 
–
 
  
 
2
 
   
 
–
 
   
 
2
 
    
Write-offs
  
 
–
 
  
 
–
 
   
 
–
 
   
 
–
 
 
   
Foreign exchange and other
  
 
–
 
  
 
3
 
   
 
–
 
   
 
3
 
 
    Balance at end of year  
$
4
 
  
$
20
 
   
$
–
 
   
$
24
 
2021
   
Debt securities measured at FVOCI
                                  
    
Balance at beginning of year
   $      18     $       4      $     –      $     22  
    
Provision for (reversal of) credit losses
(1)
     (13 )      11        –        (2 ) 
    
Write-offs
     –       –        –        –  
 
   
Foreign exchange and other
     (1 )      –        –        (1 ) 
 
    Balance at end of year   $ 4     $ 15      $ –      $ 19  
 
(1)
Included in the Gains (losses) from debt securities measured at FVOCI and amortized cost, net on our consolidated statement of
income.