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Financial instruments (Tables)
 6 Months Ended
Apr. 30, 2022
Statement [Line Items]  
Summary of Credit Risk Exposures
Under the standardized approach, credit risk is estimated using the risk weights as prescribed by the Basel framework, either based on credit assessments by external rating agencies or based on the counterparty type for non-retail exposures and product type for retail exposures.
 
Exposure at default
(1)
  
      As at
 
  
  
April 30, 2022
 
  
January 31
2022
 
  
October 31
2021
 
($ millions)
  
AIRB
 
  
Standardized
 
  
Total
 
  
Total
 
  
Total
 
By exposure sub-type
  
      
  
      
  
      
  
      
  
      
Non-retail
  
      
  
      
  
      
  
      
  
      
Drawn
(2)(3)
   
$
446,169
 
   
$
66,748
 
   
$
512,917
 
    $ 493,548      $ 459,902  
Undrawn commitments
   
 
116,895
 
   
 
3,806
 
   
 
120,701
 
      118,970        117,213  
Other exposures
(4)
   
 
110,511
 
   
 
7,771
 
   
 
118,282
 
      121,331        119,923  
Total non-retail
   
$
673,575
 
   
$
78,325
 
   
$
751,900
 
    $ 733,849      $ 697,038  
Retail
                                             
Drawn
(5)
   
$
271,657
 
   
$
99,421
 
   
$
371,078
 
    $ 360,789      $ 345,947  
Undrawn commitments
   
 
54,321
 
   
 
–
 
   
 
54,321
 
      52,994        51,020  
Total retail
   
$
325,978
 
   
$
99,421
 
   
$
425,399
 
    $ 413,783      $ 396,967  
Total
   
$
  999,553
 
   
$
  177,746
 
   
$
  1,177,299
 
    $   1,147,632      $   1,094,005  
  (1)
After credit risk mitigation and excludes equity securities and other assets.
  (2)
Non-retail AIRB drawn exposures include government guaranteed and privately insured mortgages.
  (3)
Non-retail drawn includes loans, bankers’ acceptances, deposits with financial institutions and FVOCI debt securities.
  (4)
Includes off-balance sheet lending instruments such as letters of credit, letters of guarantee, securitizations, over-the-counter derivatives and repo-style transactions net of related collateral.
  (5)
Retail drawn includes residential mortgages, credit cards, lines of credit and other personal loans.
Summary of VaR by Risk Factor
The table below shows the Bank’s VaR by risk factor along with Stressed VaR:
 
  
  
For the three months ended
 
  
As at
 
  
As at
 
 
  
April 30, 2022
 
  
April 30
 
  
January 31
 
  
April 30
 
($ millions)
  
Average
 
  
High
 
  
Low
 
  
2022
 
  
2022
 
  
2021
 
Credit spread plus interest rate
   
$
10.4
 
   
$
13.7
 
   
$
7.2
 
   
$
10.2
 
    $ 14.0      $ 10.8  
Credit spread
   
 
5.7
 
   
 
8.6
 
   
 
4.0
 
   
 
5.5
 
      5.9        4.8  
Interest rate
   
 
9.6
 
   
 
14.6
 
   
 
7.8
 
   
 
9.6
 
      14.1        13.9  
Equities
   
 
4.0
 
   
 
6.8
 
   
 
1.7
 
   
 
5.1
 
      2.2        9.4  
Foreign exchange
   
 
2.0
 
   
 
3.7
 
   
 
1.3
 
   
 
1.8
 
      1.4        3.0  
Commodities
   
 
2.8
 
   
 
5.6
 
   
 
1.3
 
   
 
5.6
 
      1.7        4.1  
Debt specific
   
 
2.1
 
   
 
2.6
 
   
 
1.7
 
   
 
2.0
 
      2.0        2.3  
Diversification effect
   
 
(9.4
 )   
 
–
 
   
 
–
 
   
 
(12.0
 )      (7.4 )       (13.0 ) 
Total VaR
   
$
11.9
 
   
$
15.6
 
   
$
7.8
 
   
$
12.7
 
    $ 13.9      $ 16.6  
Total Stressed VaR
   
$
  26.4
 
   
$
  41.0
 
   
$
  16.8
 
   
$
  25.7
 
    $   24.7      $   37.6  
Fair Value of Financial Liabilities Designated at Fair Value Through Profit or Loss and Changes in Fair Value
The following table presents the fair value of liabilities designated at fair value through profit or loss and their changes in fair value.
 
  
 
Fair value
 
 
Change in fair value
 
 
Cumulative change in fair value
(1)
 
  
 
As at
 
 
For the three months ended
 
 
As at
 
($ millions)
 
April 30
2022
 
 
January 31
2022
 
 
April 30
2021
 
 
April 30
2022
 
 
January 31
2022
 
 
April 30
2021
 
 
April 30
2022
 
 
January 31
2022
 
 
April 30
2021
 
Liabilities
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Senior note liabilities
(2)
  
$
  21,927
 
   $ 23,979     $   20,406    
$
3,913
 
   $ 902     $ 197    
$
4,108
 
   $ 195     $  (350 ) 
  (1)
The cumulative change in fair value is measured from the instruments’ date of initial recognition.
  (2)
Changes in fair value attributable to changes in the Bank’s own credit risk are recorded in other comprehensive income. Other changes in fair value are recorded in non-interest income – trading revenues. The offsetting fair value changes from associated derivatives is also recorded in non-interest income – trading revenues.
Changes in Fair Value Attributable to Changes in Bank's Own Credit Risk for Financial Liabilities Designated at Fair Value
The following table presents the changes in fair value attributable to changes in the Bank’s own credit risk for financial liabilities designated at fair value through profit or loss as well as their contractual maturity and carrying amounts.
 
  
  
Senior note liabilities
 
($ millions)
  
 
Contractual
maturity
amount
 
 
 
  
 
Carrying value
 
  
 
Difference
between
carrying
value and
contractual
maturity
amount
 
 
 
 
 
 
 
  
 
Changes in fair value
for the three month
period attributable
to changes in own
credit risk
recorded in other
comprehensive
income
 
 
 
 
 
 
 
 
  
 
Cumulative changes
in fair value due to
changes in own
credit risk
(1)
 
 
 
 
As at April 30, 2022
   
$
26,035
 
   
$
21,927
 
   
$
4,108
 
   
$
787
 
   
$
289
 
As at January 31, 2022
    $   24,174      $   23,979      $ 195      $    231      $   (498 ) 
As at April 30, 2021
    $   20,056      $   20,406      $   (350 )       $  (140 )     $ (777 ) 
  (1)
The cumulative change in fair value is measured from the instruments’ date of initial recognition.
Summary of Fair Values of Financial Instruments of Bank Using Valuation Methods and Assumption
The following table sets out the fair values of financial instruments of the Bank and excludes non-financial assets, such as property and equipment, investments in associates, precious metals, goodwill and other intangible assets.
 
  
  
As at
 
  
  
April 30, 2022
 
  
January 31, 2022
 
  
October 31, 2021
 
($ millions)
  
Total fair
value
 
  
Total
carrying
value
 
  
Total fair
value
 
  
Total
carrying
value
 
  
Total fair
value
 
  
Total
carrying
value
 
Assets:
  
      
  
      
  
      
  
      
  
      
  
      
Cash and deposits with financial institutions
   
$
85,910
 
   
$
85,910
 
    $   99,053      $   99,053      $   86,323      $   86,323  
Trading assets
   
 
133,644
 
   
 
133,644
 
      152,947        152,947        146,312        146,312  
Securities purchased under resale agreements and securities borrowed
   
 
148,706
 
   
 
148,706
 
      132,714        132,714        127,739        127,739  
Derivative financial instruments
   
 
54,608
 
   
 
54,608
 
      40,655        40,655        42,302        42,302  
Investment securities – fair value
   
 
83,788
 
   
 
83,788
 
      64,123        64,123        57,042        57,042  
Investment securities – amortized cost
   
 
16,107
 
   
 
16,699
 
      17,453        17,576        18,133        18,157  
Loans
   
 
684,215
 
   
 
689,702
 
      666,622        667,338        641,964        636,986  
Customers’ liability under acceptances
   
 
19,043
 
   
 
19,043
 
      20,901        20,901        20,404        20,404  
Other financial assets
   
 
19,349
 
   
 
19,349
 
      14,625        14,625        14,256        14,256  
Liabilities:
                                                      
Deposits
   
 
869,308
 
   
 
876,554
 
        848,941          851,045        798,335        797,259  
Financial instruments designated at fair value through profit or loss
   
 
21,927
 
   
 
21,927
 
      23,979        23,979        22,493        22,493  
Acceptances
   
 
19,070
 
   
 
19,070
 
      20,934        20,934        20,441        20,441  
Obligations related to securities sold short
   
 
44,620
 
   
 
44,620
 
      46,133        46,133        40,954        40,954  
Derivative financial instruments
   
 
57,123
 
   
 
57,123
 
      39,697        39,697        42,203        42,203  
Obligations related to securities sold under repurchase agreements and securities lent
   
 
131,978
 
   
 
131,978
 
      122,878        122,878          123,469          123,469  
Subordinated debentures
   
 
8,360
 
   
 
8,447
 
      6,666        6,338        6,733        6,334  
Other financial liabilities
   
 
41,679
 
   
 
41,949
 
      44,078        44,348        39,802        40,254  
Summary of Fair Value Hierarchy of Instruments Carried at Fair Value on a Recurring Basis
The following table outlines the fair value hierarchy and instruments carried at fair value on a recurring basis.
 
  
 
  
 
 
As at
 
 
  
 
 
  
 
 
  
 
 
  
 
  
 
April 30, 2022
 
 
January 31, 2022
 
($ millions)
 
Level 1
 
 
Level 2
 
 
Level 3
 
 
Total
 
 
Level 1
 
 
Level 2
 
 
Level 3
 
 
Total
 
Instruments carried at fair value on a recurring basis:
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Assets:
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Precious metals
(1)
  
$
–
 
  
$
1,056
 
  
$
–
 
  
$
1,056
 
   $ –     $ 527     $ –     $ 527  
Trading assets
                                                                
Loans
  
 
–
 
  
 
8,483
 
  
 
–
 
  
 
8,483
 
     –       8,494       –       8,494  
Canadian federal government and government guaranteed debt
  
 
7,630
 
  
 
3,716
 
  
 
–
 
  
 
11,346
 
     6,228       3,626       –       9,854  
Canadian provincial and municipal debt
  
 
4,000
 
  
 
4,608
 
  
 
–
 
  
 
8,608
 
     3,935       5,039       –       8,974  
US treasury and other US agencies’ debt
  
 
7,552
 
  
 
100
 
  
 
–
 
  
 
7,652
 
     9,601       48       –       9,649  
Other foreign governments’ debt
  
 
76
 
  
 
9,106
 
  
 
–
 
  
 
9,182
 
     159       8,059       –       8,218  
Corporate and other debt
  
 
2,667
 
  
 
9,070
 
  
 
1
 
  
 
11,738
 
     2,529       9,191       2       11,722  
Equity securities
  
 
74,813
 
  
 
71
 
  
 
3
 
  
 
74,887
 
     94,478       123       3       94,604  
Other
  
 
–
 
  
 
1,748
 
  
 
–
 
  
 
1,748
 
     –       1,432       –       1,432  
 
  
$
   96,738
 
  
$
   36,902
 
  
$
   4
 
  
$
   133,644
 
   $   116,930     $   36,012     $ 5     $   152,947  
Investment securities
(2)
                                                                
Canadian federal government and government guaranteed debt
  
$
5,011
 
  
$
4,700
 
  
$
–
 
  
$
9,711
 
   $ 3,992     $ 4,412     $ –     $ 8,404  
Canadian provincial and municipal debt
  
 
1,711
 
  
 
3,490
 
  
 
–
 
  
 
5,201
 
     1,336       4,007       –       5,343  
US treasury and other US agencies’ debt
  
 
33,515
 
  
 
2,019
 
  
 
–
 
  
 
35,534
 
     13,925       2,238       –       16,163  
Other foreign governments’ debt
  
 
189
 
  
 
26,261
 
  
 
17
 
  
 
26,467
 
     153       27,998       18       28,169  
Corporate and other debt
  
 
36
 
  
 
1,406
 
  
 
60
 
  
 
1,502
 
     69       1,108       24       1,201  
Equity securities
  
 
3,659
 
  
 
233
 
  
 
1,481
 
  
 
5,373
 
     3,157       233       1,453       4,843  
 
  
$
44,121
 
  
$
38,109
 
  
$
1,558
 
  
$
83,788
 
   $ 22,632     $ 39,996     $   1,495     $ 64,123  
Derivative financial instruments
                                                                
Interest rate contracts
  
$
–
 
  
$
9,923
 
  
$
8
 
  
$
9,931
 
   $ –     $ 12,568     $ 2     $ 12,570  
Foreign exchange and gold contracts
  
 
–
 
  
 
26,027
 
  
 
–
 
  
 
26,027
 
     –       16,833       –       16,833  
Equity contracts
  
 
251
 
  
 
8,273
 
  
 
26
 
  
 
8,550
 
     334       3,964       20       4,318  
Credit contracts
  
 
–
 
  
 
487
 
  
 
–
 
  
 
487
 
     –       342       –       342  
Commodity contracts
  
 
–
 
  
 
9,602
 
  
 
11
 
  
 
9,613
 
     –       6,585       7       6,592  
 
  
$
251
 
  
$
54,312
 
  
$
45
 
  
$
54,608
 
   $ 334     $ 40,292     $ 29     $ 40,655  
Liabilities:
                                                                
Deposits
  
$
–
 
  
$
106
 
  
$
–
 
  
$
106
 
   $ –     $ 174     $ –     $ 174  
Financial liabilities designated at fair value through profit or loss
  
 
–
 
  
 
21,840
 
  
 
87
 
  
 
21,927
 
     –       23,842       137       23,979  
Obligations related to securities sold short
  
 
38,131
 
  
 
6,487
 
  
 
2
 
  
 
44,620
 
     38,114       8,017       2       46,133  
                 
Derivative financial instruments
                                                                
Interest rate contracts
  
 
–
 
  
 
17,835
 
  
 
7
 
  
 
17,842
 
     –       13,494       17       13,511  
Foreign exchange and gold contracts
  
 
–
 
  
 
27,261
 
  
 
–
 
  
 
27,261
 
     –       17,374       –       17,374  
Equity contracts
  
 
524
 
  
 
2,904
 
  
 
6
 
  
 
3,434
 
     364       3,069       4       3,437  
Credit contracts
  
 
–
 
  
 
27
 
  
 
–
 
  
 
27
 
     –       26       –       26  
Commodity contracts
  
 
–
 
  
 
8,553
 
  
 
6
 
  
 
8,559
 
     –       5,341       8       5,349  
 
  
$
524
 
  
$
56,580
 
  
$
19
 
  
$
57,123
 
   $ 364     $ 39,304     $ 29     $ 39,697  
  (1)
The fair value of precious metals is determined based on quoted market prices and forward spot prices, where applicable.
  (2)
Excludes debt investment securities measured at amortized cost of $16,699 (January 31, 2022 – $17,576).
  
 
As at October 31, 2021
 
($ millions)
 
Level 1
 
 
Level 2
 
 
Level 3
 
 
Total
 
Instruments carried at fair value on a recurring basis:
 
      
 
      
 
      
 
      
Assets:
 
      
 
      
 
      
 
      
Precious metals
(1)
   $ –     $ 755     $ –     $ 755  
Trading assets
                                
Loans
     –       8,113       –       8,113  
Canadian federal government and government guaranteed debt
     9,272       3,842       –       13,114  
Canadian provincial and municipal debt
     5,556       4,298       –       9,854  
US treasury and other US agencies’ debt
     6,760       63       –       6,823  
Other foreign governments’ debt
     129       9,559       –       9,688  
Corporate and other debt
     2,595       9,185       40       11,820  
Equity securities
     85,688       160       1       85,849  
Other
     –       1,051       –       1,051  
 
   $   110,000     $   36,271     $ 41     $   146,312  
Investment securities
(2)
                                
Canadian federal government and government guaranteed debt
   $ 1,125     $ 4,679     $ –     $ 5,804  
Canadian provincial and municipal debt
     1,937       3,218       –       5,155  
US treasury and other US agencies’ debt
     11,462       2,175       –       13,637  
Other foreign governments’ debt
     67       26,605       17       26,689  
Corporate and other debt
     10       1,319       27       1,356  
Equity securities
     2,879       218       1,304       4,401  
 
   $ 17,480     $ 38,214     $   1,348     $ 57,042  
Derivative financial instruments
                                
Interest rate contracts
   $ –     $ 13,124     $ 1     $ 13,125  
Foreign exchange and gold contracts
     –       18,293       –       18,293  
Equity contracts
     184       3,513       21       3,718  
Credit contracts
     –       245       –       245  
Commodity contracts
     –       6,921       –       6,921  
 
   $ 184     $ 42,096     $ 22     $ 42,302  
Liabilities:
                                
Deposits
   $ –     $ 175     $ –     $ 175  
Financial liabilities designated at fair value through profit or loss
     –       22,354       139       22,493  
Obligations related to securities sold short
     35,487       5,467       –       40,954  
         
Derivative financial instruments
                                
Interest rate contracts
     –       13,148       15       13,163  
Foreign exchange and gold contracts
     –       18,171       –       18,171  
Equity contracts
     307       4,737       6       5,050  
Credit contracts
     –       30       –       30  
Commodity contracts
     –       5,789       –       5,789  
 
   $ 307     $ 41,875     $ 21     $ 42,203  
  (1)
The fair value of precious metals is determined based on quoted market prices and forward spot prices, where applicable.
  (2)
Excludes debt investment securities measured at amortized cost of $18,157.
Summary of Changes in Level 3 Instruments Carried at Fair Value
The following table summarizes the changes in Level 3 instruments carried at fair value for the three months ended April 30,
2022.
All positive balances represent assets and negative balances represent liabilities. Consequently, positive amounts indicate purchases of assets or settlements of liabilities and negative amounts indicate sales of assets or issuances of liabilities.
 
  
 
As at April 30, 2022
 
($ millions)
 
 
Fair
value,
beginning
of the
quarter
 
 
 
 
 
 
 
Gains/
(losses)
recorded
in income
 
 
 
 
 
 
Gains/
(losses)
recorded
in OCI
 
 
 
 
 
 
Purchases/
Issuances
 
 
 
 
Sales/
Settlements
 
 
 
 
Transfers
into/out
of Level 3
 
 
 
 
 
Fair
value, end
of the
quarter
 
 
 
 
 
 
Changes in
unrealized
gains/(losses)
recorded in
income for
instruments
still held
(1)
 
 
 
 
 
 
 
Trading assets
 
      
 
      
 
      
 
      
 
      
 
      
 
    
 
 
      
Corporate and other debt
   $ 2     $ (2 )   $ –     $ –     $ –     $ 1    
$
1
 
   $ (2 )
Equity securities
     3       –       –       2       –       (2 )  
 
3
 
     –  
      5       (2 )     –       2       –       (1 )  
 
4
 
     (2 )
Investment securities
                                                      
 
        
Other foreign governments’ debt
     18       –       (1 )     –       –       –    
 
17
 
     n/a  
Corporate and other debt
     24       –       (6 )     42       –       –    
 
60
 
     –  
Equity securities
     1,453       58       4       74       (103 )     (5 )  
 
1,481
 
     58  
      1,495       58       (3 )     116       (103 )     (5 )  
 
1,558
 
     58  
Derivative financial instruments – assets
                                                      
 
        
Interest rate contracts
     2       6       –       –       –       –    
 
8
 
     6  
Equity contracts
     20       4       –       1       –       1    
 
26
 
     4  
 (2)
Commodity contracts
     7       4       –       –       –       –    
 
11
 
     4  
                 
Derivative financial instruments – liabilities
                                                      
 
        
Interest rate contracts
     (17 )      (5 )     –       –       –       15    
 
(7
) 
     (5 )
 
(3)
 
Equity contracts
     (4 )      (1 )     –       (1 )     –       –    
 
(6
) 
     (1 )
 
(2)
 
Commodity contracts
     (8 )      2       –       –       –       –    
 
(6
) 
     2  
      –       10       –       –       –       16    
 
26
 
     10  
                 
Financial liabilities designated at fair value through profit or loss
     (137 )      25       –       (22 )     –       47    
 
(87
) 
     7  
                 
Obligations related to securities sold short
     (2 )      –       –       –       –       –    
 
(2
) 
     –  
Total
   $   1,361     $    91     $   (3)     $    96     $   (103)     $    57    
$
   1,499
 
   $    73  
  (1)
These amounts represent the gains and losses from fair value changes of Level 3 instruments still held at the end of the period that are recorded in the Consolidated Statement of Income.
  (2)
Certain unrealized gains and losses on derivative assets and liabilities are largely offset by mark-to-market changes on other instruments included in trading revenues in the Consolidated Statement of Income, since these instruments act as an economic hedge to certain derivative assets and liabilities.
  (3)
Certain unrealized losses on interest rate derivative contracts are largely offset by mark-to-market changes on embedded derivatives on certain deposit liabilities in the Consolidated Statement of Income.
The following tables summarize the changes in Level 3 instruments carried at fair value for the three months ended January 31, 2022 and October 31, 2021.
 
  
  
As at January 31, 2022
 
($ millions)
  
Fair value,
beginning of
the quarter
 
  
Gains/
(losses)
recorded
in income
(1)
 
  
Gains/
(losses)
recorded
in OCI
 
  
Purchases/
Issuances
 
  
Sales/
Settlements
 
  
Transfers
into/
out of
Level 3
 
  
Fair value,
end of the
quarter
 
Trading assets
    $ 41      $ –      $ –      $ –      $ (31 )     $ (5 )     $ 5  
Investment securities
        1,348          66          5          102          (30 )          4          1,495  
Derivative financial instruments
      1        (3 )       –        –        –        2        –  
Financial liabilities designated at fair value through profit or loss
      (139 )       2        –        –        –        –        (137 ) 
Obligations related to securities sold short
      –        –        –        –        –        (2)        (2 ) 
  (1)
Gains or losses for items in Level 3 may be offset with losses or gains on related hedges in Level 1 or Level 2.
 
  
  
As at October 31, 2021
 
($ millions)
  
Fair value,
beginning of
the quarter
 
  
Gains/
(losses)
recorded
in income
(1)
 
  
Gains/
(losses)
recorded
in OCI
 
  
Purchases/
Issuances
 
  
Sales/
Settlements
 
  
Transfers
into/
out of
Level 3
 
  
Fair value,
end of the
quarter
 
Trading assets
    $ 4      $ (1 )     $ –      $ 28      $ –      $   10      $ 41  
Investment securities
        1,190          83          28        78          (32 )       1          1,348  
Derivative financial instruments
      (35 )       4        –          (12)        51        (7 )       1  
Financial liabilities designated at fair value through profit or loss
      (119 )       –        –        (20 )       –        –        (139 ) 
  (1)
Gains or losses for items in Level 3 may be offset with losses or gains on related hedges in Level 1 or Level 2.