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Securities (Tables)
 12 Months Ended
Oct. 31, 2023
Text Block [Abstract]  
Summary of Securities
$ millions, as at October 31
   
2023
      2022  
Securities measured and designated at FVOCI
   
$
61,331
 
    $ 56,099  
Securities measured at amortized cost
(1)
   
 
67,294
 
      52,484  
Securities mandatorily measured and designated at FVTPL
   
 
82,723
 
      67,296  
 
   
$
    211,348
 
    $     175,879  
 
(1)
During the year, less than $1 million of amortized cost debt securities were disposed of, generally shortly before their maturity, resulting in a realized gain of nil (2022: 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
 
 
  
 
 
  
 
 
2023
Total
 
 
  
 
 
  
 
 
2022
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
  
$
1,557
 
  
 
5.1
 % 
  
$
8,156
 
  
 
4.7
 % 
  
$
1,184
 
  
 
4.3
 % 
  
$
    –
 
  
 
–
 % 
  
$
    –
 
  
 
–
 % 
          
$
10,897
 
  
 
4.7
 % 
           $ 10,639       3.6  %         
Other Canadian governments
  
 
114
 
  
 
5.4
 
  
 
1,580
 
  
 
4.1
 
  
 
11,573
 
  
 
4.2
 
  
 
218
 
  
 
3.4
 
  
 
–
 
  
 
–
 
          
 
13,485
 
  
 
4.2
 
             17,452       3.6          
U.S. Treasury and agencies
  
 
3,995
 
  
 
3.7
 
  
 
18,051
 
  
 
3.7
 
  
 
118
 
  
 
1.5
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
          
 
22,164
 
  
 
3.7
 
             11,959       1.7          
Other foreign governments
  
 
2,863
 
  
 
3.9
 
  
 
2,625
 
  
 
5.5
 
  
 
120
 
  
 
5.5
 
  
 
31
 
  
 
6.2
 
  
 
–
 
  
 
–
 
          
 
5,639
 
  
 
4.7
 
             7,038       2.8          
Mortgage-backed securities
(2)
  
 
99
 
  
 
5.4
 
  
 
100
 
  
 
4.0
 
  
 
322
 
  
 
2.9
 
  
 
457
 
  
 
5.6
 
  
 
–
 
  
 
–
 
          
 
978
 
  
 
4.5
 
             1,163       3.3          
Asset-backed securities
  
 
161
 
  
 
5.6
 
  
 
–
 
  
 
–
 
  
 
69
 
  
 
7.9
 
  
 
708
 
  
 
6.9
 
  
 
–
 
  
 
–
 
          
 
938
 
  
 
6.8
 
             359       5.5          
Corporate debt
  
 
591
 
  
 
2.7
 
  
 
5,513
 
  
 
5.3
 
  
 
542
 
  
 
5.4
 
  
 
12
 
  
 
4.1
 
  
 
–
 
  
 
–
 
          
 
6,658
 
  
 
5.1
 
             6,967       3.2          
   
$
9,380
 
          
$
36,025
 
          
$
13,928
 
          
$
1,426
 
          
$
–
 
                  
$
60,759
 
                   $ 55,577                  
Securities measured at amortized cost
 
                                                                                                        
Securities issued or guaranteed by:
 
                                                                                                                                
Canadian federal government
  
$
642
 
  
 
1.3
 % 
  
$
1,787
 
  
 
2.3
 % 
  
$
812
 
  
 
4.7
 % 
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
          
$
3,241
 
  
 
2.7
 % 
           $ 2,212       1.8  %         
Other Canadian governments
  
 
1,283
 
  
 
4.4
 
  
 
9,338
 
  
 
3.8
 
  
 
9,278
 
  
 
4.8
 
  
 
230
 
  
 
4.8
 
  
 
–
 
  
 
–
 
          
 
20,129
 
  
 
4.3
 
             14,472       3.5          
U.S. Treasury and agencies
  
 
4,200
 
  
 
3.3
 
  
 
25,011
 
  
 
1.9
 
  
 
3,061
 
  
 
3.6
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
          
 
32,272
 
  
 
2.3
 
             26,851       1.5          
Other foreign governments
  
 
127
 
  
 
0.5
 
  
 
787
 
  
 
3.3
 
  
 
462
 
  
 
1.5
 
  
 
154
 
  
 
2.6
 
  
 
–
 
  
 
–
 
          
 
1,530
 
  
 
2.5
 
             1,181       1.7          
Mortgage-backed securities
(3)
  
 
275
 
  
 
3.3
 
  
 
3,576
 
  
 
3.9
 
  
 
1,051
 
  
 
2.3
 
  
 
384
 
  
 
2.9
 
  
 
–
 
  
 
–
 
          
 
5,286
 
  
 
3.5
 
             3,637       1.9          
Asset-backed securities
  
 
421
 
  
 
5.1
 
  
 
134
 
  
 
5.0
 
  
 
360
 
  
 
5.2
 
  
 
103
 
  
 
8.1
 
  
 
–
 
  
 
–
 
          
 
1,018
 
  
 
5.4
 
             490       4.4          
Corporate debt
  
 
447
 
  
 
5.3
 
  
 
3,304
 
  
 
2.9
 
  
 
67
 
  
 
4.4
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
          
 
3,818
 
  
 
3.2
 
             3,641       2.7          
   
$
7,395
 
          
$
43,937
 
          
$
15,091
 
          
$
871
 
          
$
–
 
                  
$
67,294
 
                   $ 52,484                  
Securities mandatorily measured and
designated at FVTPL
 
                                                                                                        
Securities issued or guaranteed by:
 
                                                                                                                                
Canadian federal government
  
$
4,766
 
          
$
3,445
 
          
$
1,355
 
          
$
1,736
 
          
$
–
 
                  
$
11,302
 
                   $ 10,822                  
Other Canadian governments
  
 
1,303
 
          
 
1,048
 
          
 
885
 
          
 
4,392
 
          
 
–
 
                  
 
7,628
 
                     8,634                  
U.S. Treasury and agencies
  
 
1,037
 
          
 
3,753
 
          
 
909
 
          
 
346
 
          
 
–
 
                  
 
6,045
 
                     5,206                  
Other foreign governments
  
 
3,085
 
          
 
1,231
 
          
 
31
 
          
 
–
 
          
 
–
 
                  
 
4,347
 
                     3,488                  
Mortgage-backed securities
(4)
  
 
398
 
          
 
2,301
 
          
 
199
 
          
 
–
 
          
 
–
 
                  
 
2,898
 
                     2,878                  
Asset-backed securities
  
 
148
 
          
 
158
 
          
 
–
 
          
 
3
 
          
 
–
 
                  
 
309
 
                     985                  
Corporate debt
  
 
1,360
 
          
 
1,986
 
          
 
801
 
          
 
308
 
          
 
–
 
                  
 
4,455
 
                     3,611                  
   
$
12,097
 
          
$
13,922
 
          
$
4,180
 
          
$
6,785
 
          
$
–
 
                  
$
36,984
 
                   $ 35,624                  
Corporate equity mandatorily measured
at FVTPL and designated at
    FVOCI
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
  
$
–
 
  
 
–
 % 
  
$
46,311
 
  
 
n/m
 
          
$
46,311
 
  
 
n/m
 
           $ 32,194       n/m          
                                   
Total securities
(5)
  
$
  28,872
 
          
$
  93,884
 
          
$
  33,199
 
          
$
  9,082
 
          
$
  46,311
 
                  
$
  211,348
 
                   $   175,879                  

(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 $220 million (2022: $192 million) and fair value of $220 million (2022: $193 million); securities issued by Federal National Mortgage Association (Fannie Mae), with amortized cost of $356 million (2022: $439 million) and fair value of $334 million (2022: $416 million); securities issued by Federal Home Loan Mortgage Corporation (Freddie Mac), with amortized cost of $134 million (2022: $190 million) and fair value of $124 million (2022: $180 million); and securities issued by Government National Mortgage Association, a U.S. government corporation (Ginnie Mae), with amortized cost of $311 million (2022: $381 million) and fair value of $300 million (2022: $374 million).
(3)
Includes securities backed by mortgages insured by the CMHC, with amortized cost of $2,342 million (2022: $225 million) and fair value of $2,309 million (2022: $225 million); securities issued by Fannie Mae, with amortized cost of $621 million (2022: $806 million) and fair value of $571 million (2022: $743 million); securities issued by Freddie Mac, with amortized cost of $1,667 million (2022: $1,962 million) and fair value of $1,501 million (2022: $1,777 million); and securities issued by Ginnie Mae, with amortized cost of $51 million (2022: $57 million) and fair value of $45 million (2022: $52 million).
(4)
Includes securities backed by mortgages insured by the CMHC of $2,898 million (2022: $2,877 million).
(5)
Includes securities denominated in U.S. dollars with carrying value of $110.9 billion (2022: $83.2 billion) and securities denominated in other foreign currencies with carrying value of $10,106 million (2022: $8,851 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
         
2023
                    2022  
    
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
  
$
    10,890
 
   
$
16
 
   
$
(9
) 
  
$
10,897
 
      $ 10,646      $ 10      $ (17 )    $ 10,639  
Other Canadian governments
  
 
13,526
 
   
 
33
 
   
 
(74
) 
  
 
13,485
 
        17,494        32        (74 )      17,452  
U.S. Treasury and agencies
  
 
22,383
 
   
 
4
 
   
 
(223
) 
  
 
22,164
 
        12,305        5        (351 )      11,959  
Other foreign governments
  
 
5,632
 
   
 
21
 
   
 
(14
) 
  
 
5,639
 
        7,048        21        (31 )      7,038  
Mortgage-backed securities
  
 
1,021
 
   
 
–
 
   
 
(43
) 
  
 
978
 
        1,202        1        (40 )      1,163  
Asset-backed securities
  
 
944
 
   
 
–
 
   
 
(6
) 
  
 
938
 
        375        –        (16 )      359  
Corporate debt
  
 
6,691
 
   
 
1
 
   
 
(34
) 
  
 
6,658
 
  
 
 
 
      7,023        –        (56 )      6,967  
 
  
 
61,087
 
   
 
75
 
   
 
(403
) 
  
 
60,759
 
  
 
 
 
      56,093        69        (585 )      55,577  
Corporate equity
(2)
  
 
556
 
   
 
48
 
   
 
(32
) 
  
 
572
 
  
 
 
 
      525        31        (34 )      522  
 
  
$
61,643
 
   
$
    123
 
   
$
    (435
) 
  
$
    61,331
 
  
 
 
 
    $     56,618      $     100      $     (619 )    $     56,099  
 
(1)
Net of allowance for credit losses for debt securities measured at FVOCI of $22 million (2022: $24 million).
(2)
Includes restricted stock.
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
  
2023
     2022  
Realized gains
  
$
114
 
   $ 57  
Realized losses
  
 
(24
) 
     (23 ) 
(Provision for) reversal of credit losses on debt securities
  
 
2
 
     (2 ) 
 
  
$
    92
 
   $     32  
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 and amortized cost:
 
        
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 
(1)
    
Total
  
2023
   
Debt securities measured at FVOCI and amortized cost
        
  
Balance at beginning of year
  
$
7
 
  
$
20
 
  
$
12
 
  
$
39
 
  
Provision for (reversal of) credit losses
(2)
  
 
2
 
  
 
–
 
  
 
1
 
  
 
3
 
  
Write-offs
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
 
   
Foreign exchange and other
  
 
(1
) 
  
 
–
 
  
 
1
 
  
 
–
 
 
    Balance at end of year  
$
8
 
  
$
20
 
  
$
14
 
  
$
42
 
  
Comprises:
        
  
Debt securities measured at FVOCI
  
$
2
 
  
$
20
 
  
$
–
 
  
$
22
 
 
   
Debt securities measured at amortized cost
  
 
6
 
  
 
–
 
  
 
14
 
  
 
20
 
2022   
Debt securities measured at FVOCI and amortized cost
(3)
        
  
Balance at beginning of year
   $      6     $     15     $     13     $     34  
  
Provision for (reversal of) credit losses
(2)
     –       2       (3 )      (1 ) 
  
Write-offs
     –       –       –       –  
 
   
Foreign exchange and other
     1       3       2       6  
 
    Balance at end of year   $ 7     $ 20     $ 12     $ 39  
  
Comprises:
        
  
Debt securities measured at FVOCI
  
$

 4    
$

 20    
$

 –    
$
 		 24  
 
   
Debt securities measured at amortized cost
     3       –       12       15  
 
(1)
Includes stage 3 ECL allowance on originated credit-impaired amortized cost debt securities.
(2)
Included in
G
ains (losses) from debt securities measured at FVOCI and amortized cost, net on our consolidated statement of income.
(3)
Certain information has been revised to conform to the current year presentation.