Loans, Impaired Loans, and Allowance for Credit Losses (Tables)

6 Months Ended

Apr. 30, 2020

Text Block [Abstract]

Summary of Gross Carrying Amounts of Loans and Credit Risk Exposures on Loan Commitments and Financial Guarantee Contracts by Internal Risk Ratings

The following table provides the gross carrying amounts of loans and credit risk exposures on loan commitments and financial guarantee contracts by internal risk ratings for credit risk management purposes, presenting separately those that are subject to Stage 1, Stage 2, and Stage 3 allowances.

Loans by Risk Ratings

(millions of Canadian dollars)															As at
		April 30, 2020								October 31, 2019
		Stage 1		Stage 2		Stage 3		Total		Stage 1		Stage 2		Stage 3		Total
Residential mortgages1,2,3
Low Risk	$	172,501	$	64	$	n/a	$	172,565	$	181,748	$	77	$	n/a	$	181,825
Normal Risk		58,065		367		n/a		58,432		43,988		248		n/a		44,236
Medium Risk		7,231		615		n/a		7,846		5,817		433		n/a		6,250
High Risk		826		2,831		302		3,959		964		1,454		366		2,784
Default		n/a		n/a		648		648		n/a		n/a		545		545
Total		238,623		3,877		950		243,450		232,517		2,212		911		235,640
Allowance for loan losses		37		56		60		153		28		26		56		110
Loans, net of allowance		238,586		3,821		890		243,297		232,489		2,186		855		235,530
Consumer instalment and other personal4
Low Risk		71,462		535		n/a		71,997		92,601		953		n/a		93,554
Normal Risk		62,388		1,632		n/a		64,020		46,878		973		n/a		47,851
Medium Risk		29,758		1,641		n/a		31,399		27,576		879		n/a		28,455
High Risk		8,381		5,712		656		14,749		6,971		2,435		618		10,024
Default		n/a		n/a		505		505		n/a		n/a		450		450
Total		171,989		9,520		1,161		182,670		174,026		5,240		1,068		180,334
Allowance for loan losses		833		805		216		1,854		690		384		175		1,249
Loans, net of allowance		171,156		8,715		945		180,816		173,336		4,856		893		179,085
Credit card
Low Risk		3,925		40		n/a		3,965		7,188		48		n/a		7,236
Normal Risk		9,005		94		n/a		9,099		10,807		82		n/a		10,889
Medium Risk		11,624		353		n/a		11,977		11,218		275		n/a		11,493
High Risk		4,793		3,913		362		9,068		4,798		1,670		355		6,823
Default		n/a		n/a		133		133		n/a		n/a		123		123
Total		29,347		4,400		495		34,242		34,011		2,075		478		36,564
Allowance for loan losses		877		1,170		343		2,390		732		521		322		1,575
Loans, net of allowance		28,470		3,230		152		31,852		33,279		1,554		156		34,989
Business and government1,2,3,5
Investment grade or Low/Normal Risk		150,320		150		n/a		150,470		120,940		153		n/a		121,093
Non-Investment grade or Medium Risk		140,253		8,824		n/a		149,077		119,256		5,298		n/a		124,554
Watch and classified or High Risk		916		9,218		86		10,220		951		4,649		158		5,758
Default		n/a		n/a		1,196		1,196		n/a		n/a		730		730
Total		291,489		18,192		1,282		310,963		241,147		10,100		888		252,135
Allowance for loan losses		978		1,068		482		2,528		672		648		193		1,513
Loans, net of allowance		290,511		17,124		800		308,435		240,475		9,452		695		250,622
Total loans5,6		731,448		35,989		3,888		771,325		681,701		19,627		3,345		704,673
Total allowance for loan losses6		2,725		3,099		1,101		6,925		2,122		1,579		746		4,447
Total loans, net of allowance5,6	$	728,723	$	32,890	$	2,787	$	764,400	$	679,579	$	18,048	$	2,599	$	700,226

¹ As at April 30, 2020, impaired loans with a balance of $166 million (October 31, 2019 – $127 million) did not have a related allowance for loan losses. An allowance was not required for these loans as the balance relates to loans where the realizable value of the collateral exceeded the loan amount.

² As at April 30, 2020, excludes trading loans and non-trading loans at fair value through profit or loss (FVTPL) with a fair value of $13 billion (October 31, 2019 – $12 billion) and $3 billion (October 31, 2019 – $2 billion), respectively.

³ As at April 30, 2020, includes insured mortgages of $86 billion (October 31, 2019 – $88 billion).

⁴ As at April 30, 2020, includes Canadian government-insured real estate personal loans of $12 billion (October 31, 2019 – $13 billion).

⁵ As at April 30, 2020, includes loans that are measured at FVOCI of $3 billion (October 31, 2019 – $2 billion) and customers’ liability under acceptances of $14 billion (October 31, 2019 – $13 billion).

⁶ As at April 30, 2020, Stage 3 includes acquired credit-impaired (ACI) loans of $282 million (October 31, 2019 – $313 million) and a related allowance for loan losses of $10 million (October 31, 2019 – $12 million), which have been included in the “Default” risk rating category as they were impaired at acquisition.

Loans by Risk Ratings (Continued) – Off-Balance Sheet Credit Instruments1
(millions of Canadian dollars)																As at
						April 30, 2020								October 31, 2019
		Stage 1		Stage 2		Stage 3		Total		Stage 1		Stage 2		Stage 3		Total
Retail Exposures2
Low Risk	$	217,110	$	714	$	n/a	$	217,824	$	227,757	$	732	$	n/a	$	228,489
Normal Risk		86,315		1,016		n/a		87,331		67,245		570		n/a		67,815
Medium Risk		20,622		571		n/a		21,193		13,204		277		n/a		13,481
High Risk		2,839		1,413		–		4,252		1,869		854		–		2,723
Default		n/a		n/a		–		–		n/a		n/a		–		–
Non-Retail Exposures3
Investment grade		177,400		–		n/a		177,400		179,650		–		n/a		179,650
Non-Investment grade		66,329		6,187		n/a		72,516		64,553		3,397		n/a		67,950
Watch and classified		11		3,755		–		3,766		2		2,126		–		2,128
Default		n/a		n/a		282		282		n/a		n/a		108		108
Total off-balance sheet credit instruments		570,626		13,656		282		584,564		554,280		7,956		108		562,344
Allowance for off-balance sheet credit instruments		407		538		46		991		293		277		15		585
Total off-balance sheet credit instruments, net of allowance	$	570,219	$	13,118	$	236	$	583,573	$	553,987	$	7,679	$	93	$	561,759

¹ Exclude mortgage commitments.

² As at April 30, 2020, includes $329 billion (October 31, 2019 – $311 billion) of personal lines of credit and credit card lines, which are unconditionally cancellable at the Bank’s discretion at any time.

³ As at April 30, 2020, includes $41 billion (October 31, 2019 – $41 billion) of the undrawn component of uncommitted credit and liquidity facilities.

Summary of Allowance for Credit Losses

The changes to the Bank’s allowance for loan losses, as at and for the three and six months ended April 30, 2020 and April 30, 2019, are shown in the following tables.

Allowance for Loan Losses¹ 

(millions of Canadian dollars)	For the three months ended
	April 30, 2020												April 30, 2019
		Stage 1			Stage 2			Stage 3	2		Total			Stage 1			Stage 2			Stage 3	2		Total
Residential Mortgages
Balance at beginning of period	$	30		$	28		$	56		$	114		$	25		$	30		$	52		$	107
Provision for credit losses
Transfer to Stage 13		4			(4	)		–			–			4			(4	)		–			–
Transfer to Stage 2		(3	)		6			(3	)		–			(1	)		3			(2	)		–
Transfer to Stage 3		–			(3	)		3			–			–			(2	)		2			–
Net remeasurement due to transfers4		(2	)		4			–			2			(2	)		2			–			–
New originations or purchases5		4			n/a			n/a			4			2			n/a			n/a			2
Net repayments6		–			–			–			–			–			–			–			–
Derecognition of financial assets (excluding disposals and write-offs)7		(1	)		(1	)		(5	)		(7	)		–			(1	)		(4	)		(5	)
Changes to risk, parameters, and models8		3			25			14			42			(1	)		4			9			12
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(9	)		(9	)		–			–			(6	)		(6	)
Recoveries		–			–			1			1			–			–			–			–
Foreign exchange and other adjustments		2			1			2			5			–			–			–			–
Balance at end of period	$	37		$	56		$	59		$	152		$	27		$	32		$	51		$	110
Consumer Instalment and Other Personal
Balance, including off-balance sheet instruments, at beginning of period	$	728		$	440		$	185		$	1,353		$	598		$	413		$	183		$	1,194
Provision for credit losses
Transfer to Stage 13		50			(45	)		(5	)		–			84			(80	)		(4	)		–
Transfer to Stage 2		(136	)		151			(15	)		–			(28	)		39			(11	)		–
Transfer to Stage 3		(4	)		(40	)		44			–			(4	)		(54	)		58			–
Net remeasurement due to transfers4		(20	)		167			4			151			(34	)		38			2			6
New originations or purchases5		99			n/a			n/a			99			73			n/a			n/a			73
Net repayments6		(20	)		(14	)		(3	)		(37	)		(22	)		(8	)		(3	)		(33	)
Derecognition of financial assets (excluding disposals and write-offs)7		(22	)		(10	)		(6	)		(38	)		(18	)		(26	)		(18	)		(62	)
Changes to risk, parameters, and models8		171			203			297			671			(7	)		74			183			250
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(346	)		(346	)		–			–			(280	)		(280	)
Recoveries		–			–			58			58			–			–			68			68
Foreign exchange and other adjustments		17			8			3			28			5			5			3			13
Balance, including off-balance sheet instruments, at end of period		863			860			216			1,939			647			401			181			1,229
Less: Allowance for off-balance sheet instruments9		30			55			–			85			26			44			–			70
Balance at end of period	$	833		$	805		$	216		$	1,854		$	621		$	357		$	181		$	1,159
Credit Card10
Balance, including off-balance sheet instruments, at beginning of period	$	952		$	728		$	367		$	2,047		$	865		$	635		$	389		$	1,889
Provision for credit losses
Transfer to Stage 13		136			(130	)		(6	)		–			164			(155	)		(9	)		–
Transfer to Stage 2		(156	)		172			(16	)		–			(55	)		72			(17	)		–
Transfer to Stage 3		(2	)		(134	)		136			–			(8	)		(149	)		157			–
Net remeasurement due to transfers4		(48	)		241			3			196			(55	)		75			9			29
New originations or purchases5		55			n/a			n/a			55			35			n/a			n/a			35
Net repayments6		(18	)		2			9			(7	)		(1	)		(1	)		5			3
Derecognition of financial assets (excluding disposals and write-offs)7		(29	)		(33	)		(62	)		(124	)		(27	)		(33	)		(131	)		(191	)
Changes to risk, parameters, and models8		205			667			304			1,176			(50	)		176			339			465
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(486	)		(486	)		–			–			(443	)		(443	)
Recoveries		–			–			78			78			–			–			78			78
Foreign exchange and other adjustments		32			17			16			65			12			7			5			24
Balance, including off-balance sheet instruments, at end of period		1,127			1,530			343			3,000			880			627			382			1,889
Less: Allowance for off-balance sheet instruments9		250			360			–			610			480			318			–			798
Balance at end of period	$	877		$	1,170		$	343		$	2,390		$	400		$	309		$	382		$	1,091

¹  Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period.

² Includes allowance for loan losses related to ACI loans.

³  Transfers represent stage transfer movements prior to ECL remeasurement.

⁴ Represents the mechanical remeasurement between twelve-month (i.e., Stage 1) and lifetime ECLs (i.e., Stage 2 or 3) due to stage transfers necessitated by credit risk migration, as described in the “Significant Increase in Credit Risk” section of Note 2, Summary of Significant Accounting Policies and Note 3, Significant Accounting Judgments, Estimates and Assumptions of the Bank’s 2019 Annual Consolidated Financial Statements, holding all other factors impacting the change in ECL constant.

⁵  Represents the increase in the allowance resulting from loans that were newly originated, purchased, or renewed.

⁶  Represents the changes in the allowance related to cash flow changes associated with new draws or repayments on loans outstanding.

⁷  Represents the decrease in the allowance resulting from loans that were fully repaid and excludes the decrease associated with loans that were disposed or fully written off.

⁸  Represents the changes in the allowance related to current period changes in risk (e.g., PD) caused by changes to: macroeconomic factors, level of risk, parameters, and/or models, subsequent to stage migration. Refer to the “Measurement of Expected Credit Losses”, “Forward Looking Information” and “Expert Credit Judgment” sections of Note 2, Summary of Significant Accounting Policies and Note 3, Significant Accounting Judgments, Estimates and Assumptions of the Bank’s 2019 Annual Consolidated Financial Statements for further details.

⁹  The allowance for loan losses for off-balance sheet instruments is recorded in Other liabilities on the Interim Consolidated Balance Sheet.

¹⁰  Credit cards are considered impaired and migrate to Stage 3 when they are 90 days past due and written off at 180 days past due. Refer to Note 2 of the Bank’s 2019 Annual Consolidated Financial Statements for further details.

Allowance for Loan Losses (Continued)1,2
(millions of Canadian dollars)		For the three months ended
		April 30, 2020												April 30, 2019
		Stage 1			Stage 2			Stage 3	3		Total			Stage 1			Stage 2			Stage 3	3		Total
Business and Government
Balance, including off-balance sheet instruments, at beginning of period	$	756		$	735		$	291		$	1,782		$	725		$	705		$	178		$	1,608
Provision for credit losses
Transfer to Stage 14		36			(35	)		(1	)		–			41			(40	)		(1	)		–
Transfer to Stage 2		(113	)		116			(3	)		–			(38	)		40			(2	)		–
Transfer to Stage 3		(1	)		(17	)		18			–			(2	)		(29	)		31			–
Net remeasurement due to transfers4		(14	)		67			(1	)		52			(14	)		27			1			14
New originations or purchases4		209			n/a			n/a			209			104			n/a			n/a			104
Net repayments4		(4	)		(11	)		(10	)		(25	)		(5	)		(10	)		(3	)		(18	)
Derecognition of financial assets (excluding disposals and write-offs)4		(86	)		(51	)		(79	)		(216	)		(74	)		(73	)		(25	)		(172	)
Changes to risk, parameters, and models4		294			362			350			1,006			(31	)		127			27			123
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(58	)		(58	)		–			–			(40	)		(40	)
Recoveries		–			–			11			11			–			–			13			13
Foreign exchange and other adjustments		28			25			11			64			11			8			4			23
Balance, including off-balance sheet instruments, at end of period		1,105			1,191			529			2,825			717			755			183			1,655
Less: Allowance for off-balance sheet instruments4,5		127			123			46			296			74			156			7			237
Balance at end of period		978			1,068			483			2,529			643			599			176			1,418
Total Allowance for Loan Losses at end of period	$	2,725		$	3,099		$	1,101		$	6,925		$	1,691		$	1,297		$	790		$	3,778

¹ Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period.

²  Includes the allowance for loan losses related to customers’ liability under acceptances.

³  Includes allowance for loan losses related to ACI loans.

⁴  For explanations regarding this line item, refer to the “Allowance for Loan Losses” table on the previous page in this Note.

⁵  The allowance for loan losses for off-balance sheet instruments is recorded in Other liabilities on the Interim Consolidated Balance Sheet.

Allowance for Loan Losses¹ 

(millions of Canadian dollars)		For the six months ended
		April 30, 2020												April 30, 2019
		Stage 1			Stage 2			Stage 3	2		Total			Stage 1			Stage 2			Stage 3	2		Total
Residential Mortgages
Balance at beginning of period	$	28		$	26		$	56		$	110		$	24		$	34		$	52		$	110
Provision for credit losses
Transfer to Stage 13		10			(10	)		–			–			17			(16	)		(1	)		–
Transfer to Stage 2		(4	)		10			(6	)		–			(2	)		6			(4	)		–
Transfer to Stage 3		–			(6	)		6			–			(1	)		(4	)		5			–
Net remeasurement due to transfers4		(5	)		6			–			1			(6	)		3			–			(3	)
New originations or purchases5		9			n/a			n/a			9			5			n/a			n/a			5
Net repayments6		–			–			–			–			–			(1	)		–			(1	)
Derecognition of financial assets (excluding disposals and write-offs)7		(2	)		(2	)		(10	)		(14	)		(1	)		(2	)		(8	)		(11	)
Changes to risk, parameters, and models8		(1	)		31			25			55			(9	)		12			20			23
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(16	)		(16	)		–			–			(13	)		(13	)
Recoveries		–			–			2			2			–			–			–			–
Foreign exchange and other adjustments		2			1			2			5			–			–			–			–
Balance at end of period	$	37		$	56		$	59		$	152		$	27		$	32		$	51		$	110
Consumer Instalment and Other Personal
Balance, including off-balance sheet instruments, at beginning of period	$	717		$	417		$	175		$	1,309		$	599		$	392		$	180		$	1,171
Provision for credit losses
Transfer to Stage 13		134			(123	)		(11	)		–			167			(158	)		(9	)		–
Transfer to Stage 2		(172	)		199			(27	)		–			(57	)		78			(21	)		–
Transfer to Stage 3		(7	)		(76	)		83			–			(9	)		(106	)		115			–
Net remeasurement due to transfers4		(55	)		210			7			162			(68	)		78			5			15
New originations or purchases5		177			n/a			n/a			177			139			n/a			n/a			139
Net repayments6		(44	)		(22	)		(6	)		(72	)		(43	)		(15	)		(6	)		(64	)
Derecognition of financial assets (excluding disposals and write-offs)7		(43	)		(21	)		(11	)		(75	)		(38	)		(52	)		(33	)		(123	)
Changes to risk, parameters, and models8		138			267			553			958			(48	)		180			405			537
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(688	)		(688	)		–			–			(586	)		(586	)
Recoveries		–			–			137			137			–			–			128			128
Foreign exchange and other adjustments		18			9			4			31			5			4			3			12
Balance, including off-balance sheet instruments, at end of period		863			860			216			1,939			647			401			181			1,229
Less: Allowance for off-balance sheet instruments9		30			55			–			85			26			44			–			70
Balance at end of period	$	833		$	805		$	216		$	1,854		$	621		$	357		$	181		$	1,159
Credit Card10
Balance, including off-balance sheet instruments, at beginning of period	$	934		$	673		$	322		$	1,929		$	819		$	580		$	341		$	1,740
Provision for credit losses
Transfer to Stage 13		297			(285	)		(12	)		–			363			(296	)		(67	)		–
Transfer to Stage 2		(211	)		240			(29	)		–			(111	)		143			(32	)		–
Transfer to Stage 3		(10	)		(267	)		277			–			(16	)		(316	)		332			–
Net remeasurement due to transfers4		(110	)		325			15			230			(111	)		154			23			66
New originations or purchases5		90			n/a			n/a			90			65			n/a			n/a			65
Net repayments6		52			9			21			82			38			1			(30	)		9
Derecognition of financial assets (excluding disposals and write-offs)7		(54	)		(62	)		(165	)		(281	)		(47	)		(54	)		(195	)		(296	)
Changes to risk, parameters, and models8		104			877			673			1,654			(130	)		409			716			995
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(938	)		(938	)		–			–			(861	)		(861	)
Recoveries		–			–			162			162			–			–			149			149
Foreign exchange and other adjustments		35			20			17			72			10			6			6			22
Balance, including off-balance sheet instruments, at end of period		1,127			1,530			343			3,000			880			627			382			1,889
Less: Allowance for off-balance sheet instruments9		250			360			–			610			480			318			–			798
Balance at end of period	$	877		$	1,170		$	343		$	2,390		$	400		$	309		$	382		$	1,091

¹  Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period.

² Includes allowance for loan losses related to ACI loans.

³  Transfers represent stage transfer movements prior to ECL remeasurement.

⁴ Represents the mechanical remeasurement between twelve-month (i.e., Stage 1) and lifetime ECLs (i.e., Stage 2 or 3) due to stage transfers necessitated by credit risk migration, as described in the “Significant Increase in Credit Risk” section of Note 2, Summary of Significant Accounting Policies and Note 3, Significant Accounting Judgments, Estimates and Assumptions of the Bank’s 2019 Annual Consolidated Financial Statements, holding all other factors impacting the change in ECL constant.

⁵  Represents the increase in the allowance resulting from loans that were newly originated, purchased, or renewed.

⁶  Represents the changes in the allowance related to cash flow changes associated with new draws or repayments on loans outstanding.

⁷  Represents the decrease in the allowance resulting from loans that were fully repaid and excludes the decrease associated with loans that were disposed or fully written off.

⁸  Represents the changes in the allowance related to current period changes in risk (e.g., PD) caused by changes to: macroeconomic factors, level of risk, parameters, and/or models, subsequent to stage migration. Refer to the “Measurement of Expected Credit Losses”, “Forward Looking Information” and “Expert Credit Judgment” sections of Note 2, Summary of Significant Accounting Policies and Note 3, Significant Accounting Judgments, Estimates and Assumptions of the Bank’s 2019 Annual Consolidated Financial Statements for further details.

⁹  The allowance for loan losses for off-balance sheet instruments is recorded in Other liabilities on the Interim Consolidated Balance Sheet.

¹⁰  Credit cards are considered impaired and migrate to Stage 3 when they are 90 days past due and written off at 180 days past due. Refer to Note 2 of the Bank’s 2019 Annual Consolidated Financial Statements for further details.

Allowance for Loan Losses (Continued)1,2
(millions of Canadian dollars)		For the six months ended
		April 30, 2020												April 30, 2019
		Stage 1			Stage 2			Stage 3	3		Total			Stage 1			Stage 2			Stage 3	3		Total
Business and Government
Balance, including off-balance sheet instruments, at beginning of period	$	736		$	740		$	208		$	1,684		$	736		$	684		$	137		$	1,557
Provision for credit losses
Transfer to Stage 14		78			(76	)		(2	)		–			85			(82	)		(3	)		–
Transfer to Stage 2		(137	)		145			(8	)		–			(68	)		72			(4	)		–
Transfer to Stage 3		(10	)		(77	)		87			–			(3	)		(48	)		51			–
Net remeasurement due to transfers4		(32	)		101			(4	)		65			(27	)		47			2			22
New originations or purchases4		319			n/a			n/a			319			213			n/a			n/a			213
Net repayments4		(12	)		(19	)		(18	)		(49	)		2			(22	)		(7	)		(27	)
Derecognition of financial assets (excluding disposals and write-offs)4		(167	)		(160	)		(119	)		(446	)		(168	)		(183	)		(37	)		(388	)
Changes to risk, parameters, and models4		300			509			454			1,263			(64	)		280			93			309
Disposals		–			–			–			–			–			–			–			–
Write-offs		–			–			(105	)		(105	)		–			–			(75	)		(75	)
Recoveries		–			–			29			29			–			–			24			24
Foreign exchange and other adjustments		30			28			7			65			11			7			2			20
Balance, including off-balance sheet instruments, at end of period		1,105			1,191			529			2,825			717			755			183			1,655
Less: Allowance for off-balance sheet instruments4, 5		127			123			46			296			74			156			7			237
Balance at end of period		978			1,068			483			2,529			643			599			176			1,418
Total Allowance for Loan Losses at end of period	$	2,725		$	3,099		$	1,101		$	6,925		$	1,691		$	1,297		$	790		$	3,778

¹ Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period.

²  Includes the allowance for loan losses related to customers’ liability under acceptances.

³  Includes allowance for loan losses related to ACI loans.

⁴  For explanations regarding this line item, refer to the “Allowance for Loan Losses” table on the previous page in this Note.

⁵  The allowance for loan losses for off-balance sheet instruments is recorded in Other liabilities on the Interim Consolidated Balance Sheet.

Summary of Macroeconomic Variables Impacted in Determining ECLs

Macroeconomic Variables

	Base Forecasts																		Upside Forecasts						Downside Forecasts
	Calendar Quarters1												Average Q2 2020- Q2 20212			Remaining 4-year period2			Average Q2 2020- Q2 20212			Remaining 4-year period2			Average Q2 2020- Q2 20212			Remaining 4-year period2
		Q2 2020			Q3 2020			Q4 2020			Q1 2021
Unemployment rate
Canada		12.6	%		10.6	%		8.0	%		6.7	%		9.5	%		5.8	%		9.3	%		5.3	%		11.1	%		6.8	%
United States		16.5			9.2			7.2			6.1			9.8			4.2			9.6			3.6			10.9			4.7
Real GDP
Canada		-42.0			32.6			15.8			12.8			-7.1			3.3			-6.7			4.0			-9.1			4.0
United States		-41.4			25.1			16.1			11.2			-6.7			3.5			-6.5			4.0			-8.4			4.0
Home prices
Canada (average existing price)3		-13.3			9.4			17.9			2.4			3.8			3.1			4.9			4.9			0.3			3.9
United States (CoreLogic HPI)4		-1.9			6.0			2.5			4.0			2.3			3.6			2.6			4.3			0.4			4.1
Central bank policy interest rate
Canada		0.25			0.25			0.25			0.25			0.25			0.91			0.44			1.16			0.10			0.61
United States		0.25			0.25			0.25			0.25			0.25			1.13			0.25			1.61			0.25			0.81
U.S. 10-year treasury yield		0.55			0.50			0.70			0.90			0.66			1.90			1.09			2.90			0.33			1.81
U.S. 10-year BBB spread (%-pts)		3.25			2.50			2.20			2.00			2.49			1.81			2.42			1.55			4.13			1.84
Exchange rate (U.S. dollar/Canadian dollar)	$	0.69		$	0.71		$	0.72		$	0.73		$	0.71		$	0.77		$	0.72		$	0.80		$	0.70		$	0.71

¹  Quarterly figures for real GDP and home prices are presented as the quarter on quarter change, seasonally adjusted annualized rate.

²  The numbers represent average values for the quoted periods, and average of year-on-year growth for real GDP and home prices.

³  The average home price is the average transacted sale price of homes sold via the Multiple Listing Service (MLS); data is collected by the Canadian Real Estate Association (CREA).

⁴  The CoreLogic home price index (HPI) is a repeat-sales index which tracks increases and decreases in the same home’s sales price over time.

Schedule of Change from Base to Probability-Weighted ECL

The following table presents the base ECL scenario compared to the probability-weighted ECL, with the latter derived from three ECL scenarios for performing loans and off-balance sheet instruments. The difference reflects the impact of deriving multiple scenarios around the base ECL and resultant change in ECL due to non-linearity and sensitivity to using macroeconomic forecasts.

Change from Base to Probability-Weighted ECL

(millions of Canadian dollars, except as noted)	As at
	April 30, 2020			October 31, 2019
Probability-weighted ECL	$	6,769		$	4,271
Base ECL		6,510			4,104
Difference – in amount	$	259		$	167
Difference – in percentage		3.8	%		3.9	%

Schedule of Incremental Lifetime ECL Impact

The following table shows the estimated impact of staging on ACLs by presenting all performing loans and off-balance sheet instruments calculated using twelve-month ECLs compared to the current aggregate probability-weighted ECL, holding all risk profiles constant.

Incremental Lifetime ECL Impact
(millions of Canadian dollars)				As at
		April 30, 2020		October 31, 2019
Aggregate Stage 1 and 2 probability-weighted ECL	$	6,769	$	4,271
All performing loans and off-balance sheet instruments using 12-month ECL		5,357		3,672
Incremental lifetime ECL impact	$	1,412	$	599

Summary of Loans Past Due but Not Impaired

The following table summarizes loans that are contractually past due but not impaired as at April 30, 2020 and October 31, 2019.

Loans Past Due but not Impaired1,2,3
(millions of Canadian dollars)																As at
		April 30, 2020								October 31, 2019
		1-30 days		31-60 days		61-89 days		Total		1-30 days		31-60 days		61-89 days		Total
Residential mortgages	$	2,005	$	495	$	185	$	2,685	$	1,709	$	404	$	111	$	2,224
Consumer instalment and other personal		5,527		1,062		367		6,956		6,038		845		266		7,149
Credit card		1,426		385		229		2,040		1,401		351		229		1,981
Business and government		4,090		749		132		4,971		1,096		858		60		2,014
Total	$	13,048	$	2,691	$	913	$	16,652	$	10,244	$	2,458	$	666	$	13,368

¹  Includes loans that are measured at FVOCI.

²  Balances exclude ACI loans.

³  Loans deferred under a bank-led COVID-19 relief program are not considered past due. Where such loans were already past due, they are not aged further during the deferral period.