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Financial Instruments (Tables)
 3 Months Ended
Jan. 31, 2025
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
January 31, 2025
October 31
2024
($ millions)
IRB
Standardized
Total
Total
By exposure
sub-type
Non-retail
Drawn
(2)(3)
   
$
465,056
  
$
68,707
  
$
533,763
   $ 535,326  
Undrawn commitments
   
89,009
  
5,479
  
94,488
     99,011  
Other exposures
(4)
   
135,971
  
18,363
  
154,334
     131,677  
Total
non-retail
   
$
690,036
  
$
92,549
  
$
782,585
   $ 766,014  
Retail
(5)
            
Drawn
   
$
302,945
  
$
121,094
  
$
424,039
   $ 417,760  
Undrawn commitments
   
111,833
  
9,808
  
121,641
     121,609  
Other exposures
   
–
  
64
  
64
     62  
Total retail
   
$
414,778
  
$
130,966
  
$
545,744
   $ 539,431  
Total
   
$
 1,104,814
  
$
 223,515
  
$
 1,328,329
   $  1,305,445  
  (1)
After credit risk mitigation and excludes equity securities, centralized counterparties, and other assets.
  (2)
Non-retail
drawn exposures include government guaranteed and privately insured mortgages and retail loans.
  (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 includes residential mortgages, credit cards, lines of credit, other personal loans and small business treated as other regulatory retail.
Summary of VaR by Risk Factor
Value at Risk (VaR) is a key measure of market risk in the Bank’s trading activities. The table below shows the Bank’s VaR by risk factor:
 
For the three months ended
As at
January 31, 2025
January 31
October 31
January 31
($ millions)
Average
High
Low
2025
2024
2024
Credit spread plus interest rate
   
$
17.4
  
$
22.2
  
$
10.4
     
$
14.3
   $ 12.5      $ 19.3  
Credit spread
(1)
   
8.0
  
11.1
  
6.6
     
8.6
     7.3        9.6  
Interest rate
   
21.8
  
28.5
  
14.5
     
17.2
     17.5        7.8  
Equities
   
5.7
  
9.6
  
4.2
     
4.5
     5.4        4.8  
Foreign exchange
   
2.6
  
5.9
  
1.0
     
1.3
     2.9        5.2  
Commodities
   
2.8
  
3.5
  
2.3
     
3.1
     2.8        3.4  
Debt specific
(1)
   
n/a
  
n/a
  
n/a
           
n/a
     3.6        4.0  
Diversification effect
   
(11.4
)
 
   
n/a
  
n/a
  
  
(9.3
)
 
       (15.0 )        (18.2 ) 
Total VaR
   
$
17.1
  
$
21.6
  
$
10.6
  
  
$
13.9
   $ 12.1      $ 18.5  
(1)
Effective November 1, 2024, credit spread VaR also captures issuer-specific credit spread volatility which was previously included in debt specific VaR.
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
(1)
Gains/(Losses)
Cumulative change in fair value
(2)

Gains/(Losses)
As at
For the three months ended
As at
($ millions)
January 31
2025
October 31
2024
January 31
2024
January 31
2025
October 31
2024
January 31
2024
January 31
2025
October 31
2024
January 31
2024
Liabilities
Senior note liabilities
(3)
  
$
39,594
  $ 36,341     $ 32,074    
$
486
  $ 159     $ (4,254 )   
$
4,626
  $ 4,140     $ 4,401  
  (1)
Change in the difference between the contractual maturity amount and the carrying value.
  (2)
The cumulative change in fair value is measured from the instrument’s date of initial recognition.
  (3)
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
contractual
maturity
amount and
carrying
value
 








 
Changes in fair value
for the three
months period
attributable to
changes in own
credit risk
recorded in other
comprehensive
income
Gains/(Losses)
 




 
Cumulative changes
in fair value
attributable to
changes in own
credit risk
(1)

Gains/(Losses)
As at January 31, 2025
   
$
44,220
  
$
39,594
  
$
4,626
  
$
(264
)
   
$
(1,177
)
As at October 31, 2024
    $ 40,481      $ 36,341      $ 4,140      $ (46 )    $    (913 )
As at January 31, 2024
    $  36,475      $  32,074      $  4,401      $  (411 )     $ (520 ) 
  (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  
January 31, 2025
October 31, 2024
($ millions)
Total fair
value
Total
carrying
value
Total fair
value
Total
carrying
value
Assets:
Cash and deposits with financial institutions
   
$
70,198
  
$
70,198
   $ 63,860      $ 63,860  
Trading assets
   
136,708
  
136,708
      129,727         129,727  
Securities purchased under resale agreements and securities borrowed
   
195,258
  
195,258
     200,543        200,543  
Derivative financial instruments
   
48,035
  
48,035
     44,379        44,379  
Investment securities – FVOCI and FVTPL
   
124,525
  
124,525
     123,420        123,420  
Investment securities – amortized cost
   
27,653
  
28,494
     28,422        29,412  
Loans
   
764,977
  
766,305
     757,825        760,829  
Customers’ liability under acceptances
   
207
  
207
     148        148  
Other financial assets
   
27,460
  
27,460
     22,467        22,467  
Liabilities:
            
Deposits
   
964,081
  
966,049
     941,290        943,849  
Financial instruments designated at fair value through profit or loss
   
39,594
  
39,594
     36,341        36,341  
Acceptances
   
210
  
210
     149        149  
Obligations related to securities sold short
   
34,855
  
34,855
     35,042        35,042  
Derivative financial instruments
   
59,847
  
59,847
     51,260        51,260  
Obligations related to securities sold under repurchase agreements and securities lent
   
182,259
  
182,259
     190,449        190,449  
Subordinated debentures
   
8,022
  
8,042
     7,814        7,833  
Other financial liabilities
   
52,102
  
52,537
     53,342        53,387  
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
January 31, 2025
October 31, 2024
($ 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)
  
$
–
 
$
3,687
 
$
–
 
$
3,687
  $ –     $ 2,540     $ –     $ 2,540  
Trading assets
                
Loans
  
–
 
8,048
 
–
 
8,048
    –       7,649       –       7,649  
Canadian federal government and government guaranteed debt
  
11,241
 
2,767
 
–
 
14,008
    11,229       3,742       –       14,971  
Canadian provincial and municipal debt
  
7,029
 
3,270
 
–
 
10,299
    6,228       2,185       –       8,413  
U.S. treasury and other U.S. agencies’ debt
  
10,826
 
–
 
–
 
10,826
    15,050       –       –       15,050  
Other foreign governments’ debt
  
131
 
10,496
 
–
 
10,627
    422       9,932       –       10,354  
Corporate and other debt
  
4,152
 
7,934
 
–
 
12,086
    4,940       6,990       4       11,934  
Equity securities
  
68,088
 
75
 
10
 
68,173
    59,081       88       21       59,190  
Other
  
–
 
2,641
 
–
 
2,641
    –       2,166       –       2,166  
 
$
101,467
 
$
35,231
 
$
10
 
$
136,708
  $ 96,950     $ 32,752     $ 25     $ 129,727  
Investment securities
(2)
                
Canadian federal government and government guaranteed debt
  
$
13,774
 
$
7,456
 
$
–
 
$
21,230
  $ 12,739     $ 8,801     $ –     $ 21,540  
Canadian provincial and municipal debt
  
10,989
 
8,239
 
–
 
19,228
    12,823       4,702       –       17,525  
U.S. treasury and other U.S. agencies’ debt
  
41,079
 
7,222
 
–
 
48,301
    39,999       6,377       –       46,376  
Other foreign governments’ debt
  
1,310
 
28,408
 
–
 
29,718
    3,940       25,346       –       29,286  
Corporate and other debt
  
135
 
3,513
 
34
 
3,682
    133       3,359       35       3,527  
Equity securities
  
79
 
309
 
1,978
 
2,366
    2,983       317       1,866       5,166  
 
$
67,366
 
$
55,147
 
$
2,012
 
$
124,525
  $  72,617     $  48,902     $  1,901     $  123,420  
Derivative financial instruments
                
Interest rate contracts
  
$
–
 
$
12,212
 
$
–
 
$
12,212
  $ –     $ 11,584     $ –     $ 11,584  
Foreign exchange and gold contracts
  
–
 
29,262
 
–
 
29,262
    –       26,004       –       26,004  
Equity contracts
  
118
 
4,101
 
58
 
4,277
    150       4,313       44       4,507  
Credit contracts
  
–
 
174
 
1
 
175
    –       180       2       182  
Commodity contracts
  
–
 
2,103
 
6
 
2,109
    –       2,095       7       2,102  
 
$
118
 
$
47,852
 
$
65
 
$
48,035
  $ 150     $ 44,176     $ 53     $ 44,379  
Liabilities:
                
Deposits
(3)
  
$
–
 
$
178
 
$
–
 
$
178
  $ –     $ 193     $ –     $ 193  
Financial liabilities designated at fair value through profit or loss
  
–
 
39,594
 
–
 
39,594
    –       36,341       –       36,341  
Obligations related to securities sold short
  
29,021
 
5,834
 
–
 
34,855
    30,721       4,319       2       35,042  
Derivative financial instruments
                
Interest rate contracts
  
–
 
18,887
 
23
 
18,910
    –       17,895       13       17,908  
Foreign exchange and gold contracts
  
–
 
31,870
 
–
 
31,870
    –       25,900       –       25,900  
Equity contracts
  
230
 
5,400
 
12
 
5,642
    139       4,687       19       4,845  
Credit contracts
  
–
 
28
 
1
 
29
    –       46       1       47  
Commodity contracts
  
–
 
3,387
 
9
 
3,396
    –       2,550       10       2,560  
 
$
230
 
$
59,572
 
$
45
 
$
59,847
  $ 139     $ 51,078     $ 43     $ 51,260  
  (1)
The fair value of precious metals is determined based on quoted market prices and forward spot prices, where applicable, less the cost to sell.
  (2)
Excludes debt investment securities measured at amortized cost of $28,494 (October 31, 2024 – $29,412).
  (3)
These amounts represent embedded derivatives bifurcated from structured note liabilities measured at amortized cost.
Summary of Changes in Level 3 Instruments Carried at Fair Value
 
As at January 31, 2025
($ 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
Changes in
unrealized
gains/(losses)
recorded in
income for
instruments
still held
(2)
Trading assets
Corporate and other debt
$
4
$
–
$
–
$
–
$
–
$
(4
) 
$
–
$
–
Equity securities
21
1
–
1
(13
) 
–
10
1
25
1
–
1
(13
) 
(4
) 
10
1
Investment securities
Corporate and other debt
35
(1
) 
–
–
–
–
34
(1
) 
Equity securities
1,866
52
5
71
(8
) 
(8
) 
1,978
51
1,901
51
5
71
(8
) 
(8
) 
2,012
50
Derivative financial instruments – assets
Equity contracts
44
11
–
4
–
(1
) 
58
11
(
3
)
 
Credit contracts
2
(1
) 
–
–
–
–
1
(1
) 
Commodity contracts
7
(1
) 
–
–
–
–
6
(1
) 
Derivative financial instruments – liabilities
Interest rate contracts
(13
) 
(10
) 
–
–
–
–
(23
) 
(10
)
(
4
)
 
Equity contracts
(19
) 
3
–
–
–
4
(12
) 
3
(
3
)
 
Credit contracts
(1
) 
–
–
–
–
–
(1
) 
–
Commodity contracts
(10
) 
1
–
–
–
–
(9
) 
1
10
3
–
4
–
3
20
3
Obligations related to securities sold short
(2
) 
–
–
–
–
2
–
–
Total
$
 1,934
$
 55
$
5
$
 76
$
 (21
) 
$
 (7
) 
$
 2,042
$
 54
(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.
(2)
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
(3)
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.
(4)
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 October 31, 2024.
 
As at October 31, 2024
($ 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
    $ 48      $ –      $ –      $ 3      $ (6 )    $  (20 )    $ 25  
Investment securities
       1,822            13         1         72         (40 )      33         1,901  
Derivative financial instruments
      35        1        –        (2 )      (8 )      (16 )      10  
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.