Regulatory Announcement (Part 1)
Q1 2024 Results
National Bank of Canada (the
"Bank") announces
publication of its First Quarter 2024 Report to Shareholders. The
First Quarter Results have been uploaded to the National Storage
Mechanism and will shortly be available at
https://data.fca.org.uk/#/nsm/nationalstoragemechanism
and is available on the Bank's website at
https://www.nbc.ca/about-us/investors/quarterly-results.html
To view the full PDF of this First
Quarter 2024 Report to Shareholders, please click on the following
link:
http://www.rns-pdf.londonstockexchange.com/rns/8195E_1-2024-2-28.pdf
Report to
Shareholders
First Quarter 2024
National Bank reports its results for the First Quarter of
2024
The financial information reported
in this document is based on the unaudited interim condensed
consolidated financial statements for the quarter ended
January 31, 2024 and is prepared in accordance with
International Financial Reporting Standards (IFRS) as issued by the
International Accounting Standards Board (IASB), unless otherwise
indicated. IFRS represent Canadian generally accepted accounting
principles (GAAP). All amounts are presented in Canadian
dollars.
MONTREAL,
February 28, 2024 - For the first quarter of
2024, National Bank is reporting net income of $922 million, up 5%
from $876 million in the first quarter of 2023. First-quarter
diluted earnings per share stood at $2.59 compared to $2.47 in the
first quarter of 2023. These increases were driven by total revenue
growth in all of the business segments as well as by the impact of
the Canadian government's 2022 tax measures on income taxes in the
first quarter of 2023. Excluding the impact of those measures,
adjusted net income(1) and adjusted diluted earnings per
share(1) both increased by 2% compared to the first
quarter of 2023.
"National Bank delivered strong performance and
excellent return on equity for the first quarter of 2024,
underpinned by sustained momentum and execution across our business
segments. These results reflect the earnings power of our
diversified business mix and relevance of our defensive posture,"
said Laurent Ferreira, President and Chief Executive Officer of
National Bank of Canada.
"Our effective capital deployment, active cost
management, and commitment to maintaining a prudent credit profile
are serving us well, particularly in an uncertain macroeconomic
environment. We enter the second quarter on solid footing,"
added Mr. Ferreira.
Highlights
(millions of Canadian
dollars)
|
|
|
Quarter
ended January 31
|
|
|
|
|
|
2024
|
|
|
|
2023(2)
|
|
|
%
Change
|
|
Net income
|
|
|
922
|
|
|
|
876
|
|
|
5
|
|
Diluted earnings per share
(dollars)
|
|
$
|
2.59
|
|
|
$
|
2.47
|
|
|
5
|
|
Income before provisions for
credit losses and income taxes
|
|
|
1,261
|
|
|
|
1,172
|
|
|
8
|
|
Return on common shareholders'
equity(3)
|
|
|
17.1
|
%
|
|
|
17.9
|
%
|
|
|
|
Dividend payout
ratio(3)
|
|
|
43.1
|
%
|
|
|
38.6
|
%
|
|
|
|
Operating results - Adjusted(1)
|
|
|
|
|
|
|
|
|
|
|
|
Net income - Adjusted
|
|
|
922
|
|
|
|
900
|
|
|
2
|
|
Diluted earnings per share -
Adjusted (dollars)
|
|
$
|
2.59
|
|
|
$
|
2.54
|
|
|
2
|
|
Income before provisions for
credit losses and income taxes - Adjusted
|
|
|
1,371
|
|
|
|
1,302
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at
January 31,
2024
|
|
|
As
at
October
31, 2023
|
|
|
|
|
CET1 capital ratio under Basel
III(4)
|
|
|
13.1
|
%
|
|
|
13.5
|
%
|
|
|
|
Leverage ratio under Basel
III(4)
|
|
|
4.3
|
%
|
|
|
4.4
|
%
|
|
|
|
(1) See the Financial
Reporting Method section on pages 4 to 8 for additional information
on non-GAAP financial measures.
(2) Certain amounts have been adjusted to reflect accounting
policy changes arising from the adoption of IFRS 17. For additional
information, see Note 2 to the unaudited interim condensed
consolidated financial statements for the quarter ended January 31,
2024.
(3) See the Glossary
section on pages 43 to 46 for details on the composition of these
measures.
(4) See the Financial
Reporting Method section on pages 4 to 8 for additional information
on capital management measures.
Report to
Shareholders
First Quarter 2024
Personal and Commercial
- Net income
totalled $339 million in the first quarter of 2024 versus $326
million in the first quarter of 2023, a 4% increase that was driven
by growth in total revenues, partly offset by higher non-interest
expenses and higher provisions for credit losses.
- Income before
provisions for credit losses and income taxes totalled $539 million
in the first quarter of 2024, up 5% from $511 million in the first
quarter of 2023.
- At $1,154
million, first-quarter total revenues rose $50 million or 5% year
over year due mainly to an increase in net interest income (driven
by growth in loan and deposit volumes) and to a higher net interest
margin.
- Compared to a
year ago, personal lending grew 2% and commercial lending grew
11%.
- Net interest
margin(1) stood at 2.36% in the first quarter of 2024,
up from 2.35% in the first quarter of 2023.
- First-quarter
non-interest expenses stood at $615 million, up 4% year over
year.
- First-quarter
provisions for credit losses rose $10 million year over year,
mainly due to higher allowances for credit losses on impaired
loans.
- At 53.3%, the
efficiency ratio(1) improved from 53.7% in the first
quarter of 2023.
Wealth Management
- Net income
totalled $196 million in the first quarter of 2024, down 1% from
$198 million in the first quarter of 2023.
- First-quarter
total revenues amounted to $660 million compared to $637 million in
first-quarter 2023, a $23 million or 4% increase driven essentially
by growth in fee-based revenues owing to strong stock market
performance.
- First-quarter
non-interest expenses stood at $390 million, up 7% from $364
million in first-quarter 2023.
- At 59.1%, the
efficiency ratio(1) compares to 57.1% in the first
quarter of 2023.
Financial Markets
- Net income
totalled $308 million in the first quarter of 2024, up 3% from $298
million in the first quarter of 2023.
- First-quarter
total revenues on a taxable equivalent basis amounted to $755
million, up $66 million or 10% given an increase in global markets
revenues and an increase in revenues from corporate and investment
banking services.
- First-quarter
non-interest expenses stood at $313 million compared to $287
million in first-quarter 2023, an increase that was partly due to
compensation and employee benefits as well as to the segment's
technological investments.
- Provisions for
credit losses of $17 million were recorded in the first quarter of
2024 compared to $9 million in credit loss recoveries recorded
in the first quarter of 2023.
- At 41.5%, the
efficiency ratio(1) on a taxable equivalent basis
improved from 41.7% in the first quarter of 2023.
U.S. Specialty Finance and International
- Net income
totalled $150 million in the first quarter of 2024 versus $147
million in the first quarter of 2023.
- First-quarter
total revenues amounted to $326 million, a 2% year-over-year
increase that was essentially driven by revenue growth at the ABA
Bank subsidiary.
- First-quarter
non-interest expenses stood at $100 million, a 2% year-over-year
increase attributable mainly to business growth at ABA
Bank.
- Provisions for
credit losses rose $1 million year over year.
- At 30.7%, the
efficiency ratio(1) was stable compared to the first
quarter of 2023.
Other
- There was a net
loss of $71 million in the first quarter of 2024 versus a net loss
of $93 million in the first quarter of 2023, a change arising from
a $24 million income tax expense related to the Canadian
government's 2022 tax measures recorded in the first quarter of
2023.
Capital Management
- As at January
31, 2024, the Common Equity Tier 1 (CET1) capital ratio under Basel
III(2) stood at 13.1%, down from 13.5% as at October 31,
2023, notably due to a negative impact of implementing the revised
market risk and credit valuation adjustment (CVA) risk
frameworks.
- As at January
31, 2024, the Basel III(2) leverage ratio was 4.3%, down
from 4.4% as at October 31, 2023.
(1) See the Glossary section on pages 43 to 46 for details on the
composition of these measures.
(2) See the Financial Reporting Method section on pages 4 to 8
for additional information on capital management
measures.
Management's Discussion
and
Analysis
February
27, 2024
The following Management's Discussion and
Analysis (MD&A) presents the financial condition and operating
results of National Bank of Canada (the Bank). This analysis was
prepared in accordance with the requirements set out in
National Instrument
51-102, Continuous
Disclosure Obligations, released by the Canadian Securities
Administrators (CSA). It is based on the unaudited interim
condensed consolidated financial statements (the consolidated
financial statements) for the quarter ended
January 31, 2024 and prepared in accordance with
International Financial Reporting Standards (IFRS) as issued by the
International Accounting Standards Board (IASB), unless otherwise
indicated. IFRS represent Canadian generally accepted accounting
principles (GAAP). This MD&A should be read in conjunction with
the consolidated financial statements and accompanying notes for
the quarter ended January 31, 2024 and with the
2023 Annual Report. All
amounts are presented in Canadian dollars. Additional information
about the Bank, including the Annual Information Form, can be
obtained from the Bank's website at nbc.ca
and SEDAR+'s website at sedarplus.ca. The
information found in the various documents and reports published by
the Bank or the information available on the Bank's website and
mentioned herein is not and should not be considered incorporated
by reference into the Report to Shareholders, the Management's
Discussion and Analysis, or the Consolidated Financial Statements,
unless expressly stated otherwise.
Financial
Reporting Method
|
4
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|
Capital
Management
|
20
|
Highlights
|
9
|
|
Risk
Management
|
26
|
Economic
Review and Outlook
|
10
|
|
Risk
Disclosures
|
41
|
Financial
Analysis
|
11
|
|
Accounting
Policies and Financial Disclosure
|
42
|
Consolidated Results
|
11
|
|
Accounting Policies and Critical
Accounting Estimates
|
42
|
Results by Segment
|
13
|
|
Financial Disclosure
|
42
|
Consolidated Balance Sheet
|
17
|
|
Quarterly
Financial Information
|
42
|
Event After the Consolidated Balance Sheet
Date
|
19
|
|
Glossary
|
43
|
Related Party Transactions
|
19
|
|
|
|
Securitization and Off-Balance-Sheet
Arrangements
|
19
|
|
|
|
Income Taxes
|
19
|
|
|
|
Caution Regarding Forward-Looking
Statements
Certain statements in this
document are forward-looking statements. All such statements are
made in accordance with applicable securities legislation in Canada
and the United States. The forward-looking statements in this
document may include, but are not limited to, statements made about
the economy, market changes, the Bank's objectives, outlook, and
priorities for fiscal year 2024 and beyond, the strategies or
actions that will be taken to achieve them, expectations for the
Bank's financial condition, its activities, the regulatory
environment in which it operates, its environmental, social, and
governance targets and commitments, and certain risks to which the
Bank is exposed. These forward-looking statements are typically
identified by verbs or words such as "outlook", "believe",
"foresee", "forecast", "anticipate", "estimate", "project",
"expect", "intend" and "plan", in their future or conditional
forms, notably verbs such as "will", "may", "should", "could" or
"would" as well as similar terms and expressions.
Such forward-looking statements
are made for the purpose of assisting the holders of the Bank's
securities in understanding the Bank's financial position and
results of operations as at and for the periods ended on the dates
presented, as well as the Bank's vision, strategic objectives, and
performance targets, and may not be appropriate for other purposes.
These forward-looking statements are based on current expectations,
estimates, assumptions and intentions and are subject to
uncertainty and inherent risks, many of which are beyond the Bank's
control. There is a strong possibility that the Bank's express or
implied predictions, forecasts, projections, expectations, or
conclusions will not prove to be accurate, that its assumptions may
not be confirmed, and that its vision, strategic objectives, and
performance targets will not be achieved. The Bank cautions
investors that these forward-looking statements are not guarantees
of future performance and that actual events or results may differ
significantly from these statements due to a number of factors.
Thus, the Bank recommends that readers not place undue reliance on
these forward-looking statements, as a number of factors could
cause actual results to differ significantly from the expectations,
estimates, or intentions expressed in these forward-looking
statements. Investors and others who rely on the Bank's
forward-looking statements should carefully consider the factors
listed below as well as the uncertainties they represent and the
risk they entail. Except as required by law, the Bank does not
undertake to update any forward-looking statements, whether written
or oral, that may be made from time to time, by it or on its
behalf.
Assumptions about the performance
of the Canadian and U.S. economies in 2024 and how that performance
will affect the Bank's business are among the factors considered in
setting the Bank's strategic priorities and objectives, including
provisions for credit losses. These assumptions appear in the
Economic Review and Outlook section and, for each business segment,
in the Economic and Market Review sections of the 2023 Annual Report and in the Economic
Review and Outlook section of this Report to Shareholders, and may
be updated in the quarterly reports to shareholders filed
thereafter.
The forward-looking statements
made in this document are based on a number of assumptions and are
subject to risk factors, many of which are beyond the Bank's
control and the impacts of which are difficult to predict. These
risk factors include, among others, the general economic
environment and financial market conditions in Canada, the United
States, and the other countries where the Bank operates; the impact
of upheavals in the U.S. banking industry; exchange rate and
interest rate fluctuations; inflation; global supply chain
disruptions; higher funding costs and greater market volatility;
changes made to fiscal, monetary, and other public policies;
changes made to regulations that affect the Bank's business;
geopolitical and sociopolitical uncertainty; climate change,
including physical risks and those related to the transition to a
low-carbon economy, and the Bank's ability to satisfy stakeholder
expectations on environmental and social issues; significant
changes in consumer behaviour; the housing situation, real estate
market, and household indebtedness in Canada; the Bank's ability to
achieve its key short-term priorities and long-term strategies; the
timely development and launch of new products and services; the
Bank's ability to recruit and retain key personnel; technological
innovation, including advances in artificial intelligence and the
open banking system, and heightened competition from established
companies and from competitors offering non-traditional services;
changes in the performance and creditworthiness of the Bank's
clients and counterparties; the Bank's exposure to significant
regulatory matters or litigation; changes made to the accounting
policies used by the Bank to report financial information,
including the uncertainty inherent to assumptions and critical
accounting estimates; changes to tax legislation in the countries
where the Bank operates; changes made to capital and liquidity
guidelines as well as to the presentation and interpretation
thereof; changes to the credit ratings assigned to the Bank by
financial and extra-financial rating agencies; potential
disruptions to key suppliers of goods and services to the Bank; the
potential impacts of disruptions to the Bank's information
technology systems, including cyberattacks as well as identity
theft and theft of personal information; the risk of fraudulent
activity; and possible impacts of major events affecting the
economy, market conditions, or the Bank's outlook, including
international conflicts, natural disasters, public health crises,
and the measures taken in response to these events.
The foregoing list of risk factors
is not exhaustive, and the forward-looking statements made in this
document are also subject to credit risk, market risk, liquidity
and funding risk, operational risk, regulatory compliance risk,
reputation risk, strategic risk, and social and environmental risk
as well as certain emerging risks or risks deemed significant.
Additional information about these factors is provided in the Risk
Management section of the 2023
Annual Report and in the Risk Management section of this
Report to Shareholders for the First Quarter of 2024, and may be
updated in the quarterly reports to shareholders filed
thereafter.
Financial Reporting
Method
The Bank's consolidated financial statements
are prepared in accordance with IFRS, as issued by the
IASB. The financial statements also comply with
section 308(4) of the Bank
Act (Canada), which states that, except as otherwise
specified by the Office of the Superintendent of
Financial Institutions (Canada) (OSFI), the
consolidated financial statements are to be prepared in accordance
with IFRS, which represent Canadian GAAP. None of the OSFI
accounting requirements are exceptions to IFRS.
The presentation of segment disclosures is
consistent with the presentation adopted by the Bank for the fiscal
year beginning November 1, 2023. This presentation reflects the
retrospective application of accounting policy changes arising from
the adoption of IFRS 17 - Insurance Contracts (IFRS 17). For
additional information, see Note 2 to the consolidated financial
statements. The figures for the 2023 quarters have been adjusted to
reflect these accounting policy changes.
Non-GAAP and Other Financial
Measures
The Bank uses a number of financial measures
when assessing its results and measuring overall performance. Some
of these financial measures are not calculated in accordance with
GAAP. Regulation 52-112
Respecting Non-GAAP and Other Financial Measures Disclosure
(Regulation 52-112) prescribes disclosure requirements that apply
to the following measures used by the Bank:
·
non-GAAP financial measures;
·
non-GAAP ratios;
·
supplementary financial measures;
·
capital management measures.
Non-GAAP
Financial Measures
The Bank uses non-GAAP financial measures that
do not have standardized meanings under GAAP and that therefore may
not be comparable to similar measures used by other companies.
Presenting non-GAAP financial measures helps readers to better
understand how management analyzes results, shows the impacts of
specified items on the results of the reported periods, and allows
readers to better assess results without the specified items if
they consider such items not to be reflective of the underlying
performance of the Bank's operations. In addition, the
Bank uses the taxable equivalent basis to calculate net interest
income, non-interest income, and income taxes. This calculation
method consists of grossing up certain revenues taxed at lower
rates (notably dividends) by the income tax to a level that would
make it comparable to revenues from taxable sources in Canada. An
equivalent amount is added to income taxes. This adjustment is
necessary in order to perform a uniform comparison of the return on
different assets, regardless of their tax treatment.
However, in light of the proposed legislation with respect to
Canadian dividends, the Bank did not either recognize an income tax
deduction or use the taxable equivalent basis method to adjust
revenues related to affected dividends received after January 1,
2024 (for additional information, see the Income Taxes
section).
The key non-GAAP financial measures used by the
Bank to analyze its results are described below, and a quantitative
reconciliation of these measures is presented in the tables in the
Reconciliation of Non-GAAP Financial Measures section on page 8 and
in the Consolidated Results table on page 11. Note that no
specified items have been excluded from results for the quarter
ended January 31, 2024. In the first quarter of 2023, a $24 million
tax expense related to the Canadian government's 2022 tax measures
had been excluded from results given the one-time nature of the
item. This amount had included a $32 million tax expense with
respect to the Canada Recovery Dividend, i.e., a one-time, 15% tax
on the fiscal 2021 and 2020 average taxable income above
$1 billion as well as an $8 million tax recovery related to
the 1.5% increase in the statutory tax rate, which included the
impact related to current and deferred taxes for fiscal
2022.
Adjusted Net Interest
Income
This item represents net interest
income on a taxable equivalent basis and excluding
specified items, if any. A taxable equivalent is added to net
interest income so that the performance of the various assets can
be compared irrespective of their tax treatment, and specified
items, if any, are excluded so that net interest income can be
better evaluated by excluding items that management believes do not
reflect the underlying financial performance of the Bank's
operations.
Adjusted Non-Interest
Income
This item represents non-interest
income on a taxable equivalent basis and excluding specified
items, if any. A taxable equivalent is added to
non-interest income so that the performance of the various assets
can be compared irrespective of their tax treatment, and specified
items, if any, are excluded so that non‑interest income can be
better evaluated by excluding items that management believes do not
reflect the underlying financial performance of the Bank's
operations.
Adjusted Total Revenues
This item represents total revenues
on a taxable equivalent basis and excluding
specified items, if any. It consists of adjusted net interest
income and adjusted non-interest income. A taxable equivalent is
added to total revenues so that the performance of the various
assets can be compared irrespective of their tax treatment, and
specified items, if any, are excluded so that total revenues can be
better evaluated by excluding items that management believes do not
reflect the underlying financial performance of the Bank's
operations.
Adjusted Non-Interest Expenses
This item represents non-interest
expenses excluding specified items, if
any. Specified items, if any, are excluded so that non-interest
expenses can be better evaluated by excluding items that management
believes do not reflect the underlying financial performance of the
Bank's operations.
Adjusted Income
Before Provisions for Credit Losses and Income
Taxes
This item represents income
before provisions for credit losses and income taxes on a
taxable equivalent basis and excluding specified
items, if any. It also represents the difference between adjusted
total revenues and adjusted non-interest expenses. A taxable
equivalent is added to income before
provisions for credit losses and income taxes so that the
performance of the various assets can be compared irrespective of
their tax treatment, and specified items, if any, are excluded so
that income before provisions for credit losses and income taxes
can be better evaluated by excluding items that management believes
do not reflect the underlying financial performance of the Bank's
operations.
Adjusted Income Taxes
This item represents income taxes
on a taxable equivalent basis and excluding income
taxes on specified items, if
any.
Adjusted Net Income
This item represents net income
excluding specified items, if any. Specified
items, if any, are excluded so that net income can be better
evaluated by excluding items that management believes do not
reflect the underlying financial performance of the Bank's
operations.
Adjusted Net income Attributable
to Common Shareholders
This item represents net income attributable
to common shareholders excluding specified items, if any. Specified
items, if any, are excluded so that net income attributable to
common shareholders can be better evaluated by excluding items that
management believes do not reflect the underlying financial
performance of the Bank's operations.
Adjusted Basic Earnings Per
Share
This item represents basic earnings per share
excluding specified items, if any. Specified items, if any, are
excluded so that basic earnings per share can be better evaluated
by excluding items that management believes do not reflect the
underlying financial performance of the Bank's
operations.
Adjusted Diluted Earnings Per
Share
This item represents diluted earnings per
share excluding specified items, if any. Specified items, if any,
are excluded so that diluted earnings per share can be better
evaluated by excluding items that management believes do not
reflect the underlying financial performance of the Bank's
operations.
The Bank also uses the below-described
measures to assess its results. A quantitative reconciliation of
these non-GAAP financial measures is presented in the
Reconciliation of Non-GAAP Financial Measures section on page
8.
Adjusted Non-Trading Net Interest
Income
This item represents non-trading net interest
income on a taxable equivalent basis. It includes revenues related
to financial assets and financial liabilities associated with
non-trading activities, net of interest expenses and interest
income related to the financing of these financial assets and
liabilities, and is used to calculate adjusted non-trading net
interest margin. A taxable equivalent is added to
non-trading net interest income so that the performance of the
various assets can be compared irrespective of their tax
treatment.
Net Interest Income From Trading
Activities on a Taxable Equivalent
Basis
This item represents net interest income from
trading activities plus a taxable equivalent. It comprises
dividends related to financial assets and liabilities associated
with trading activities and certain interest income related to the
financing of these financial assets and liabilities, net of
interest expenses. A taxable equivalent is added to net interest
income from trading activities so that the performance of the
various assets can be compared irrespective of their tax
treatment.
Non-Interest Income Related to
Trading Activities on a Taxable Equivalent Basis
This item represents non-interest income
related to trading activities to which a taxable equivalent amount
is added. It consists of realized and unrealized gains and losses
as well as interest income on securities measured at fair value
through profit or loss, income from held-for-trading derivative
financial instruments, changes in the fair value of loans at fair
value through profit or loss, changes in the fair value of
financial instruments designated at fair value through profit or
loss, realized and unrealized gains and losses as well as interest
expense on obligations related to securities sold short, certain
commission income as well as other trading activity revenues, and
any applicable transaction costs. A taxable equivalent amount is
added to the non-interest income related to trading activities such
that the returns of different assets can be compared irrespective
of their tax treatment.
Trading Activity Revenues on a
Taxable Equivalent Basis
This item represents trading activity revenues
plus a taxable equivalent. These revenues comprise dividends
related to financial assets and liabilities associated with trading
activities; certain interest income related to the financing of
these financial assets and liabilities, net of interest expenses;
realized and unrealized gains and losses as well as interest income
on securities measured at fair value through profit or loss; income
from held-for-trading derivative financial instruments; changes in
the fair value of loans at fair value through profit or loss;
changes in the fair value of financial instruments designated at
fair value through profit or loss; realized and unrealized gains
and losses as well as interest expense on obligations related to
securities sold short; certain commission income as well as other
trading activity revenues, and any applicable transaction costs. A
taxable equivalent is added to trading activity revenues so that
the performance of the various assets can be compared irrespective
of their tax treatment.
Non-GAAP
Ratios
The Bank uses non-GAAP ratios that do not have
standardized meanings under GAAP and that may therefore not be
comparable to similar measures used by other companies. A non-GAAP
ratio is a ratio in which at least one component is a non-GAAP
financial measure. The Bank uses non-GAAP ratios to present aspects
of its financial performance or financial
position.
The key non-GAAP ratios used by the Bank are
described below.
Adjusted Return on Common
Shareholders' Equity (ROE)
This item represents ROE excluding specified
items, if any. It is adjusted net income attributable to common
shareholders expressed as a percentage of average equity
attributable to common shareholders. It is a general
measure of the Bank's efficiency in using equity.
Specified items, if any, are excluded so that ROE can be
better evaluated by excluding items that management believes do not
reflect the underlying financial performance of the Bank's
operations.
Adjusted Dividend Payout
Ratio
This item represents the dividend payout ratio
excluding specified items, if any. It is dividends on common shares
(per share amount) expressed as a percentage of adjusted basic
earnings per share. This ratio is a measure of the
proportion of earnings that is paid out to shareholders in the form
of dividends. Specified items, if any, are excluded so
that the dividend payout ratio can be better evaluated by excluding
items that management believes do not reflect the underlying
financial performance of the Bank's operations.
Adjusted Operating
Leverage
This item represents operating leverage on a
taxable equivalent basis and excluding specified items, if
any. It is the difference between the growth rate of
adjusted total revenues and the growth rate of adjusted
non-interest expenses, and it measures the sensitivity of the
Bank's results to changes in its revenues. Adjusted
operating leverage is presented on a taxable equivalent basis so
that the performance of the various assets can be compared
irrespective of their tax treatment, and specified items, if any,
are excluded so that the efficiency ratio can be better evaluated
by excluding items that management believes do not reflect the
underlying financial performance of the Bank's
operations.
Adjusted Efficiency
Ratio
This item represents the efficiency ratio on a
taxable equivalent basis and excluding specified items, if any. The
ratio represents adjusted non-interest expenses expressed as a
percentage of adjusted total revenues. It measures the efficiency
of the Bank's operations. The adjusted efficiency
ratio is presented on a taxable equivalent basis so that the
performance of the various assets can be compared irrespective of
their tax treatment, and specified items, if any, are excluded so
that the efficiency ratio can be better evaluated by excluding
items that management believes do not reflect the underlying
financial performance of the Bank's operations.
Adjusted Net Interest Margin,
Non-Trading
This item represents the non-trading net
interest margin on a taxable equivalent basis. It is calculated by
dividing net interest income related to adjusted non-trading
activities by average non-trading interest-bearing assets.
This ratio is a measure of the profitability of non-trading
activities. The adjusted non-trading net interest margin includes
adjusted non-trading net interest income, which includes a taxable
equivalent amount so that the performance of the various assets can
be compared irrespective of their tax treatment.
Supplementary
Financial Measures
A supplementary financial measure is a
financial measure that: (a) is not reported in the Bank's
consolidated financial statements, and (b) is, or is intended to
be, reported periodically to represent historical or expected
financial performance, financial position, or cash flows. The
composition of these supplementary financial measures is presented
in table footnotes or in the
Glossary section on pages
43 to 46 of this MD&A.
Capital
Management Measures
The financial reporting framework used to
prepare the financial statements requires disclosure that helps
readers assess the Bank's capital management objectives, policies,
and processes, as set out in IFRS in IAS 1 - Presentation of Financial Statements.
The Bank has its own methods for managing capital and liquidity,
and IFRS does not prescribe any particular calculation
method. These measures are calculated using various
guidelines and advisories issued by OSFI, which are based on the
standards, recommendations, and best practices of the Basel
Committee on Banking Supervision (BCBS), as presented in the
following table.
OSFI
guideline or advisory
|
Measure
|
Capital Adequacy Requirements
|
Common Equity Tier 1 (CET1) capital
ratio
Tier 1 capital ratio
Total capital ratio
CET1 capital
Tier 1 capital
Tier 2 capital
Total capital
Risk-weighted assets
Maximum credit risk exposure under the Basel
asset classes
|
Leverage Requirements
|
Leverage ratio
Total exposure
|
Total Loss Absorbing Capacity
(TLAC)
|
Key indicators - TLAC requirements
Available TLAC
TLAC ratio
TLAC leverage ratio
|
Liquidity Adequacy Requirements
|
Liquid asset portfolio
Encumbered assets and unencumbered
assets
Liquidity coverage ratio (LCR)
High-quality liquid assets (HQLA)
Cash inflows/outflows and net cash
outflows
Net stable funding ratio (NSFR)
Available stable funding items
Required stable funding items
|
Global Systemically Important Banks
(G-SIBs) -
Public Disclosure
Requirements
|
G-SIB indicators
|
Reconciliation of Non-GAAP Financial
Measures
Presentation
of Results - Adjusted
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
Quarter
ended January 31
|
|
|
|
|
|
|
|
|
|
|
|
|
2024
|
|
2023(1)
|
|
|
|
Personal and
Commercial
|
|
Wealth
Management
|
|
Financial
Markets
|
|
USSF&I
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
Total
|
|
Net interest income
|
870
|
|
198
|
|
(553)
|
|
301
|
|
(65)
|
|
751
|
|
1,099
|
|
Taxable
equivalent(2)
|
−
|
|
−
|
|
35
|
|
−
|
|
2
|
|
37
|
|
78
|
|
Net interest income - Adjusted
|
870
|
|
198
|
|
(518)
|
|
301
|
|
(63)
|
|
788
|
|
1,177
|
|
Non-interest income
|
284
|
|
462
|
|
1,200
|
|
25
|
|
(12)
|
|
1,959
|
|
1,463
|
|
Taxable equivalent
|
−
|
|
−
|
|
73
|
|
−
|
|
−
|
|
73
|
|
52
|
|
Non-interest income - Adjusted
|
284
|
|
462
|
|
1,273
|
|
25
|
|
(12)
|
|
2,032
|
|
1,515
|
|
Total revenues - Adjusted
|
1,154
|
|
660
|
|
755
|
|
326
|
|
(75)
|
|
2,820
|
|
2,692
|
|
Non-interest expenses
|
615
|
|
390
|
|
313
|
|
100
|
|
31
|
|
1,449
|
|
1,390
|
|
Income before provisions for credit losses and income taxes -
Adjusted
|
539
|
|
270
|
|
442
|
|
226
|
|
(106)
|
|
1,371
|
|
1,302
|
|
Provisions for credit losses
|
71
|
|
−
|
|
17
|
|
36
|
|
(4)
|
|
120
|
|
86
|
|
Income before income taxes - Adjusted
|
468
|
|
270
|
|
425
|
|
190
|
|
(102)
|
|
1,251
|
|
1,216
|
|
Income taxes
|
129
|
|
74
|
|
9
|
|
40
|
|
(33)
|
|
219
|
|
210
|
|
Taxable equivalent
|
−
|
|
−
|
|
108
|
|
−
|
|
2
|
|
110
|
|
130
|
|
Income taxes related to the
Canadian government's 2022
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
tax
measures(3)
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
(24)
|
|
Income taxes - Adjusted
|
129
|
|
74
|
|
117
|
|
40
|
|
(31)
|
|
329
|
|
316
|
|
Net income - Adjusted
|
339
|
|
196
|
|
308
|
|
150
|
|
(71)
|
|
922
|
|
900
|
|
Specified items after income taxes
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
(24)
|
|
Net income
|
339
|
|
196
|
|
308
|
|
150
|
|
(71)
|
|
922
|
|
876
|
|
Non-controlling interests
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income attributable to the Bank's
shareholders
and holders of other equity
instruments
|
339
|
|
196
|
|
308
|
|
150
|
|
(71)
|
|
922
|
|
876
|
|
Net income attributable to the Bank's
shareholders
and holders of other equity instruments -
Adjusted
|
339
|
|
196
|
|
308
|
|
150
|
|
(71)
|
|
922
|
|
900
|
|
Dividends on preferred shares and
distributions on
limited recourse capital
notes
|
|
|
|
|
|
|
|
|
|
|
37
|
|
35
|
|
Net income attributable to common shareholders -
Adjusted
|
|
|
|
|
|
|
|
|
|
|
885
|
|
865
|
|
(1) Certain amounts have been adjusted
to reflect accounting policy changes arising from the adoption of
IFRS 17. For additional information, see Note 2 to the consolidated
financial statements.
(2) In light of the proposed legislation with respect to Canadian
dividends, the Bank did not either recognize an income tax
deduction or use the taxable equivalent basis method to adjust
revenues related to affected dividends received after January 1,
2024 (for additional information, see the Income Taxes
section).
(3) During the quarter ended January 31, 2023, the Bank
recorded, in the Other
heading of segment results, a $32 million tax expense with respect
to the Canada Recovery Dividend, i.e., a one-time, 15% tax on the
fiscal 2021 and 2020 average taxable income above $1 billion as
well as an $8 million tax recovery related to the 1.5% increase in
the statutory tax rate, which included the impact related to
current and deferred taxes for fiscal 2022. For additional
information on these tax measures, see the Income Taxes
section.
Presentation of Basic and Diluted Earnings Per Share -
Adjusted
(Canadian dollars)
|
|
|
Quarter
ended January 31
|
|
|
|
|
2024
|
|
|
2023(1)
|
|
Basic earnings per share
|
|
$
|
2.61
|
|
$
|
2.49
|
|
Income taxes related to the
Canadian government's 2022 tax measures(2)
|
|
|
−
|
|
|
0.07
|
|
Basic earnings per share - Adjusted
|
|
$
|
2.61
|
|
$
|
2.56
|
|
Diluted earnings per share
|
|
$
|
2.59
|
|
$
|
2.47
|
|
Income taxes related to the
Canadian government's 2022 tax measures(2)
|
|
|
−
|
|
|
0.07
|
|
Diluted earnings per share - Adjusted
|
|
$
|
2.59
|
|
$
|
2.54
|
|
(1) Certain amounts have been adjusted to reflect accounting
policy changes arising from the adoption of IFRS 17. For additional
information, see Note 2 to the consolidated financial
statements.
(2) During the quarter ended January 31, 2023, the Bank recorded,
in the Other heading
segment results, a $32 million tax expense with respect to the
Canada Recovery Dividend, i.e., a one-time, 15% tax on the fiscal
2021 and 2020 average taxable income above $1 billion as well as an
$8 million tax recovery related to the 1.5% increase in the
statutory tax rate, which included the impact related to current
and deferred taxes for fiscal 2022. For additional information on
these tax measures, see the Income Taxes section.
Presentation of Non-Trading Net Interest Income -
Adjusted
(millions of Canadian
dollars)
|
|
Quarter
ended January 31
|
|
|
2024
|
|
2023
|
|
|
|
|
|
|
|
|
|
Net interest income
− Adjusted
|
|
788
|
|
1,177
|
|
Less: Net interest income (loss)
related to trading activities on a taxable equivalent
basis
|
|
(649)
|
|
(196)
|
|
Net interest income, non-trading − Adjusted
|
|
1,437
|
|
1,373
|
|
|
|
|
|
|
|
|
|
Highlights
(millions of Canadian dollars,
except per share amounts)
|
|
Quarter
ended January 31
|
|
|
|
|
2024
|
|
|
|
2023(1)
|
|
%
Change
|
|
Operating results
|
|
|
|
|
|
|
|
|
|
|
Total revenues
|
|
|
2,710
|
|
|
|
2,562
|
|
6
|
|
Income before provisions
for credit
losses and
income taxes
|
|
|
1,261
|
|
|
|
1,172
|
|
8
|
|
Net income
|
|
|
922
|
|
|
|
876
|
|
5
|
|
Return on common shareholders'
equity(2)
|
|
|
17.1
|
%
|
|
|
17.9
|
%
|
|
|
Operating
leverage(2)
|
|
|
1.6
|
%
|
|
|
(4.7)
|
%
|
|
|
Efficiency
ratio(2)
|
|
|
53.5
|
%
|
|
|
54.3
|
%
|
|
|
Earnings per share
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
$
|
2.61
|
|
|
$
|
2.49
|
|
5
|
|
|
Diluted
|
|
$
|
2.59
|
|
|
$
|
2.47
|
|
5
|
|
Operating results - Adjusted(3)
|
|
|
|
|
|
|
|
|
|
|
Total revenues -
Adjusted(3)
|
|
|
2,820
|
|
|
|
2,692
|
|
5
|
|
Income before provisions for
credit losses
and income taxes -
Adjusted(3)
|
|
|
1,371
|
|
|
|
1,302
|
|
5
|
|
Net income -
Adjusted(3)
|
|
|
922
|
|
|
|
900
|
|
2
|
|
Return on common shareholders'
equity - Adjusted(4)
|
|
|
17.1
|
%
|
|
|
18.4
|
%
|
|
|
Operating leverage -
Adjusted(4)
|
|
|
0.6
|
%
|
|
|
(2.2)
|
%
|
|
|
Efficiency ratio -
Adjusted(4)
|
|
|
51.4
|
%
|
|
|
51.6
|
%
|
|
|
Diluted earnings per share -
Adjusted(3)
|
|
$
|
2.59
|
|
|
$
|
2.54
|
|
2
|
|
Common share information
|
|
|
|
|
|
|
|
|
|
|
Dividends declared
|
|
$
|
1.06
|
|
|
$
|
0.97
|
|
9
|
|
Book
value(2)
|
|
$
|
61.18
|
|
|
$
|
55.76
|
|
|
|
Share price
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
$
|
103.38
|
|
|
$
|
99.95
|
|
|
|
|
Low
|
|
$
|
86.50
|
|
|
$
|
91.02
|
|
|
|
|
Close
|
|
$
|
102.83
|
|
|
$
|
99.95
|
|
|
|
Number of common shares
(thousands)
|
|
|
339,166
|
|
|
|
337,318
|
|
|
|
Market capitalization
|
|
|
34,876
|
|
|
|
33,715
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(millions of Canadian
dollars)
|
|
As at
January 31,
2024
|
|
|
As
at
October 31,
2023(1)
|
|
%
Change
|
|
Balance sheet and off-balance-sheet
|
|
|
|
|
|
|
|
|
Total assets
|
|
433,927
|
|
|
423,477
|
|
2
|
|
Loans and acceptances, net of
allowances
|
|
230,157
|
|
|
225,443
|
|
2
|
|
Deposits
|
|
300,097
|
|
|
288,173
|
|
4
|
|
Equity attributable to common
shareholders
|
|
20,749
|
|
|
20,432
|
|
2
|
|
Assets under
administration(2)
|
|
712,488
|
|
|
652,631
|
|
9
|
|
Assets under
management(2)
|
|
132,822
|
|
|
120,858
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
Regulatory ratios under Basel
III(5)
|
|
|
|
|
|
|
|
|
Capital ratios
|
|
|
|
|
|
|
|
|
|
Common Equity Tier 1
(CET1)
|
|
13.1
|
%
|
|
13.5
|
%
|
|
|
|
Tier 1
|
|
15.5
|
%
|
|
16.0
|
%
|
|
|
|
Total
|
|
16.2
|
%
|
|
16.8
|
%
|
|
|
Leverage ratio
|
|
4.3
|
%
|
|
4.4
|
%
|
|
|
TLAC
ratio(5)
|
|
28.1
|
%
|
|
29.2
|
%
|
|
|
TLAC leverage
ratio(5)
|
|
7.8
|
%
|
|
8.0
|
%
|
|
|
Liquidity coverage ratio
(LCR)(5)
|
|
145
|
%
|
|
155
|
%
|
|
|
Net stable funding ratio
(NSFR)(5)
|
|
117
|
%
|
|
118
|
%
|
|
|
Other information
|
|
|
|
|
|
|
|
|
Number of employees - Worldwide
(full-time equivalent)
|
|
28,730
|
|
|
28,916
|
|
(1)
|
|
Number of branches in
Canada
|
|
368
|
|
|
368
|
|
−
|
|
Number of banking machines in
Canada
|
|
945
|
|
|
944
|
|
−
|
|
(1) Certain amounts have
been adjusted to reflect accounting policy changes arising from the
adoption of IFRS 17. For additional information, see Note 2 to the
consolidated financial statements.
(2) See the Glossary
section on pages 43 to 46 for details on the composition of these
measures.
(3) See the Financial
Reporting Method section on pages 4 to 8 for additional information
on non-GAAP financial measures.
(4) See the Financial
Reporting Method section on pages 4 to 8 for additional information
on non-GAAP ratios.
(5) See the Financial
Reporting Method section on pages 4 to 8 for additional information
on capital management measures.
Economic Review and Outlook
Global
Economy
The last few months have seen a marked decline
in price increases around the world, such that a growing number of
countries, particularly emerging countries, can now boast that they
have brought inflation back to the target rate of their central
bank. Central bankers are undoubtedly pleased with the latest
inflation developments, but they are unlikely to claim victory at
this stage, especially given the current geopolitical environment.
The recent progress has been highly dependent on disinflation in
the goods sector, which is now facing a threat from tensions in the
Middle East. While not completely disrupting supply chains, these
factors could still make central banks fear a new surge in
inflation in goods and, consequently, compel them to hold the pause
button longer than otherwise envisioned. This is sure to have a
negative impact on growth, especially since there is a lag in
monetary policy's impact on the economy, meaning that the economy
will continue to show the effects of the latest rate hikes. We
believe that, in 2024, global growth could slow to
2.6%(1) (compared to 3.1% last year), being held back by
contractions in several of the advanced economies. Faced with a
greater-than-expected decline in demand, central banks are expected
to respond vigorously by cutting key interest rates sharply in the
second half of the year. This move should lead to a gradual rebound
in growth in 2025.
The year 2023 will undoubtedly be seen as a good
year for the U.S. economy, which managed to grow 2.5% despite one
of the most aggressive periods of monetary tightening in recent
memory. A significant increase in the federal government's deficit
contributed greatly to this growth. The economic resilience was
also due to continued deployment of excess household savings as
well as to a heavy reliance on credit to support consumption,
despite the prohibitively high interest rates. However, several
signs point to a more difficult road ahead for the U.S. economy.
Many consumers are showing signs of vulnerability, as evidenced by
rising delinquency rates on car loans and credit cards. In
addition, the job market's resilience is not a given, as most SMEs
are reporting falling sales. And while some observers may take
comfort that the U.S. Federal Reserve (the Fed) appears to be open
to cutting rates in 2024-which would clearly ease the pressure on
economic agents-rates will
remain restrictive for some time. It should also be recalled that
the Fed had indeed cut interest rates in the lead-up to each of the
last four recessions, which should give pause to those who are
already claiming victory over the continuation of the current
economic cycle. On the heels of a good first quarter, we expect
growth in the U.S. economy to slow markedly toward midyear. This
deceleration should prompt the Fed to begin cutting rates, but we
believe that the cuts will come too late to prevent a few quarters
of contraction. This forecast translates into growth of
1.9%(1) in 2024 and a 0.3%(1) contraction in
2025.
Canadian
Economy
Inflation remains too high in
Canada, mainly due to the rising housing component, as the
population increase is at odds with the supply of available
housing. Faced with this situation, the Bank of Canada is
maintaining a tight monetary policy. Paradoxically, this is
deterring investment, in particular by slowing construction, which
is exacerbating the problem of housing-related inflation. The
result is stagflation, i.e., a struggling economy combined with
high inflation. Economic growth has been lacklustre for some time,
even more so when the demographic context is considered. GDP per
capita has fallen 3.1% from its peak in 2022, a fall of a scale
that has only been seen during recent recessions. The same is true
of the labour market, which is not generating enough jobs to absorb
population growth. This situation has been reflected in the sharp
drop in employment rates, which has been particularly acute for
Canada's youth. We expect that the economic environment will
continue to be difficult in 2024, as the economy has yet to feel
the full effects of the past rate hikes and as interest rates
remain high. Given the tight monetary policy, successive waves of
mortgage borrowers will have to renegotiate their loans at higher
interest rates, further dampening consumer spending. We
expect the Canadian economy to contract around midyear, resulting
in stagnant growth in 2024(1). The Bank of Canada is
expected to begin cutting its key interest rates at the end of
second quarter to breathe some life into a faltering
economy.
Quebec
Economy
Quebec's GDP posted two
consecutive quarters of contraction in mid-2023, leading many to
wonder whether a recession lay ahead. We believe that caution is
required before drawing such conclusions. In the third quarter, GDP
was restrained by falling inventory investments and a decline in
international trade, while private domestic demand rallied. In
addition, the October data shows that, rather than stalling, the
Quebec economy was gathering strength at the start of the fourth
quarter. This bout of weakness must be taken in context, meaning,
it occurred in the province that had the most overheated economy
since the pandemic. Despite the slump in Quebec's GDP, its labour
market still posted one of the lowest unemployment rates in Canada
(4.5%), and the province had the highest inflation rate in the
country according to the most recent data. Higher inflation means
that monetary policy is less tight in real terms, and therefore
less damaging to Quebec's economy. Compared with the national data,
a smaller share of SMEs are now saying that domestic demand is
cause for concern. As elsewhere, 2024 is shaping up to be a
difficult year, but we continue to believe that Quebec's GDP could
hold firm due to strong fundamentals (a lower level of household
debt, a greater share of dual-income households, a more affordable
real estate market). The proportion of households that describe the
state of their household finances as poor was just 23%, compared
with 35% nationally (Léger, January 2024). For 2024, we anticipate
a slight contraction in the economy of 0.1%(1), but
Quebec should continue to post one of the lowest unemployment rates
in the country this year, at 5.6%(1) (compared with
6.7%(1) for Canada as a whole).
(1) Actual GDP growth forecasts, National Bank Financial's
Economics and Strategy group
Financial Analysis
Consolidated Results
(millions of Canadian
dollars)
|
|
Quarter
ended January 31
|
|
|
|
2024
|
|
|
2023(1)
|
|
%
Change
|
|
Operating results
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
751
|
|
|
1,099
|
|
|
(32)
|
|
Non-interest income
|
|
1,959
|
|
|
1,463
|
|
|
34
|
|
Total revenues
|
|
2,710
|
|
|
2,562
|
|
|
6
|
|
Non-interest expenses
|
|
1,449
|
|
|
1,390
|
|
|
4
|
|
Income before provisions for
credit losses and income taxes
|
|
1,261
|
|
|
1,172
|
|
|
8
|
|
Provisions for credit
losses
|
|
120
|
|
|
86
|
|
|
40
|
|
Income before income
taxes
|
|
1,141
|
|
|
1,086
|
|
|
5
|
|
Income taxes
|
|
219
|
|
|
210
|
|
|
4
|
|
Net income
|
|
922
|
|
|
876
|
|
|
5
|
|
Diluted earnings per share
(dollars)
|
|
2.59
|
|
|
2.47
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
Taxable equivalent basis(2)
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
37
|
|
|
78
|
|
|
|
|
Non-interest income
|
|
73
|
|
|
52
|
|
|
|
|
Income taxes
|
|
110
|
|
|
130
|
|
|
|
|
Impact of taxable equivalent basis
on net income
|
|
−
|
|
|
−
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specified items(2)
|
|
|
|
|
|
|
|
|
|
Income taxes related to the
Canadian government's 2022 tax measures
|
|
−
|
|
|
24
|
|
|
|
|
Specified items after income
taxes
|
|
−
|
|
|
(24)
|
|
|
|
|
Operating results - Adjusted(2)
|
|
|
|
|
|
|
|
|
|
Net interest income -
Adjusted
|
|
788
|
|
|
1,177
|
|
|
(33)
|
|
Non-interest income -
Adjusted
|
|
2,032
|
|
|
1,515
|
|
|
34
|
|
Total revenues -
Adjusted
|
|
2,820
|
|
|
2,692
|
|
|
5
|
|
Non-interest expenses -
Adjusted
|
|
1,449
|
|
|
1,390
|
|
|
4
|
|
Income before provisions for
credit losses and
income taxes -
Adjusted
|
|
1,371
|
|
|
1,302
|
|
|
5
|
|
Provisions for credit
losses
|
|
120
|
|
|
86
|
|
|
40
|
|
Income before income taxes -
Adjusted
|
|
1,251
|
|
|
1,216
|
|
|
3
|
|
Income taxes - Adjusted
|
|
329
|
|
|
316
|
|
|
4
|
|
Net income - Adjusted
|
|
922
|
|
|
900
|
|
|
2
|
|
Diluted earnings per share -
Adjusted (dollars)
|
|
2.59
|
|
|
2.54
|
|
|
2
|
|
Average
assets(3)
|
|
442,666
|
|
|
424,946
|
|
|
4
|
|
Average loans and
acceptances(3)
|
|
228,161
|
|
|
209,699
|
|
|
9
|
|
Average
deposits(3)
|
|
301,533
|
|
|
281,553
|
|
|
7
|
|
Operating
leverage(4)
|
|
1.6
|
%
|
|
(4.7)
|
%
|
|
|
|
Operating leverage -
Adjusted(5)
|
|
0.6
|
%
|
|
(2.2)
|
%
|
|
|
|
Efficiency
ratio(4)
|
|
53.5
|
%
|
|
54.3
|
%
|
|
|
|
Efficiency ratio -
Adjusted(5)
|
|
51.4
|
%
|
|
51.6
|
%
|
|
|
|
(1) Certain amounts have been adjusted to reflect accounting
policy changes arising from the adoption of IFRS 17. For additional
information, see Note 2 to the consolidated financial
statements.
(2) See the Financial Reporting Method section on pages 4 to 8
for additional information on non-GAAP financial
measures.
(3) Represents an average of the daily balances for the
period.
(4) See the Glossary section on pages 43 to 46 for details on the
composition of these measures.
(5) See the Financial Reporting Method section on pages 4 to 8
for additional information on non-GAAP ratios.
Financial
Results
For the first quarter of 2024, the Bank
reported net income of $922 million, up 5% from $876 million in the
first quarter of 2023. First-quarter diluted earnings per share
stood at $2.59 compared to $2.47 in the first quarter of
2023. These increases were partly driven by total
revenue growth in all of the business segments.
Excluding the impact of the Canadian
government's 2022 tax measures on income taxes in the first quarter
of 2023, net income totalled $922 million in the first quarter of
2024, up 2% from adjusted net income of $900 million in the first
quarter of 2023, while diluted earnings per share stood at $2.59,
also up 2% from adjusted diluted earnings per share of $2.54 in the
first quarter of 2023.
Return on common shareholders' equity was
17.1% for the quarter ended January 31, 2024 compared to 17.9% in
the same quarter of 2023.
Total
Revenues
For the first quarter of 2024, the Bank's total
revenues amounted to $2,710 million, up $148 million or 6% from the
first quarter of 2023. In the Personal and Commercial segment,
first-quarter total revenues rose 5% year over year owing to growth
in loans and deposits, to a higher deposit margin as well as to
higher credit card revenues and insurance revenues, partly offset
by decreases in revenues from derivative financial instruments and
in revenues from foreign exchange activities. In the
Wealth Management segment, first-quarter total revenues grew 4%
year over year, essentially due to higher fee-based revenues,
notably revenues from investment management and trust service fees
as well as mutual fund revenues. In the Financial Markets segment,
first-quarter total revenues on a taxable equivalent basis
increased by 10% year over year due to increases in global markets
revenues and in corporate and investment banking revenues. In the
USSF&I segment, first-quarter total revenues rose 2% year over
year owing to revenue growth at ABA Bank (driven by business
growth) as well as to annual dividend income from an investment in
a financial group recorded in the first quarter of 2024. These
items were partly offset by a decrease in Credigy's revenues,
mainly due to revenues recorded upon a credit facility prepayment
in the first quarter of 2023. For the Other heading of segment results,
first-quarter total revenues remained stable year over
year.
Non-Interest
Expenses
For the first quarter of 2024, non-interest
expenses stood at $1,449 million, a 4% year-over-year increase that
was attributable to higher compensation and employee benefits
(driven by wage growth and a greater number of employees) as well
as to the variable compensation associated with revenue growth.
Occupancy expense, including amortization expense, was also up,
partly due to the expanding banking network at ABA Bank and to
expenses related to the Bank's new head office building.
Technology expenses, including amortization, were up,
stemming from significant investments made to support the Bank's
technological evolution and business development plan, while
professional fees and other expenses also increased year over
year.
Provisions
for Credit Losses
For the first quarter of 2024, the Bank recorded
$120 million in provisions for credit losses compared to $86
million in the first quarter of 2023. Provisions for credit losses
on impaired loans, excluding purchased or originated
credit-impaired (POCI) (1) loans rose $79 million year
over year. This increase came from Personal Banking
(including credit card receivables) and Commercial Banking,
reflecting a normalization of credit performance, as well as from
the Credigy (excluding POCI loans) and ABA Bank
subsidiaries. In addition, during the first quarter of 2023,
greater recoveries of credit losses on impaired loans had been
recorded in the Financial Markets segment. As for
first-quarter provisions for credit losses on
non-impaired loans, they were down $28 million year over year,
mainly due to updated scenarios reflecting a more favourable
macroeconomic outlook and to a greater deterioration in credit risk
in the first quarter of 2023. This decrease was partly
offset by growth in the loan portfolios and a recalibration of
certain risk parameters. Lastly, first-quarter
provisions for credit losses on POCI loans were down $17 million
year over year due to favourable remeasurements of certain Credigy
portfolios during the first quarter of 2024 as well as to
recoveries of credit losses following repayments of Commercial
Banking POCI loans.
Income
Taxes
For the first quarter of 2024, income
taxes stood at $219 million compared to $210 million in the same
quarter of 2023. The effective income tax rate for first-quarter
2024 was 19%, unchanged from the same quarter of 2023 despite
the impact in first-quarter 2023 of certain enacted tax measures,
namely, the Canada Recovery Dividend and the additional 1.5% tax on
banks and life insurers. This is mainly explained by
the decrease in tax-exempt income in first-quarter 2024, which
reflects the denial of the deduction in respect of dividends
covered by Bill C-59 since January 1, 2024.
(1) See the Glossary
section on pages 43 to 46 for details on the composition of these
measures.
Results by Segment
The Bank carries out its activities in four
business segments: Personal and Commercial, Wealth Management,
Financial Markets, and U.S. Specialty Finance and International,
which mainly comprises the activities of the Credigy Ltd. (Credigy)
and Advanced Bank of Asia Limited (ABA Bank) subsidiaries. Other
operating activities, certain specified items, Treasury activities,
and the operations of the Flinks Technology Inc. (Flinks)
subsidiary are grouped in the Other heading of segment results. Each
reportable segment is distinguished by services offered, type of
clientele, and marketing strategy.
Personal and
Commercial
(millions of Canadian
dollars)
|
|
Quarter ended January 31
|
|
|
|
2024
|
|
|
2023(1)
|
|
|
%
Change
|
|
Operating results
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
870
|
|
|
825
|
|
|
5
|
|
Non-interest income
|
|
284
|
|
|
279
|
|
|
2
|
|
Total revenues
|
|
1,154
|
|
|
1,104
|
|
|
5
|
|
Non-interest expenses
|
|
615
|
|
|
593
|
|
|
4
|
|
Income before provisions for
credit losses and income taxes
|
|
539
|
|
|
511
|
|
|
5
|
|
Provisions for credit
losses
|
|
71
|
|
|
61
|
|
|
16
|
|
Income before income
taxes
|
|
468
|
|
|
450
|
|
|
4
|
|
Income taxes
|
|
129
|
|
|
124
|
|
|
4
|
|
Net income
|
|
339
|
|
|
326
|
|
|
4
|
|
Net interest
margin(2)
|
|
2.36
|
%
|
|
2.35
|
%
|
|
|
|
Average interest-bearing
assets(2)
|
|
146,700
|
|
|
139,215
|
|
|
5
|
|
Average
assets(3)
|
|
155,031
|
|
|
146,131
|
|
|
6
|
|
Average loans and
acceptances(3)
|
|
153,291
|
|
|
145,347
|
|
|
5
|
|
Net impaired
loans(2)
|
|
323
|
|
|
215
|
|
|
50
|
|
Net impaired loans as a % of total
loans and acceptances(2)
|
|
0.2
|
%
|
|
0.1
|
%
|
|
|
|
Average
deposits(3)
|
|
88,949
|
|
|
85,051
|
|
|
5
|
|
Efficiency
ratio(2)
|
|
53.3
|
%
|
|
53.7
|
%
|
|
|
|
(1) Certain amounts have
been adjusted to reflect accounting policy changes arising from the
adoption of IFRS 17. For additional information, see Note 2 to the
consolidated financial statements.
(2) See the Glossary
section on pages 43 to 46 for details on the composition of these
measures.
(3) Represents an average
of the daily balances for the period.
In the Personal and Commercial segment, net
income totalled $339 million in the first quarter of 2024 compared
to $326 million in the first quarter of 2023, a 4% year-over-year
increase driven by total revenue growth, partly offset by higher
non-interest expenses and higher provisions for credit
losses. The segment's first-quarter net interest income rose 5% year over year owing
mainly to growth in personal and commercial loans and
deposits. The net interest margin was 2.36% in
first-quarter 2024 versus 2.35% in first-quarter 2023, as a growing
deposit margin was offset by a declining margin on loans.
As for first-quarter non-interest income, it grew
$5 million or 2% year over year.
Personal Banking's first-quarter total
revenues posted a $37 million year-over-year increase
that was driven by higher net interest income, attributable
to growth in loans and deposits and an improved deposit margin, as
well as to increases in credit card revenues, insurance revenues,
and internal commission revenues arising from the distribution of
Wealth Management products. Commercial Banking's
first-quarter total revenues grew $13 million year over year,
mainly due to an increase in net interest income that was driven by
loan and deposit growth, partly offset by a lower net interest
margin on loans and deposits and by decreases in revenues from
derivative financial instruments and in revenues from foreign
exchange activities.
For the first quarter of 2024, the Personal
and Commercial segment's non-interest expenses stood at $615
million, a 4% year-over-year increase that was due to
higher compensation and employee benefits (driven by wage growth)
and to greater investment in the segment's technological
evolution. At 53.3% in the first quarter of 2024, the
efficiency ratio improved by 0.4 percentage points year over
year. The segment recorded $71 million in provisions
for credit losses in the first quarter of 2024 compared to $61
million in the first quarter of 2023. This increase was mainly due
to higher provisions for credit losses on impaired Personal Banking
loans (including credit card receivables) and impaired Commercial
Banking loans, reflecting a normalization of credit performance. As
for first-quarter provisions for credit losses on non-impaired
loans, they were down year over year. Also, the
segment recorded recoveries of credit losses on Commercial
Banking's POCI loans during the first quarter of 2024 as a result
of loan repayments.
Wealth
Management
(millions of Canadian
dollars)
|
|
Quarter
ended January 31
|
|
|
|
2024
|
|
|
2023
|
|
|
%
Change
|
|
Operating results
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
198
|
|
|
208
|
|
|
(5)
|
|
Fee-based revenues
|
|
375
|
|
|
347
|
|
|
8
|
|
Transaction-based and other
revenues
|
|
87
|
|
|
82
|
|
|
6
|
|
Total revenues
|
|
660
|
|
|
637
|
|
|
4
|
|
Non-interest
expenses
|
|
390
|
|
|
364
|
|
|
7
|
|
Income before provisions for
credit losses and income taxes
|
|
270
|
|
|
273
|
|
|
(1)
|
|
Provisions for credit
losses
|
|
−
|
|
|
−
|
|
|
−
|
|
Income before income
taxes
|
|
270
|
|
|
273
|
|
|
(1)
|
|
Income taxes
|
|
74
|
|
|
75
|
|
|
(1)
|
|
Net income
|
|
196
|
|
|
198
|
|
|
(1)
|
|
Average
assets(1)
|
|
8,708
|
|
|
8,523
|
|
|
2
|
|
Average loans and
acceptances(1)
|
|
7,713
|
|
|
7,548
|
|
|
2
|
|
Net impaired
loans(2)
|
|
5
|
|
|
8
|
|
|
(38)
|
|
Average
deposits(1)
|
|
41,216
|
|
|
40,214
|
|
|
2
|
|
Assets under
administration(2)
|
|
712,488
|
|
|
652,873
|
|
|
9
|
|
Assets under
management(2)
|
|
132,822
|
|
|
119,774
|
|
|
11
|
|
Efficiency
ratio(2)
|
|
59.1
|
%
|
|
57.1
|
%
|
|
|
|
(1) Represents an average of the daily balances for the
period.
(2) See the Glossary section on pages 43 to 46 for details on the
composition of these measures.
In the Wealth Management segment, net income
totalled $196 million in the first quarter of 2024, down 1% from
$198 million in the first quarter of 2023. Growth in
the segment's total revenues was more than offset by higher
non-interest expenses. First-quarter total revenues
amounted to $660 million, up $23 million or 4% from $637
million in the first quarter of 2023. First-quarter net interest
income was down 5% year over year due to changes in the composition
of deposits. Fee-based revenues increased by 8%,
mostly due to stronger stock market performance compared to the
first quarter of 2023 and to positive net inflows into various
solutions. As for first-quarter transaction-based and
other revenues, they increased 6% year over year.
The segment's non-interest expenses stood at
$390 million in the first quarter of 2024 versus $364 million in
first-quarter 2023, a 7% year-over-year increase that was
attributable to higher compensation and employee benefits, notably
the variable compensation associated with revenue growth, higher
external management fees, and higher technology expenses. At 59.1%,
the first-quarter efficiency ratio deteriorated when compared to
57.1% in the first quarter of 2023. The segment's provisions for
credit losses were negligible in the first quarters of 2024 and
2023.
Financial
Markets
(taxable equivalent
basis)(1)
|
|
|
|
|
|
|
|
|
|
(millions of Canadian
dollars)
|
|
Quarter ended January 31
|
|
|
|
2024
|
|
|
2023
|
|
|
%
Change
|
|
Operating results
|
|
|
|
|
|
|
|
|
|
Global markets
|
|
|
|
|
|
|
|
|
|
|
Equities
|
|
222
|
|
|
192
|
|
|
16
|
|
|
Interest rate and
credit
|
|
158
|
|
|
151
|
|
|
5
|
|
|
Commodities and foreign
exchange
|
|
71
|
|
|
54
|
|
|
31
|
|
|
|
451
|
|
|
397
|
|
|
14
|
|
Corporate and investment
banking
|
|
304
|
|
|
292
|
|
|
4
|
|
Total
revenues(1)
|
|
755
|
|
|
689
|
|
|
10
|
|
Non-interest expenses
|
|
313
|
|
|
287
|
|
|
9
|
|
Income before provisions for
credit losses and income taxes
|
|
442
|
|
|
402
|
|
|
10
|
|
Provisions for credit
losses
|
|
17
|
|
|
(9)
|
|
|
|
|
Income before income
taxes
|
|
425
|
|
|
411
|
|
|
3
|
|
Income
taxes(1)
|
|
117
|
|
|
113
|
|
|
4
|
|
Net income
|
|
308
|
|
|
298
|
|
|
3
|
|
Average
assets(2)
|
|
190,443
|
|
|
173,262
|
|
|
10
|
|
Average loans and
acceptances(2) (Corporate Banking only)
|
|
31,659
|
|
|
27,066
|
|
|
17
|
|
Net impaired
loans(3)
|
|
20
|
|
|
81
|
|
|
(75)
|
|
Net impaired loans as a % of total
loans and acceptances(3)
|
|
0.1
|
%
|
|
0.3
|
%
|
|
|
|
Average
deposits(2)
|
|
63,335
|
|
|
52,820
|
|
|
20
|
|
Efficiency
ratio(3)
|
|
41.5
|
%
|
|
41.7
|
%
|
|
|
|
(1) The Total revenues
and Income taxes items of
the Financial Markets segment are presented on a taxable equivalent
basis. Taxable equivalent basis is a calculation method that
consists in grossing up certain revenues taxed at lower rates by
the income tax to a level that would make it comparable to revenues
from taxable sources in Canada. For the quarter ended
January 31, 2024, Total
revenues were grossed up by $108 million
($129 million in 2023) and an equivalent amount was recognized
in Income taxes. The effect of
these adjustments is reversed under the Other heading of segment results. In
light of the proposed legislation with respect to Canadian
dividends, the Bank did not either recognize an income tax
deduction or use the taxable equivalent basis method to adjust
revenues related to affected dividends received after January 1,
2024 (for additional information, see the Income Taxes
section).
(2) Represents an average of the daily balances for the
period.
(3) See the Glossary section on pages 43 to 46 for details on the
composition of these measures.
In the Financial Markets segment, net income
totalled $308 million in the first quarter of 2024, up 3% from $298
million in the first quarter of 2023. Income before
provisions for credit losses and income taxes totalled $442 million
in the first quarter of 2024, up 10% year over year.
The segment's first-quarter total revenues on a taxable
equivalent basis amounted to $755 million, up $66 million or 10%
from $689 million in the first quarter of 2023. Global markets
revenues rose 14% year over year owing to growth in all revenue
types. First-quarter corporate and investment banking
revenues grew 4% year over year given an increase in banking
service revenues, partly offset by a decrease in revenues from
merger and acquisition activities.
For the first quarter of 2024, the segment's
non-interest expenses stood at $313 million, a 9% year-over-year
increase that was due to higher compensation and employee benefits
(notably the variable compensation associated with revenue growth),
to higher technology investment expenses, and to higher other
expenses related to the segment's business growth. At 41.5%,
first-quarter efficiency ratio improved by 0.2 percentage points
compared to 41.7% in the first quarter of 2023. The segment
recorded $17 million in provisions for credit losses in the first
quarter of 2024 compared to $9 million in recoveries of credit
losses in the first quarter of 2023. This increase came from higher
credit loss recoveries on impaired loans recorded in the first
quarter of 2023 as well as from a $10 million year-over-year
increase in provisions for credit losses on non-impaired loans
arising from growth in the loan portfolios.
U.S.
Specialty Finance and International (USSF&I)
(millions of Canadian
dollars)
|
|
Quarter ended January 31
|
|
|
|
2024
|
|
|
2023
|
|
|
%
Change
|
|
Total revenues
|
|
|
|
|
|
|
|
|
|
|
Credigy
|
|
125
|
|
|
137
|
|
|
(9)
|
|
|
ABA Bank
|
|
194
|
|
|
180
|
|
|
8
|
|
|
International
|
|
7
|
|
|
2
|
|
|
|
|
|
|
|
326
|
|
|
319
|
|
|
2
|
|
Non-interest expenses
|
|
|
|
|
|
|
|
|
|
|
Credigy
|
|
35
|
|
|
36
|
|
|
(3)
|
|
|
ABA Bank
|
|
65
|
|
|
61
|
|
|
7
|
|
|
International
|
|
−
|
|
|
1
|
|
|
|
|
|
|
100
|
|
|
98
|
|
|
2
|
|
Income before provisions for
credit losses and income taxes
|
|
226
|
|
|
221
|
|
|
2
|
|
Provisions for credit losses
|
|
|
|
|
|
|
|
|
|
|
Credigy
|
|
25
|
|
|
31
|
|
|
(19)
|
|
|
ABA Bank
|
|
11
|
|
|
4
|
|
|
|
|
|
|
|
36
|
|
|
35
|
|
|
3
|
|
Income before income
taxes
|
|
190
|
|
|
186
|
|
|
2
|
|
Income taxes
|
|
|
|
|
|
|
|
|
|
|
Credigy
|
|
14
|
|
|
15
|
|
|
(7)
|
|
|
ABA Bank
|
|
25
|
|
|
24
|
|
|
4
|
|
|
International
|
|
1
|
|
|
−
|
|
|
|
|
|
|
|
40
|
|
|
39
|
|
|
3
|
|
Net income
|
|
|
|
|
|
|
|
|
|
|
Credigy
|
|
51
|
|
|
55
|
|
|
(7)
|
|
|
ABA Bank
|
|
93
|
|
|
91
|
|
|
2
|
|
|
International
|
|
6
|
|
|
1
|
|
|
|
|
|
|
|
150
|
|
|
147
|
|
|
2
|
|
Average
assets(1)
|
|
26,025
|
|
|
21,606
|
|
|
20
|
|
Average loans and
receivables(1)
|
|
20,787
|
|
|
17,941
|
|
|
16
|
|
Purchased or originated
credit-impaired (POCI) loans
|
|
457
|
|
|
414
|
|
|
10
|
|
Net impaired loans excluding POCI
loans(2)
|
|
329
|
|
|
172
|
|
|
91
|
|
Average
deposits(1)
|
|
12,174
|
|
|
9,813
|
|
|
24
|
|
Efficiency
ratio(2)
|
|
30.7
|
%
|
|
30.7
|
%
|
|
|
|
(1) Represents an average of the daily balances for the
period.
(2) See the Glossary section on pages 43 to 46 for details on the
composition of these measures.
In the USSF&I segment, net income totalled
$150 million in the first quarter of 2024, up 2% from $147 million
in the same quarter of 2023. The segment's
first-quarter total revenues amounted to $326 million versus $319
million in the first quarter of 2023, a $7 million or 2%
year-over-year increase that was driven mainly by 8% revenue growth
at the ABA Bank subsidiary as well as by annual dividend income
from an investment in a financial group recorded in the first
quarter of 2024. These items were partly offset by a 9% decrease in
the Credigy subsidiary's revenues.
Credigy
The Credigy subsidiary's net income totalled
$51 million in the first quarter of 2024, down $4 million or 7%
year over year. Its first-quarter total revenues
amounted to $125 million versus $137 million in the first quarter
of 2023, a year-over-year decrease that mainly reflects revenues
recorded upon a credit facility prepayment in the first quarter of
2023, partly offset by growth in non-interest income arising mainly
from the fair value remeasurement of certain portfolios.
Credigy's first-quarter non-interest
expenses stood at $35 million, a $1 million year-over-year
decrease. First-quarter provisions for credit losses were down $6
million year over year. A decrease in provisions for credit losses
on non-impaired loans was due to an improvement in certain risk
parameters. In addition, provisions for credit losses on POCI loans
were also down year over year due to higher unfavourable
remeasurements of certain portfolios during the first quarter of
2023. These decreases were partly offset by an increase in
provisions for credit losses on impaired loans.
ABA Bank
The ABA Bank subsidiary's net income totalled
$93 million in the first quarter of 2024, up $2 million or 2% year
over year. The subsidiary's first-quarter total revenues rose 8%
year over year, mainly due to sustained asset growth, partly offset
by higher interest expenses on deposits. Non-interest expenses for
the first quarter of 2024 stood at $65 million, a $4 million or 7%
year-over-year increase that was mainly attributable to higher
occupancy expenses resulting from the subsidiary's business growth
and opening of new branches. Provisions for credit losses, which
stood at $11 million in the first quarter of 2024, rose
$7 million year over year. This increase came from higher
provisions for credit losses on impaired loans, partly offset by
lower provisions for credit losses on non-impaired
loans.
Other
(millions of Canadian
dollars)
|
|
Quarter ended January 31
|
|
|
|
2024
|
|
2023
|
|
Operating results
|
|
|
|
|
|
Net interest
income(1)
|
|
(100)
|
|
(142)
|
|
Non-interest
income(1)
|
|
(85)
|
|
(45)
|
|
Total revenues
|
|
(185)
|
|
(187)
|
|
Non-interest expenses
|
|
31
|
|
48
|
|
Income before provisions for
credit losses and income taxes
|
|
(216)
|
|
(235)
|
|
Provisions for credit
losses
|
|
(4)
|
|
(1)
|
|
Income before income
taxes
|
|
(212)
|
|
(234)
|
|
Income taxes
(recovery)(1)
|
|
(141)
|
|
(141)
|
|
Net loss
|
|
(71)
|
|
(93)
|
|
Non-controlling
interests
|
|
−
|
|
−
|
|
Net income (loss) attributable to
the Bank's shareholders and holders of other equity
instruments
|
|
(71)
|
|
(93)
|
|
Less: Specified items after income
taxes(2)
|
|
−
|
|
(24)
|
|
Net loss - Adjusted(2)
|
|
(71)
|
|
(69)
|
|
Average
assets(3)
|
|
62,459
|
|
75,424
|
|
(1) For the quarter ended January 31, 2024,
an amount of $37 million ($78 million in 2023)
was deducted from Net interest
income, an amount of $73 million ($52 million in 2023) was
deducted from Non-interest
income, and an equivalent amount was recorded in
Income taxes (recovery).
These adjustments include a reversal of the taxable equivalent of
the Financial Markets segment and the Other heading. Taxable equivalent basis is a calculation method that
consists in grossing up certain revenues taxed at lower rates by
the income tax to a level that would make it comparable to revenues
from taxable sources in Canada. In light of the proposed
legislation with respect to Canadian dividends, the Bank did not
either recognize an income tax deduction or use the taxable
equivalent basis method to adjust revenues related to affected
dividends received after January 1, 2024 (for additional
information, see the Income Taxes section).
(2) See the Financial Reporting Method section on pages 4 to 8
for additional information on non-GAAP financial
measures.
(3) Represents an average of the daily balances for the
period.
For the Other heading of segment results,
there was a net loss of $71 million in the first quarter of 2024
compared to a net loss of $93 million in the first quarter of
2023. The change in net loss was mainly due to a $24
million income tax expense related to the Canadian government's
2022 tax measures recorded in the first quarter of 2023.
There was a net loss of $71 million in the first quarter of
2024 versus an adjusted net loss of $69 million in the first
quarter of 2023.
Consolidated Balance Sheet
Consolidated
Balance Sheet Summary
(millions of Canadian
dollars)
|
|
As at January 31,
2024
|
|
As at
October 31, 2023(1)
|
|
%
Change
|
|
Assets
|
|
|
|
|
|
|
|
Cash and deposits with financial
institutions
|
|
37,399
|
|
35,234
|
|
6
|
|
Securities
|
|
130,065
|
|
121,818
|
|
7
|
|
Securities purchased under reverse
repurchase agreements and securities borrowed
|
|
12,926
|
|
11,260
|
|
15
|
|
Loans and acceptances, net of
allowances
|
|
230,157
|
|
225,443
|
|
2
|
|
Other
|
|
23,380
|
|
29,722
|
|
(21)
|
|
|
|
|
433,927
|
|
423,477
|
|
2
|
|
Liabilities and equity
|
|
|
|
|
|
|
|
Deposits
|
|
300,097
|
|
288,173
|
|
4
|
|
Other
|
|
109,180
|
|
110,972
|
|
(2)
|
|
Subordinated debt
|
|
749
|
|
748
|
|
−
|
|
Equity attributable to the Bank's
shareholders and holders of other equity instruments
|
23,899
|
|
23,582
|
|
1
|
|
Non-controlling
interests
|
|
2
|
|
2
|
|
−
|
|
|
|
|
433,927
|
|
423,477
|
|
2
|
|
(1) Certain amounts have
been adjusted to reflect accounting policy changes arising from the
adoption of IFRS 17. For additional information, see Note 2 to the
consolidated financial statements.
Assets
As at January 31, 2024, the Bank had total
assets of $433.9 billion, a $10.4 billion or 2% increase from
$423.5 billion as at October 31, 2023. At $37.4 billion as at
January 31, 2024, cash and deposits with financial institutions
rose $2.2 billion, mainly due to an increase in deposits with the
Bank of Canada, partly offset by a decrease in deposits with
regulated financial institutions.
Since October 31, 2023, securities
rose $8.3 billion due to a $5.5 billion or 5% increase in
securities at fair value through profit or loss, with this increase
being essentially attributable to equity securities, partly offset
by a decrease in securities issued or guaranteed by U.S. Treasury,
other U.S. agencies, and other foreign governments. The increase
was also due to a $2.8 billion increase in securities other than
those measured at fair value through profit or loss, with this
increase being essentially attributable to securities issued or
guaranteed by the Canadian government and securities issued or
guaranteed by U.S. Treasury, other U.S. agencies, and other
foreign governments. Securities purchased under reverse repurchase
agreements and securities borrowed increased by $1.6 billion since
October 31, 2023, mainly due to the activities of the Financial
Markets segment and Treasury.
Totalling $230.2 billion as at January 31,
2024, loans and acceptances, net of allowances for credit losses,
rose $4.8 billion or 2% since October 31, 2023. The following table
provides a breakdown of the main loan and acceptance
portfolios.
(millions of Canadian
dollars)
|
|
As at January 31,
2024
|
|
As at
October 31, 2023
|
|
As at
January 31, 2023
|
|
Loans and acceptances
|
|
|
|
|
|
|
|
Residential mortgage and home
equity lines of credit
|
|
117,883
|
|
116,444
|
|
111,634
|
|
Personal
|
|
16,948
|
|
16,761
|
|
15,537
|
|
Credit card
|
|
2,541
|
|
2,603
|
|
2,296
|
|
Business and government
|
|
93,996
|
|
90,819
|
|
81,919
|
|
|
|
|
231,368
|
|
226,627
|
|
211,386
|
|
Allowances for credit
losses
|
|
(1,211)
|
|
(1,184)
|
|
(1,007)
|
|
|
|
|
230,157
|
|
225,443
|
|
210,379
|
|
Since October 31, 2023, residential mortgages
(including home equity lines of credit) rose $1.5 billion or 1%
given the business activities of the Personal and Commercial
segment, the Financial Markets segment, and the Credigy subsidiary.
Also since October 31, 2023, personal loans grew slightly, credit
card receivables were down slightly, while loans and acceptances to
business and government rose $3.2 billion or 3%, mainly due to
business growth at Commercial Banking, in the Financial Markets
segment, and at the Credigy and ABA Bank subsidiaries.
Since January 31, 2023, loans and acceptances,
net of allowances for credit losses, grew $19.8 billion or 9%,
while residential mortgages (including home equity lines of credit)
rose $6.3 billion or 6% given sustained demand for mortgage credit
in the Personal and Commercial segment and given business growth in
the Financial Markets segment and at the ABA Bank and Credigy
subsidiaries. Also since January 31, 2023, personal loans rose $1.4
billion, credit card receivables were up $0.2 billion, and loans
and acceptances to business and government grew $12.1 billion or
15%, owing essentially to the activities of the Financial Markets
segment, Commercial Banking, and ABA Bank.
Impaired loans include all loans classified in
Stage 3 of the expected credit loss model and POCI loans. As at
January 31, 2024, gross impaired loans stood at $1,599 million
compared to $1,584 million as at October 31, 2023. As for net
impaired loans, they totalled $1,276 million as at January 31, 2024
and are stable compared to October 31, 2023. Net impaired loans
excluding POCI loans amounted to $677 million as at January 31,
2024, rising $71 million from $606 million as at October 31,
2023. This increase was due to an increase in the net impaired
loans of the loan portfolios of Personal Banking and Commercial
Banking and of the Credigy (excluding POCI loans) and ABA Bank
subsidiaries, partly offset by a decrease in the net impaired loans
of the loan portfolios of the Wealth Management and Financial
Markets segments. Net POCI loans stood at $599 million as at
January 31, 2024 compared to $670 million as at October 31, 2023, a
decrease due to the maturities of certain portfolios and to loan
repayments.
As at January 31, 2024, other assets totalled
$23.4 billion, a $6.3 billion decrease since October 31, 2023 that
came mainly from a decrease in derivative financial
instruments.
Liabilities
As at January 31, 2024, the Bank had total
liabilities of $410.0 billion compared to $399.9 billion as at
October 31, 2023.
The Bank's total deposit liability stood at
$300.1 billion as at January 31, 2024, rising $11.9 billion or 4%
from $288.2 billion as at October 31, 2023. As at January 31, 2024,
personal deposits stood at $91.1 billion, rising $3.2 billion since
October 31, 2023. This increase came from business growth in the
Financial Markets segment, the Wealth Management segment, at
Personal Banking, and at ABA Bank.
Business and government deposits stood at
$204.4 billion as at January 31, 2024, rising $7.1 billion since
October 31, 2023. This increase came from the financing activities
of the Financial Markets segment and Treasury, including $2.0
billion in deposits subject to bank recapitalization (bail-in)
conversion regulations. Deposits from deposit-taking institutions
stood at $4.6 billion as at January 31, 2024, increasing $1.6
billion since October 31, 2023.
Other liabilities, totalling $109.2 billion as
at January 31, 2024, decreased by $1.8 billion since October 31,
2023, resulting essentially from a $2.9 billion decrease in
derivative financial instruments and a $1.0 billion decrease in
obligations related to securities sold under repurchase agreements
and securities loaned. These decreases were partly offset by a $2.5
billion increase in obligations related to securities sold
short.
Equity
As at January 31, 2024, equity attributable to
the Bank's shareholders and holders of other equity instruments was
$23.9 billion, rising $0.3 billion since October 31, 2023. This
increase was due to net income net of dividends and to issuances of
common shares under the stock option plan. These increases were
partly offset by a decrease in accumulated other comprehensive
income, notably foreign exchange losses, and by the net fair value
change attributable to the credit risk on financial liabilities
designated at fair value through profit or loss.
Event After the Consolidated Balance Sheet
Date
Issuance of
Subordinated Debt
On February 5, 2024, the Bank issued medium-term
notes for a total amount of $500 million. They bear interest at
5.279% and mature on February 15, 2034. The interest on these
notes will be payable semi-annually at a rate of 5.279% per annum
until February 15, 2029 and, thereafter, will be payable
quarterly at a floating rate equal to Daily Compounded
CORRA plus 1.80%. With the prior approval of OSFI, the Bank
may, at its option, redeem these notes as of February 15,
2029, in whole or in part, at their nominal value plus accrued and
unpaid interest. Given that the medium-term notes satisfy the
non-viability contingent capital requirements, they qualify for the
purposes of calculating regulatory capital under Basel
III.
Related Party Transactions
The Bank's policies and procedures regarding related
party transactions have not significantly changed since
October 31, 2023. For additional information, see Note 28
to the audited annual consolidated financial statements for the
year ended October 31, 2023.
Securitization and Off-Balance-Sheet
Arrangements
In the normal course of business, the Bank is
party to various financial arrangements that, under IFRS, are not
required to be recorded on the Consolidated Balance Sheet or are
recorded under amounts other than their notional or contractual
values. These arrangements include, among others, transactions with
structured entities, derivative financial instruments, issuances of
guarantees, credit instruments, and financial assets received as
collateral. A complete analysis of these types of arrangements,
including their nature, business purpose, and importance, is
provided on pages 51 and 52 of the 2023 Annual Report.
For additional information on
financial assets transferred but not
derecognized, guarantees, commitments, and structured
entities, see Notes 8, 26, and 27 to the audited annual
consolidated financial statements for the year ended
October 31, 2023.
Income Taxes
Notice of
Assessment
In March 2023, the Bank was reassessed by the
Canada Revenue Agency (CRA) for additional income tax and interest
of approximately $90 million (including estimated provincial
tax and interest) in respect of certain Canadian dividends received
by the Bank during the 2018 taxation year.
In prior fiscal years, the Bank had been
reassessed for additional income tax and interest of approximately
$875 million (including provincial tax and interest) in
respect of certain Canadian dividends received by the Bank during
the 2012-2017 taxation years.
In the reassessments, the CRA alleges that the
dividends were received as part of a "dividend rental
arrangement".
In October 2023, the Bank filed a notice of
appeal with the Tax Court of Canada, and the matter is now in
litigation. The CRA may issue reassessments to the Bank for
taxation years subsequent to 2018 in regard to certain activities
similar to those that were the subject of the above-mentioned
reassessments. The Bank remains confident that its tax position was
appropriate and intends to vigorously defend its position. As a
result, no amount has been recognized in the consolidated financial
statements as at January 31, 2024.
Canadian
Government's 2022 Tax Measures
On November 4, 2022, the Government of Canada
introduced Bill C-32 - An Act to
implement certain provisions of the fall economic statement tabled
in Parliament on November 3, 2022 and certain provisions of the
budget tabled in Parliament on April 7, 2022 to implement
tax measures applicable to certain entities of banking and life
insurer groups, as presented in its April 7, 2022 budget. These tax
measures included the Canada Recovery Dividend (CRD), which is a
one-time, 15% tax on the fiscal 2021 and 2020 average taxable
income above $1 billion, as well as a 1.5% increase in the
statutory tax rate. On December 15, 2022, Bill C-32 received royal
assent. Given that these tax measures were in effect as at January
31, 2023, a $32 million tax expense for the CRD and an
$8 million tax recovery for the tax rate increase, including
the impact related to current and deferred taxes for fiscal 2022,
were recognized in the consolidated financial statements for the
quarter ended January 31, 2023.
Proposed
Legislation
On November 30, 2023, the Government
of Canada introduced Bill C-59 - An Act to implement certain provisions of the
fall economic statement tabled in Parliament on November 21, 2023
and certain provisions of the budget tabled in Parliament on March
28, 2023 to implement tax measures applicable to the Bank.
The measures include the denial of the deduction in respect of
dividends received after 2023 on shares that are mark-to-market
property for tax purposes (except for dividends received on
"taxable preferred shares" as defined in the Income Tax Act), as well as the
application of a 2% tax on the net value of equity repurchases
occurring as of January 1, 2024. Although these tax measures were
not substantively enacted at the reporting date, the consolidated
financial statements reflect, since January 1, 2024, the denial of
the deduction in respect of the dividends covered by Bill
C-59.
During fiscal 2023, the Government of Canada
proposed to implement the Pillar 2 rules (global minimum tax)
published by the Organisation for Economic Co-operation and
Development (OECD) that will apply to fiscal years beginning on or
after December 31, 2023 (November 1, 2024 for the Bank). To date,
the Pillar 2 rules have not yet been included in a bill in
Canada but have been included in a bill or enacted in certain
jurisdictions where the Bank operates. The Pillar 2 rules do not
apply to this fiscal year, and the Bank is currently assessing its
income tax exposure arising from these rules.
Capital Management
Capital management has a dual role of ensuring
a competitive return to the Bank's shareholders while maintaining a
solid capital foundation that covers the risks inherent to the
Bank's business activities, supports its business segments, and
protects its clients. The Bank's capital management policy defines
the guiding principles as well as the roles and responsibilities of
its internal capital adequacy assessment process. This process aims
to determine the capital that the Bank needs to maintain to pursue
its business activities and accommodate unexpected losses arising
from extremely adverse economic and operational conditions. For
additional information on the capital management framework, see the
Capital Management section on pages 53 to 61 of the Bank's
2023 Annual
Report.
Basel
Accord
The Bank and all other major Canadian banks have
to maintain the following minimum capital ratios established by
OSFI: a CET1 capital ratio of at least 11.5%, a Tier 1 capital
ratio of at least 13.0%, and a Total capital ratio of at least
15.0%. For additional information on the ratio calculations, see
pages 54 and 55 of the 2023
Annual Report. All of these ratios include a capital
conservation buffer of 2.5% established by the BCBS and OSFI, a
1.0% surcharge applicable solely to Domestic Systemically Important
Banks (D‑SIBs), and a 3.5% domestic stability buffer (DSB)
established by OSFI. The DSB, which can vary from 0%
to 4.0% of risk-weighted assets (RWA), consists exclusively of CET1
capital. A D-SIB that fails to meet this buffer requirement will
not be subject to automatic constraints to reduce capital
distributions but will have to provide a remediation plan to
OSFI. The Bank must also meet the
requirements of the capital output floor that will ensure that its
total calculated RWA is not below 72.5% of the total RWA as
calculated under the Basel III Standardized Approaches.
OSFI is allowing a phase-in of the floor factor over three
years, starting at 65.0% in the second quarter of 2023 and rising
2.5% per year to reach 72.5% in fiscal 2026. For fiscal 2024, the
floor factor is set at 67.5%. If the capital requirement is
less than the capital output floor requirement after applying the
floor factor, the difference is added to the total RWA. Lastly,
OSFI requires D-SIBs to maintain a Basel III leverage ratio of at
least 3.5%, which includes a Tier 1 capital buffer of 0.5%
applicable only to D-SIBs. For additional information on the
leverage ratio calculation, see page 55 of the 2023 Annual Report.
In the first quarter of 2024, the Bank
implemented OSFI's finalized guidance of the revised market risk
framework, consistent with the BCBS's Fundamental Review of the
Trading Book (FRTB) as well as the revised credit valuation
adjustment (CVA) risk framework. For both market risk and CVA, the
Bank uses the sensitivities-based Standardized Approach (SA) for
computing RWA. The implementation of these revised frameworks, on
November 1, 2023, had a negative impact of 38 bps on the
Bank's CET1 capital ratio.
In addition, OSFI requires that regulatory
capital instruments other than common equity must have a
non-viability contingent capital (NVCC) clause to ensure that
investors bear losses before taxpayers should the government
determine that rescuing a non-viable financial institution is in
the public interest. The Bank's regulatory capital instruments,
other than common shares, all have an NVCC clause.
OSFI's Total
Loss Absorbing Capacity (TLAC) Guideline, which applies to all D-SIBs
under the federal government's bail-in regulations, is to ensure
that a D-SIB has sufficient loss-absorbing capacity to support its
internal recapitalization in the unlikely event it becomes
non-viable. Available TLAC includes total capital as well as
certain senior unsecured debts that satisfy all of the eligibility
criteria of OSFI's TLAC guideline. OSFI requires D-SIBs to maintain
a risk-based TLAC ratio of at least 25.0% (including the DSB) of
risk-weighted assets and a TLAC leverage ratio of at least 7.25%.
The TLAC ratio is calculated by dividing available TLAC by
risk‑weighted assets, and the TLAC leverage ratio is calculated by
dividing available TLAC by total exposure. As at
January 31, 2024, outstanding liabilities of
$19.7 billion ($17.7 billion as at October 31, 2023)
were subject to conversion under the bail-in
regulations.
Requirements
- Regulatory
Capital(1),
Leverage(1), and
TLAC(2) Ratios
|
|
|
|
|
|
|
|
|
|
|
Requirements as at
January 31, 2024
|
|
Ratios as at
January 31, 2024
|
|
Minimum
|
|
|
Capital
conservation
buffer
|
|
|
Minimum
set by
BCBS
|
|
|
D-SIB
surcharge
|
|
|
Minimum
set by
OSFI(3)
|
|
|
Domestic
stability
buffer(4)
|
|
|
Minimum set by
OSFI(3), including the domestic stability buffer
|
|
|
|
|
|
Capital ratios
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CET1
|
4.5
|
%
|
|
2.5
|
%
|
|
7.0
|
%
|
|
1.0
|
%
|
|
8.0
|
%
|
|
3.5
|
%
|
|
11.5
|
%
|
|
13.1
|
%
|
|
|
Tier 1
|
6.0
|
%
|
|
2.5
|
%
|
|
8.5
|
%
|
|
1.0
|
%
|
|
9.5
|
%
|
|
3.5
|
%
|
|
13.0
|
%
|
|
15.5
|
%
|
|
|
Total
|
8.0
|
%
|
|
2.5
|
%
|
|
10.5
|
%
|
|
1.0
|
%
|
|
11.5
|
%
|
|
3.5
|
%
|
|
15.0
|
%
|
|
16.2
|
%
|
|
Leverage ratio
|
3.0
|
%
|
|
n.a.
|
|
|
3.0
|
%
|
|
0.5
|
%
|
|
3.5
|
%
|
|
n.a.
|
|
|
3.5
|
%
|
|
4.3
|
%
|
|
TLAC ratio
|
21.5
|
%
|
|
n.a.
|
|
|
21.5
|
%
|
|
n.a.
|
|
|
21.5
|
%
|
|
3.5
|
%
|
|
25.0
|
%
|
|
28.1
|
%
|
|
TLAC leverage ratio
|
6.75
|
%
|
|
n.a.
|
|
|
6.75
|
%
|
|
0.5
|
%
|
|
7.25
|
%
|
|
n.a.
|
|
|
7.25
|
%
|
|
7.8
|
%
|
|
n.a. Not
applicable
(1) The capital ratios and the leverage ratio are calculated in
accordance with the Basel III rules, as set out in OSFI's
Capital Adequacy Requirements
Guideline and Leverage
Requirements Guideline.
(2) The TLAC ratio and the TLAC leverage ratio are calculated in
accordance with OSFI's Total Loss
Absorbing Capacity Guideline.
(3) The capital ratios and the TLAC ratio include the capital
conservation buffer and the D-SIB surcharge. The minimum leverage
ratio and the TLAC leverage ratio include a Tier 1 capital buffer
of 0.5% (surcharge related to D-SIBs).
(4) On December 8, 2023, OSFI confirmed that the domestic
stability buffer was being maintained at 3.5%.
The Bank ensures that its capital levels are
always above the minimum capital requirements set by OSFI,
including the DSB. By maintaining a strong capital structure, the
Bank can cover the risks inherent to its business activities,
support its business segments, and protect its clients.
Other disclosure requirements pursuant to
Pillar 3 of the Basel Accord and a set of recommendations defined
by the Enhanced Disclosure Task Force (EDTF) are presented in the
Supplementary Regulatory Capital
and Pillar 3 Disclosure report published quarterly and
available on the Bank's website at nbc.ca.
Furthermore, a complete list of capital instruments and their main
features is also available on the Bank's website.
Regulatory
Developments
The Bank closely monitors regulatory
developments and participates actively in various consultative
processes. During the first quarter of 2024, the Bank implemented
the revised market risk and CVA risk
frameworks. Since November 1, 2023, there have been no
other new regulatory developments to be considered.
Management
Activities
On December 12, 2023, the Bank began a
normal course issuer bid to repurchase for cancellation up to
7,000,000 common shares (representing approximately 2.1% of its
then outstanding common shares) over the 12-month period ending no
later than December 11, 2024. During the quarter ended
January 31, 2024, the Bank did not repurchase any common
shares.
On February 5, 2024, the Bank issued
medium-term notes for a total amount of $500 million bearing
interest at 5.279% and maturing on February 15, 2034.
Given that the medium-term notes satisfy the NVCC requirements,
they qualify for the purposes of calculating regulatory capital
under the Basel III rules and will be included in the capital
ratio calculations as of the second quarter of 2024.
Dividends
On February 27, 2024, the Board of Directors
declared regular dividends on the various series of first preferred
shares and a dividend of $1.06 per common share, payable
on May 1, 2024 to shareholders of record on March 25, 2024.
Shares, Other
Equity Instruments, and Stock Options
|
|
As at January 31,
2024
|
|
|
|
Number of shares
or
LRCN(1)
|
|
$ million
|
|
First preferred shares
|
|
|
|
|
|
|
Series 30
|
|
14,000,000
|
|
350
|
|
|
Series 32
|
|
12,000,000
|
|
300
|
|
|
Series 38
|
|
16,000,000
|
|
400
|
|
|
Series 40
|
|
12,000,000
|
|
300
|
|
|
Series 42
|
|
12,000,000
|
|
300
|
|
|
|
|
66,000,000
|
|
1,650
|
|
Other equity
instruments
|
|
|
|
|
|
|
LRCN - Series 1
|
|
500,000
|
|
500
|
|
|
LRCN - Series 2
|
|
500,000
|
|
500
|
|
|
LRCN - Series 3
|
|
500,000
|
|
500
|
|
|
|
|
1,500,000
|
|
1,500
|
|
|
|
|
67,500,000
|
|
3,150
|
|
Common shares
|
|
339,166,350
|
|
3,347
|
|
Stock options
|
|
11,892,260
|
|
|
|
(1) Limited Recourse
Capital Notes (LRCN).
As at February 23, 2024, there were
339,170,523 common shares and 11,838,014 stock options
outstanding. NVCC provisions require the conversion of
capital instruments into a variable number of common shares should
OSFI deem a bank to be non-viable or should the government publicly
announce that a bank has accepted or agreed to accept a capital
injection. If an NVCC trigger event were to occur, all of the
Bank's preferred shares, LRCNs, and medium-term notes maturing on
August 16, 2032, which are NVCC capital instruments, would be
converted into common shares of the Bank according to an automatic
conversion formula at a conversion price corresponding to the
greater of the following amounts: (i) a $5.00 contractual floor
price; or (ii) the market price of the Bank's common shares on
the date of the trigger event (10-day weighted average price).
Based on a $5.00 floor price and including an estimate for accrued
dividends and interest, these NVCC capital instruments would be
converted into a maximum of 870 million Bank common shares,
which would have a 71.9% dilutive effect based on the number of
Bank common shares outstanding as at
January 31, 2024.
Movement in
Regulatory Capital(1)
(millions of Canadian
dollars)
|
|
|
|
Quarter
ended
January 31,
2024
|
|
Common Equity Tier 1 (CET1) capital
|
|
|
|
|
|
Balance at beginning
|
|
|
|
16,920
|
|
|
Issuance of common shares
(including Stock Option Plan)
|
|
|
|
45
|
|
|
Impact of shares purchased or sold
for trading
|
|
|
|
2
|
|
|
Repurchase of common
shares
|
|
|
|
−
|
|
|
Other contributed
surplus
|
|
|
|
1
|
|
|
Dividends on preferred and common
shares and distributions on other equity instruments
|
|
|
|
(402)
|
|
|
|
|
|
|
|
|
|
|
Net income attributable to the
Bank's shareholders and holders of other equity
instruments
|
|
|
|
922
|
|
|
Removal of own credit spread (net
of income taxes)
|
|
|
|
220
|
|
|
Impact of IFRS 17
adoption
|
|
|
|
(94)
|
|
|
Other
|
|
|
|
(128)
|
|
|
|
|
|
|
|
|
|
|
Movements in accumulated other
comprehensive income
|
|
|
|
|
|
|
|
Translation adjustments
|
|
|
|
(174)
|
|
|
|
Debt securities at fair value
through other comprehensive income
|
|
|
|
48
|
|
|
|
Other
|
|
|
|
−
|
|
|
Change in goodwill and intangible
assets (net of related tax liability)
|
|
|
|
26
|
|
|
Other, including regulatory
adjustments
|
|
|
|
|
|
|
|
Change in defined benefit pension
plan asset (net of related tax liability)
|
|
|
|
(31)
|
|
|
|
Change in amount exceeding 15%
threshold
|
|
|
|
|
|
|
|
Deferred tax
assets
|
|
|
|
−
|
|
|
|
Significant
investment in common shares of financial institutions
|
|
|
|
−
|
|
|
|
Deferred tax assets, unless they
result from temporary differences (net of related tax
liability)
|
|
|
|
(3)
|
|
|
|
Other deductions or regulatory
adjustments to CET1 implemented by OSFI
|
|
|
|
(2)
|
|
|
|
Change in other regulatory
adjustments
|
|
|
|
−
|
|
Balance at end
|
|
|
|
17,350
|
|
Additional Tier 1 capital
|
|
|
|
|
|
Balance at beginning
|
|
|
|
3,148
|
|
|
New Tier 1 eligible capital
issuances
|
|
|
|
−
|
|
|
Redeemed capital
|
|
|
|
−
|
|
|
Other, including regulatory
adjustments
|
|
|
|
−
|
|
Balance at end
|
|
|
|
3,148
|
|
Total Tier 1 capital
|
|
|
|
20,498
|
|
Tier 2 capital
|
|
|
|
|
|
Balance at beginning
|
|
|
|
988
|
|
|
New Tier 2 eligible capital
issuances
|
|
|
|
−
|
|
|
Redeemed capital
|
|
|
|
−
|
|
|
Tier 2 instruments issued by
subsidiaries and held by third parties
|
|
|
|
−
|
|
|
Change in certain allowances for
credit losses
|
|
|
|
(59)
|
|
|
Other, including regulatory
adjustments
|
|
|
|
(4)
|
|
Balance at end
|
|
|
|
925
|
|
Total regulatory capital
|
|
|
|
21,423
|
|
(1) See the Financial Reporting Method section on pages 4 to 8
for additional information on capital management
measures.
Risk-Weighted
Assets by Key Risk Drivers
Risk-weighted assets (RWA) amounted to
$132.4 billion as at January 31, 2024 compared to
$125.6 billion as at October 31, 2023, a
$6.8 billion increase resulting from organic growth in RWA, a
deterioration in the credit quality of the loan portfolio, and
methodology changes mainly related to the implementation of OSFI's
revised market risk and CVA risk frameworks, partly offset by
foreign exchange movements. The changes in the Bank's RWA by risk
type are presented in the following table.
Movement of
Risk-Weighted Assets by Key
Drivers(1)
(millions of Canadian
dollars)
|
|
|
Quarter
ended
|
|
|
January 31,
2024
|
|
October 31,
2023
|
|
|
|
|
Non-counterparty
credit
risk
|
|
Counterparty
credit
risk
|
|
Total
|
|
Total
|
|
Credit risk - Risk-weighted assets at
beginning
|
99,808
|
|
7,337
|
|
107,145
|
|
102,087
|
|
|
Book size
|
4,246
|
|
774
|
|
5,020
|
|
2,288
|
|
|
Book quality
|
438
|
|
(3)
|
|
435
|
|
1,045
|
|
|
Model updates
|
(31)
|
|
−
|
|
(31)
|
|
(107)
|
|
|
Methodology and policy
|
(825)
|
|
(1,804)
|
|
(2,629)
|
|
−
|
|
|
Acquisitions and
disposals
|
−
|
|
−
|
|
−
|
|
−
|
|
|
Foreign exchange
movements
|
(997)
|
|
(105)
|
|
(1,102)
|
|
1,832
|
|
Credit risk - Risk-weighted assets at end
|
102,639
|
|
6,199
|
|
108,838
|
|
107,145
|
|
Market risk - Risk-weighted assets at
beginning
|
|
|
|
|
5,662
|
|
5,985
|
|
|
Movement in risk
levels(2)
|
|
|
|
|
(352)
|
|
(323)
|
|
|
Model updates
|
|
|
|
|
−
|
|
−
|
|
|
Methodology and policy
|
|
|
|
|
4,838
|
|
−
|
|
|
Acquisitions and
disposals
|
|
|
|
|
−
|
|
−
|
|
Market risk - Risk-weighted assets at end
|
|
|
|
|
10,148
|
|
5,662
|
|
Operational risk - Risk-weighted assets at
beginning
|
|
|
|
|
12,785
|
|
12,490
|
|
|
Movement in risk levels
|
|
|
|
|
599
|
|
295
|
|
|
Methodology and policy
|
|
|
|
|
−
|
|
−
|
|
|
Acquisitions and
disposals
|
|
|
|
|
−
|
|
−
|
|
Operational risk - Risk-weighted assets at
end
|
|
|
|
|
13,384
|
|
12,785
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk-weighted assets at end
|
|
|
|
|
132,370
|
|
125,592
|
|
(1)
See the Financial Reporting Method section on
pages 4 to 8 for additional information on capital management
measures.
(2)
Also includes foreign exchange rate movements
that are not considered material.
The table above provides risk-weighted asset
movements by the key drivers underlying the different risk
categories.
The Book
size item reflects organic changes in book size and
composition (including new loans and maturing loans). RWA movements
attributable to book size include increases or decreases in
exposures, measured by exposure at default, assuming a stable risk
profile.
The Book
quality item is the Bank's best estimate of changes in book
quality related to experience, such as underlying customer
behaviour or demographics, including changes resulting from model
recalibrations or realignments and also including risk mitigation
factors.
The Model
updates item is used to reflect implementations of new
models, changes in model scope, and any other change applied to
address model malfunctions.
The Methodology and policy item presents
the impact of changes in calculation methods resulting from changes
in regulatory policies or from new regulations. During the first
quarter of 2024, the Bank refined the credit risk RWA calculation
related to derivatives and certain non-retail exposures. The Bank
also implemented OSFI's revised market risk and CVA risk
frameworks.
Regulatory Capital
Ratios, Leverage Ratio, and TLAC Ratios
As at January 31, 2024, the Bank's CET1, Tier
1, and Total capital ratios were, respectively, 13.1%, 15.5%, and
16.2% compared to ratios of, respectively, 13.5%, 16.0%, and 16.8%
as at October 31, 2023. All of the capital ratios
decreased since October 31, 2023, essentially due to RWA growth and
to the impact of implementing OSFI's revised market risk and CVA
risk frameworks. These factors were partly offset by the positive
contribution from net income, net of dividends, and common share
issuances under the Stock Option Plan.
As at January 31, 2024, the leverage ratio was
4.3% compared to 4.4% as at October 31, 2023. The
decrease in the leverage ratio was essentially due to growth in
total exposure, partly offset by growth in Tier 1
capital.
As at January 31, 2024, the Bank's TLAC ratio and
TLAC leverage ratio were, respectively, 28.1% and 7.8% compared to
29.2% and 8.0%, respectively, as at October 31, 2023.
The decrease in the TLAC ratio is explained by the same
factors described for the capital ratios, partly offset by net
issuances of instruments that met the TLAC eligibility criteria
during the period. The decrease in the TLAC leverage ratio was due
to the same factors as those provided for the leverage ratio,
partly offset by the net TLAC instrument
issuances.
During the quarter ended January 31, 2024, the
Bank was compliant with all of OSFI's regulatory capital, leverage,
and TLAC requirements.
Regulatory
Capital(1),
Leverage
Ratio(1) and
TLAC(2)
(millions of Canadian
dollars)
|
|
As at January 31,
2024
|
|
|
As at
October 31, 2023
|
|
|
Capital
|
|
|
|
|
|
|
|
|
CET1
|
|
17,350
|
|
|
16,920
|
|
|
|
Tier 1
|
|
20,498
|
|
|
20,068
|
|
|
|
Total
|
|
21,423
|
|
|
21,056
|
|
|
Risk-weighted assets
|
|
132,370
|
|
|
125,592
|
|
|
Total exposure
|
|
478,484
|
|
|
456,478
|
|
|
Capital ratios
|
|
|
|
|
|
|
|
|
CET1
|
|
13.1
|
%
|
|
13.5
|
%
|
|
|
Tier 1
|
|
15.5
|
%
|
|
16.0
|
%
|
|
|
Total
|
|
16.2
|
%
|
|
16.8
|
%
|
|
Leverage ratio
|
|
4.3
|
%
|
|
4.4
|
%
|
|
Available TLAC
|
|
37,162
|
|
|
36,732
|
|
|
TLAC ratio
|
|
28.1
|
%
|
|
29.2
|
%
|
|
TLAC leverage ratio
|
|
7.8
|
%
|
|
8.0
|
%
|
|
(1) Capital, risk-weighted assets, total exposure, the capital
ratios, and the leverage ratio are calculated in accordance with
the Basel III rules, as set out in OSFI's Capital Adequacy Requirements
Guideline and Leverage
Requirements Guideline.
(2) Available TLAC, the TLAC ratio, and the TLAC leverage ratio
are calculated in accordance with OSFI's Total Loss Absorbing Capacity
Guideline.
Public
Disclosure Requirements for Global Systemically Important
Banks
The BCBS developed an assessment methodology
and additional loss absorbency requirements as well as indicators
to be used by the BCBS and the Financial Stability Board to
evaluate Global Systemically Important Banks (G-SIBs). The annual
public disclosure requirements apply to large, globally active
banks.
The most recent version of OSFI's advisory
entitled Global Systemically
Important Banks - Public Disclosure Requirements
regarding implementation of public disclosure requirements
for G-SIBs in Canada took effect in 2022. Canadian banks, including
the Bank, that have not been designated as G‑SIBs and that have
total exposure (as calculated using the Basel III leverage ratio)
greater than 200 billion euros at fiscal year-end must publish
the indicators annually. The indicators are calculated and
presented in accordance with specific BCBS guidance, which is
updated annually. Consequently, the values obtained may not be
comparable to the other measures presented in this report. The
following table presents the indicators used in the BCBS's
assessment methodology for evaluating G-SIBs.
Indicators
- Global Systemically Important Banks
(G-SIBs)(1)
(millions of Canadian
dollars)
|
|
As at
October 31
|
|
Category
|
Indicators
|
|
2023
|
|
2022
|
|
Cross-jurisdictional
activity(2)
|
Cross-jurisdictional
claims
|
|
117,016
|
|
97,929
|
|
|
Cross-jurisdictional
liabilities
|
|
90,476
|
|
75,961
|
|
Size(3)
|
Total exposures as defined for use
in the Basel III leverage ratio(4)
|
|
459,090
|
|
429,692
|
|
Interconnectedness(5)
|
Intra-financial system
assets(4)
|
|
73,022
|
|
66,590
|
|
|
Intra-financial system
liabilities(4)
|
|
38,238
|
|
42,806
|
|
|
Securities
outstanding(4)
|
|
109,831
|
|
105,572
|
|
Substitutability / financial
institutions infrastructure(6)
|
Payment
activity(7)
|
|
16,801,902
|
|
17,366,801
|
|
|
Assets under custody
|
|
652,463
|
|
615,973
|
|
|
Underwritten transactions in debt
and equity markets
|
|
31,821
|
|
26,017
|
|
|
Trading
volume(8)
|
|
|
|
|
|
|
Fixed-income
securities(8)
|
|
845,554
|
|
829,877
|
|
|
Equities and other
securities(8)
|
|
1,124,984
|
|
1,335,166
|
|
Complexity(9)
|
Notional amount of
over-the-counter derivative financial
instruments(4)
|
|
1,847,636
|
|
1,816,770
|
|
|
Trading and investment
securities
|
|
63,407
|
|
49,493
|
|
|
Level 3 financial
assets(4)
|
|
1,226
|
|
1,128
|
|
(1) The G-SIB indicators are prepared using the methodology
prescribed in the BCBS guidelines published in July 2018 and are
calculated using the specific instructions updated by the BCBS each
year.
(2) Represents the Bank's level of interaction outside
Canada.
(3) Represents the Bank's total on-and-off balance sheet
exposures, as determined by OSFI's Basel III leverage ratio rules
before regulatory adjustments.
(4) Includes insurance activities.
(5) Represents transactions with other financial
institutions.
(6) Represents the extent to which the Bank's services could be
substituted by other institutions.
(7) For the fiscal years ended October 31, 2023 and
2022.
(8) This indicator consists of two sub-indicators: fixed-income
securities as well as equities and other securities.
(9) Includes the level of complexity and volume of the Bank's
trading activities represented through derivative financial
instruments, trading securities, investment securities, and Level 3
financial assets.
Risk Management
Risk-taking is intrinsic to a financial
institution's business. The Bank views risk as an integral part of
its development and the diversification of its activities. It
advocates a risk management approach that is consistent with its
business strategy. The Bank voluntarily exposes itself to certain
risk categories, particularly credit and market risk, in order to
generate revenue. It also assumes certain risks that are inherent
to its activities-to which it does not choose to expose itself-and
that do not generate revenue, i.e., mainly operational risks.
Despite the exercise of stringent risk management
and existing mitigation measures, risk cannot be eliminated
entirely, and residual risks may occasionally cause losses. Certain
risks are discussed hereafter. For additional information, see the
Risk Management section on pages 62 to 106 of the 2023 Annual Report. Risk
management information is also provided in Note 6 to these
consolidated financial statements, which covers loans.
Credit Risk
Credit risk is the risk of incurring a financial
loss if an obligor does not fully honour its contractual
commitments to the Bank. Obligors may be debtors, issuers,
counterparties, or guarantors. Credit risk is the most significant
risk facing the Bank in the normal course of business.
Between March 2, 2022 and July 12, 2023, the
Bank of Canada raised its policy rate ten times; the rate has thus
risen from 0.25% to 5%. For the announcements of December 6, 2023
and January 24, 2024, the central bank opted for a pause, holding
the policy rate steady. This rapid increase in rates, undertaken
primarily to counter inflation in Canada, is putting pressure on
the ability of borrowers to make payments, notably borrowers with
variable-rate mortgages or for whom the mortgage term is up for
renewal.
Regulatory Developments
The Bank closely monitors regulatory
developments and participates actively in various consultative
processes. For additional information about the regulatory context
on October 31, 2023, see page 77 of the Risk Management
section of the 2023 Annual
Report. In addition, since November 1, 2023, the
below-described regulatory development should also be
considered.
On February 5, 2024, the Prohibition on the Purchase of Residential
Property by Non-Canadians Act, which was to be in effect
until January 1, 2025, was extended until January 1, 2027.
The amounts in the following tables represent the
Bank's maximum exposure to credit risk as at the financial
reporting date without considering any collateral held or any other
credit enhancements. These amounts do not include allowances for
credit losses nor amounts pledged as collateral. The tables
also exclude equity securities.
Maximum Credit Risk
Exposure Under the Basel Asset Categories(1)
(millions of Canadian
dollars)
|
|
As at January 31,
2024
|
|
|
|
|
Drawn(2)
|
|
Undrawn
commitments
|
|
Repo-style
transactions(3)
|
|
Derivative
financial
instruments
|
|
Other
off-balance-
sheet
items(4)
|
|
|
Total
|
|
Standardized
Approach(5)
|
|
|
IRB
Approach
|
|
|
Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages
|
|
76,847
|
|
9,145
|
|
−
|
|
−
|
|
−
|
|
|
85,992
|
|
12
|
%
|
|
88
|
%
|
|
|
Qualifying revolving
retail
|
|
3,106
|
|
12,290
|
|
−
|
|
−
|
|
−
|
|
|
15,396
|
|
−
|
%
|
|
100
|
%
|
|
|
Other retail
|
|
16,490
|
|
2,742
|
|
−
|
|
−
|
|
32
|
|
|
19,264
|
|
14
|
%
|
|
86
|
%
|
|
|
|
96,443
|
|
24,177
|
|
−
|
|
−
|
|
32
|
|
|
120,652
|
|
|
|
|
|
|
|
Non-retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate
|
|
93,299
|
|
29,754
|
|
42,021
|
|
313
|
|
8,034
|
|
|
173,421
|
|
18
|
%
|
|
82
|
%
|
|
|
Sovereign
|
|
66,682
|
|
5,989
|
|
70,700
|
|
−
|
|
288
|
|
|
143,659
|
|
2
|
%
|
|
98
|
%
|
|
|
Financial institutions
|
|
6,849
|
|
1,000
|
|
103,224
|
|
1,752
|
|
1,404
|
|
|
114,229
|
|
22
|
%
|
|
78
|
%
|
|
|
|
166,830
|
|
36,743
|
|
215,945
|
|
2,065
|
|
9,726
|
|
|
431,309
|
|
|
|
|
|
|
|
Trading portfolio
|
|
−
|
|
−
|
|
−
|
|
14,618
|
|
−
|
|
|
14,618
|
|
2
|
%
|
|
98
|
%
|
|
Securitization
|
|
4,628
|
|
−
|
|
−
|
|
−
|
|
5,321
|
|
|
9,949
|
|
92
|
%
|
|
8
|
%
|
|
Total - Gross credit risk
|
|
267,901
|
|
60,920
|
|
215,945
|
|
16,683
|
|
15,079
|
|
|
576,528
|
|
14
|
%
|
|
86
|
%
|
|
Standardized Approach(5)
|
|
36,059
|
|
1,274
|
|
36,502
|
|
1,731
|
|
5,564
|
|
|
81,130
|
|
|
|
|
|
|
|
IRB Approach
|
|
231,842
|
|
59,646
|
|
179,443
|
|
14,952
|
|
9,515
|
|
|
495,398
|
|
|
|
|
|
|
|
Total - Gross credit risk
|
|
267,901
|
|
60,920
|
|
215,945
|
|
16,683
|
|
15,079
|
|
|
576,528
|
|
14
|
%
|
|
86
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(millions of Canadian
dollars)
|
|
As at
October 31, 2023
|
|
|
|
|
Drawn(2)
|
|
Undrawn
commitments
|
|
Repo-style
transactions(3)
|
|
Derivative
financial
instruments
|
|
Other
off-balance-
sheet
items(4)
|
|
|
Total
|
|
Standardized Approach(5)
|
|
|
IRB
Approach
|
|
|
Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgages
|
|
77,073
|
|
9,094
|
|
−
|
|
−
|
|
−
|
|
|
86,167
|
|
12
|
%
|
|
88
|
%
|
|
|
Qualifying revolving
retail
|
|
3,183
|
|
12,052
|
|
−
|
|
−
|
|
−
|
|
|
15,235
|
|
−
|
%
|
|
100
|
%
|
|
|
Other retail
|
|
16,078
|
|
2,692
|
|
−
|
|
−
|
|
33
|
|
|
18,803
|
|
13
|
%
|
|
87
|
%
|
|
|
|
96,334
|
|
23,838
|
|
−
|
|
−
|
|
33
|
|
|
120,205
|
|
|
|
|
|
|
|
Non-retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate
|
|
91,994
|
|
27,846
|
|
38,549
|
|
385
|
|
6,915
|
|
|
165,689
|
|
18
|
%
|
|
82
|
%
|
|
|
Sovereign
|
|
61,438
|
|
5,921
|
|
61,580
|
|
−
|
|
267
|
|
|
129,206
|
|
3
|
%
|
|
97
|
%
|
|
|
Financial institutions
|
|
6,719
|
|
1,002
|
|
98,222
|
|
3,013
|
|
1,506
|
|
|
110,462
|
|
23
|
%
|
|
77
|
%
|
|
|
|
160,151
|
|
34,769
|
|
198,351
|
|
3,398
|
|
8,688
|
|
|
405,357
|
|
|
|
|
|
|
|
Trading portfolio
|
|
−
|
|
−
|
|
−
|
|
13,778
|
|
−
|
|
|
13,778
|
|
2
|
%
|
|
98
|
%
|
|
Securitization
|
|
4,351
|
|
−
|
|
−
|
|
−
|
|
5,318
|
|
|
9,669
|
|
92
|
%
|
|
8
|
%
|
|
Total - Gross credit risk
|
|
260,836
|
|
58,607
|
|
198,351
|
|
17,176
|
|
14,039
|
|
|
549,009
|
|
15
|
%
|
|
85
|
%
|
|
Standardized Approach(5)
|
|
35,461
|
|
1,260
|
|
34,717
|
|
3,211
|
|
5,568
|
|
|
80,217
|
|
|
|
|
|
|
|
IRB Approach
|
|
225,375
|
|
57,347
|
|
163,634
|
|
13,965
|
|
8,471
|
|
|
468,792
|
|
|
|
|
|
|
|
Total - Gross credit risk
|
|
260,836
|
|
58,607
|
|
198,351
|
|
17,176
|
|
14,039
|
|
|
549,009
|
|
15
|
%
|
|
85
|
%
|
|
(1) See the Financial
Reporting Method section on pages 4 to 8 for additional information
on capital management measures.
(2) Excludes equity
securities and certain other assets such as investments in
deconsolidated subsidiaries and joint ventures, right-of-use
properties and assets, goodwill, deferred tax assets, and
intangible assets.
(3) Securities purchased under reverse repurchase agreements and
sold under repurchase agreements as well as securities loaned and
borrowed.
(4) Letters of guarantee, documentary letters of credit, and
securitized assets that represent the Bank's commitment to make
payments in the event that an obligor cannot meet its financial
obligations to third parties.
(5) Includes exposures to qualifying central counterparties
(QCCP).
To meet OSFI's mortgage loan disclosure
requirements, additional information has been provided in
Supplementary Financial
Information - First Quarter 2024 and in
Supplementary Regulatory Capital
and Pillar 3 Disclosure - First Quarter 2024, which are
available on the Bank's website at nbc.ca.
Market Risk
Market risk is the risk of losses arising from
movements in market prices. The Bank is exposed to
market risk through its participation in trading, investment, and
asset/liability management activities. In recent
years, the Bank has been operating in a volatile
environment. The geopolitical landscape (notably the
Russia-Ukraine war and the clashes between Hamas and Israel),
inflation, climate change, and higher interest rates continue to
create uncertainty.
The following tables provide a breakdown of
the Bank's Consolidated Balance Sheet into financial assets and
liabilities by those that carry market risk and those that do not
carry market risk, distinguishing between trading positions whose
main risk measures are Value-at-Risk (VaR) and non-trading
positions that use other risk measures.
Reconciliation
of Market Risk With Consolidated Balance Sheet
Items
(millions of Canadian
dollars)
|
As at January 31,
2024
|
|
|
|
|
|
Market risk
measures
|
|
|
|
|
|
|
|
|
Balance
sheet
|
|
Trading(1)
|
|
Non-trading(2)
|
|
Not subject to market
risk
|
|
Non-traded
risk
primary risk
sensitivity
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
Cash and deposits with financial
institutions
|
37,399
|
|
1,484
|
|
22,963
|
|
12,952
|
|
Interest
rate(3)
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
At fair value through profit or
loss
|
105,454
|
|
102,082
|
|
3,372
|
|
−
|
|
Interest
rate(3)
and
equity
|
|
|
|
At fair value through other
comprehensive income
|
12,309
|
|
−
|
|
12,309
|
|
−
|
|
Interest
rate(3)
and
equity(4)
|
|
|
|
At amortized cost
|
12,302
|
|
−
|
|
12,302
|
|
−
|
|
Interest
rate(3)
|
|
|
Securities purchased under reverse
repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and securities
borrowed
|
12,926
|
|
−
|
|
12,926
|
|
−
|
|
Interest
rate(3)(5)
|
|
|
Loans and acceptances, net of
allowances
|
230,157
|
|
13,837
|
|
216,320
|
|
−
|
|
Interest
rate(3)
|
|
|
Derivative financial
instruments
|
10,627
|
|
10,444
|
|
183
|
|
−
|
|
Interest rate and exchange
rate
|
|
|
Defined benefit asset
|
394
|
|
−
|
|
394
|
|
−
|
|
Other
|
|
|
Other
|
12,359
|
|
514
|
|
−
|
|
11,845
|
|
|
|
|
|
|
433,927
|
|
128,361
|
|
280,769
|
|
24,797
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
Deposits
|
300,097
|
|
21,455
|
|
278,642
|
|
−
|
|
Interest
rate(3)
|
|
|
Acceptances
|
5,633
|
|
−
|
|
5,633
|
|
−
|
|
Interest
rate(3)
|
|
|
Obligations related to securities
sold short
|
16,140
|
|
16,140
|
|
−
|
|
−
|
|
|
|
|
Obligations related to securities
sold under repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and securities
loaned
|
37,313
|
|
−
|
|
37,313
|
|
−
|
|
Interest
rate(3)(5)
|
|
|
Derivative financial
instruments
|
17,030
|
|
16,466
|
|
564
|
|
−
|
|
Interest rate and exchange
rate
|
|
|
Liabilities related to transferred
receivables
|
25,682
|
|
9,321
|
|
16,361
|
|
−
|
|
Interest
rate(3)
|
|
|
Defined benefit
liability
|
101
|
|
−
|
|
101
|
|
−
|
|
Other
|
|
|
Other
|
7,281
|
|
−
|
|
49
|
|
7,232
|
|
Interest
rate(3)
|
|
|
Subordinated debt
|
749
|
|
−
|
|
749
|
|
−
|
|
Interest
rate(3)
|
|
|
|
410,026
|
|
63,382
|
|
339,412
|
|
7,232
|
|
|
|
(1) Trading positions whose risk measure is total VaR. For
additional information, see the table in the pages ahead and in the
Market Risk section of the 2023
Annual Report that shows the VaR distribution of the trading
portfolios by risk category and their diversification
effect.
(2) Non-trading positions that use other risk
measures.
(3) For additional information, see the table in the pages ahead and in the Market
Risk section of the 2023 Annual
Report that shows the VaR
distribution of the trading portfolios by risk category and their
diversification effect and the interest rate sensitivity
table.
(4) The fair value of equity securities designated at fair value
through other comprehensive income is presented in Notes
3 and 5 to the
consolidated financial statements.
(5) These instruments are recorded at amortized cost and are
subject to credit risk for capital management purposes. For
trading-related transactions with maturities of more than one day,
interest rate risk is included in the VaR
measures.
(millions of Canadian
dollars)
|
As at
October 31, 2023(1)
|
|
|
|
|
|
Market
risk measures
|
|
|
|
|
|
|
|
|
Balance
sheet
|
|
Trading(2)
|
|
Non-trading(3)
|
|
Not
subject to market risk
|
|
Non-traded risk primary
risk
sensitivity
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
Cash and deposits with financial
institutions
|
35,234
|
|
685
|
|
24,950
|
|
9,599
|
|
Interest
rate(4)
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
At fair value through profit or
loss
|
99,994
|
|
98,559
|
|
1,435
|
|
−
|
|
Interest
rate(4) and equity(5)
|
|
|
|
At fair value through other
comprehensive income
|
9,242
|
|
−
|
|
9,242
|
|
−
|
|
Interest
rate(4) and equity(6)
|
|
|
|
Amortized cost
|
12,582
|
|
−
|
|
12,582
|
|
−
|
|
Interest
rate(4)
|
|
|
Securities purchased under reverse
repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and securities
borrowed
|
11,260
|
|
−
|
|
11,260
|
|
−
|
|
Interest
rate(4)(7)
|
|
|
Loans and acceptances, net of
allowances
|
225,443
|
|
12,739
|
|
212,704
|
|
−
|
|
Interest
rate(4)
|
|
|
Derivative financial
instruments
|
17,516
|
|
16,349
|
|
1,167
|
|
−
|
|
Interest
rate(8) and exchange rate(8)
|
|
|
Defined benefit asset
|
356
|
|
−
|
|
356
|
|
−
|
|
Other(9)
|
|
|
Other
|
11,850
|
|
544
|
|
−
|
|
11,306
|
|
|
|
|
|
|
423,477
|
|
128,876
|
|
273,696
|
|
20,905
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
Deposits
|
288,173
|
|
18,126
|
|
270,047
|
|
−
|
|
Interest
rate(4)
|
|
|
Acceptances
|
6,627
|
|
−
|
|
6,627
|
|
−
|
|
Interest
rate(4)
|
|
|
Obligations related to securities
sold short
|
13,660
|
|
13,660
|
|
−
|
|
−
|
|
|
|
|
Obligations related to securities
sold under repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and securities
loaned
|
38,347
|
|
−
|
|
38,347
|
|
−
|
|
Interest
rate(4)(7)
|
|
|
Derivative financial
instruments
|
19,888
|
|
19,145
|
|
743
|
|
−
|
|
Interest
rate(8) and exchange rate(8)
|
|
|
Liabilities related to transferred
receivables
|
25,034
|
|
9,507
|
|
15,527
|
|
−
|
|
Interest
rate(4)
|
|
|
Defined benefit
liability
|
94
|
|
−
|
|
94
|
|
−
|
|
Other(9)
|
|
|
Other
|
7,322
|
|
−
|
|
49
|
|
7,273
|
|
Interest
rate(4)
|
|
|
Subordinated debt
|
748
|
|
−
|
|
748
|
|
−
|
|
Interest
rate(4)
|
|
|
|
399,893
|
|
60,438
|
|
332,182
|
|
7,273
|
|
|
|
(1) Certain amounts have been adjusted to reflect accounting
policy changes arising from the adoption of IFRS 17. For additional
information, see Note 2 to the consolidated financial
statements.
(2) Trading positions whose risk measures are VaR as well as
total SVaR. For additional information, see the table on the following page and in
the Market Risk section of the 2023 Annual Report that shows the VaR distribution of the trading portfolios by
risk category and their diversification effect.
(3) Non-trading positions that use other risk
measures.
(4) For additional information, see the table in the pages ahead and in the Market
Risk section of the 2023 Annual
Report that shows the VaR
distribution of the trading portfolios by risk category and their
diversification effect and the interest rate sensitivity
table.
(5) For additional information, see Note 6 to the audited annual
consolidated financial statements for the year ended
October 31, 2023.
(6) The fair value of equity securities designated at fair value
through other comprehensive income is presented in Notes 3 and 5 to
the consolidated financial statements.
(7) These instruments are recorded at amortized cost and are
subject to credit risk for capital management purposes. For
trading-related transactions with maturities of more than one day,
interest rate risk is included in the VaR and SVaR
measures.
(8) For additional information, see Notes 16 and 17 to the
audited annual consolidated financial statements for the year ended
October 31, 2023.
(9) For additional information, see Note 23 to the audited annual
consolidated financial statements for the year ended
October 31, 2023.
Trading Activities
The table below shows the VaR distribution of
trading portfolios by risk category and their diversification
effect.
VaR of
Trading Portfolios(1)(2)
(millions of Canadian
dollars)
|
|
|
|
Quarter
ended
|
|
|
|
January 31,
2024
|
|
October 31, 2023
|
|
January 31, 2023
|
|
|
|
Low
|
|
High
|
|
Average
|
|
Period end
|
|
Average
|
|
Period
end
|
|
Average
|
|
Period
end
|
|
Interest rate
|
|
(6.5)
|
|
(9.9)
|
|
(8.0)
|
|
(8.5)
|
|
(8.8)
|
|
(8.7)
|
|
(6.7)
|
|
(6.3)
|
|
Exchange rate
|
|
(0.8)
|
|
(5.3)
|
|
(2.5)
|
|
(1.0)
|
|
(3.5)
|
|
(5.0)
|
|
(2.3)
|
|
(2.0)
|
|
Equity
|
|
(4.8)
|
|
(8.6)
|
|
(6.2)
|
|
(6.1)
|
|
(7.6)
|
|
(6.5)
|
|
(7.1)
|
|
(5.8)
|
|
Commodity
|
|
(1.3)
|
|
(2.4)
|
|
(1.8)
|
|
(1.7)
|
|
(1.4)
|
|
(1.6)
|
|
(1.0)
|
|
(0.9)
|
|
Diversification
effect(3)
|
|
n.m.
|
|
n.m.
|
|
8.3
|
|
7.2
|
|
10.8
|
|
10.4
|
|
8.5
|
|
7.4
|
|
Total trading VaR
|
|
(8.4)
|
|
(12.2)
|
|
(10.2)
|
|
(10.1)
|
|
(10.5)
|
|
(11.4)
|
|
(8.6)
|
|
(7.6)
|
|
n.m. Computation of a
diversification effect for the high and low is not meaningful, as
highs and lows may occur on different days and be attributable to
different types of risk.
(1) See the Glossary section on pages 43 to 46 for details on the
composition of these measures.
(2) Amounts are presented on a pre-tax basis and represent
one-day VaR using a 99% confidence level.
(3) The total trading VaR is less than the sum of the individual
risk factor VaR results due to the diversification
effect.
The average total trading VaR remained
relatively stable between the fourth quarter of 2023 and the first
quarter of 2024.
Daily Trading and Underwriting
Revenues
The following chart shows daily trading and
underwriting revenues and VaR. During the quarter ended
January 31, 2024, daily trading and underwriting revenues were
positive 95% of the days. In addition, two trading days were marked
by daily trading and underwriting net losses of more than
$1 million. None of these losses exceeded the VaR.
Quarter Ended
January 31, 2024
(millions of Canadian
dollars)
Interest Rate Sensitivity -
Non-Trading Activities (Before Tax)
The following table presents the potential
before-tax impact of an immediate and sustained 100-basis-point
increase or of an immediate and sustained 100‑basis-point decrease
in interest rates on the economic value of equity and on the net
interest income of the Bank's non-trading portfolios for the next
12 months, assuming no further hedging is
undertaken.
(millions of Canadian
dollars)
|
|
As at January 31,
2024
|
|
|
|
As at
October 31, 2023
|
|
|
|
Canadian
dollar
|
|
Other
currencies
|
|
Total
|
|
Canadian
dollar
|
|
Other
currencies
|
|
Total
|
|
Impact on equity
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100-basis-point increase in the
interest rate
|
|
(335)
|
|
27
|
|
(308)
|
|
(297)
|
|
2
|
|
(295)
|
|
100-basis-point decrease in the
interest rate
|
|
336
|
|
(29)
|
|
307
|
|
272
|
|
7
|
|
279
|
|
Impact on net interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100-basis-point increase in the
interest rate
|
|
78
|
|
(6)
|
|
72
|
|
73
|
|
1
|
|
74
|
|
100-basis-point decrease in the
interest rate
|
|
(102)
|
|
1
|
|
(101)
|
|
(103)
|
|
1
|
|
(102)
|
|
Liquidity and Funding Risk
Liquidity and funding risk is the risk that the
Bank will be unable to honour daily cash and financial obligations
without resorting to costly and untimely measures. Liquidity
and funding risk arises when sources of funds become insufficient
to meet scheduled payments under the Bank's commitments.
Liquidity risk stems from mismatched cash flows
related to assets and liabilities as well as the characteristics of
certain products such as credit commitments and non-fixed-term
deposits.
Funding risk is defined as the risk
to the Bank's ongoing ability to raise sufficient funds to finance
actual or proposed business activities on an unsecured or secured
basis at an acceptable price. The funding management priority is to
achieve an optimal balance between deposits, securitization,
secured funding, and unsecured funding. This brings optimal
stability to the funding and reduces vulnerability to unpredictable
events.
Regulatory Developments
The Bank continues to closely monitor regulatory
developments and participates actively in various consultative
processes. For additional information about the regulatory context
as at October 31, 2023, refer to page 91 of the Risk
Management section in the 2023
Annual Report. Since November 1, 2023, there has been a
regulatory development to be considered.
On October 31, 2023, OSFI announced its decision
on reviewing the Liquidity
Adequacy Requirements (LAR) Guideline with respect to
wholesale funding sources with retail-like characteristics,
specifically high-interest savings account exchange-traded funds
(HISA ETFs). OSFI determined these sources to be unsecure wholesale
funding provided by other legal entities. Despite some retail-like
characteristics and term agreements with depositors, the fact that
these products are held directly by fund managers led OSFI to
conclude that a 100% run-off factor for these products was
appropriate. As a result, deposit-taking institutions exposed to
such funding must hold sufficient high-quality liquid assets to
support all HISA ETF balances that can be withdrawn within 30 days.
Since January 31, 2024, all deposit-taking institutions were
required to transition the measurement and related reporting to the
run-off treatment specified in the LAR guideline. Moreover, changes
for reporting LCR were calculated retrospectively to the start of
the quarter to account for daily fluctuations in the ratio
(November 1, 2023 for the Bank).
Liquidity
Management
Liquid
Assets
To protect depositors and creditors from
unexpected crisis situations, the Bank holds a portfolio of
unencumbered liquid assets that can be readily liquidated to meet
financial obligations. The majority of the unencumbered liquid
assets are held in Canadian or U.S. dollars. Moreover, all assets
that can be quickly monetized are considered liquid assets. The
Bank's liquidity reserves do not factor in the availability of the
emergency liquidity facilities of central banks. The following
tables provide information on the Bank's encumbered and
unencumbered assets.
Liquid Asset
Portfolio(1)
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
As at
January 31,
2024
|
|
As at
October 31,
2023
|
|
|
|
|
|
Bank-owned
liquid assets(2)
|
|
Liquid
assets
received(3)
|
|
Total
liquid
assets
|
|
Encumbered
liquid
assets(4)
|
|
Unencumbered
liquid
assets
|
|
Unencumbered
liquid assets
|
|
Cash and deposits with financial
institutions
|
|
37,399
|
|
−
|
|
37,399
|
|
9,540
|
|
27,859
|
|
25,944
|
|
Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issued or guaranteed by the
Canadian government, U.S.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury, other U.S. agencies and
other foreign governments
|
|
35,137
|
|
41,301
|
|
76,438
|
|
44,122
|
|
32,316
|
|
29,062
|
|
|
Issued or guaranteed by Canadian
provincial and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
municipal governments
|
|
13,026
|
|
6,700
|
|
19,726
|
|
13,143
|
|
6,583
|
|
6,403
|
|
|
Other debt securities
|
|
8,620
|
|
4,148
|
|
12,768
|
|
3,115
|
|
9,653
|
|
10,095
|
|
|
Equity securities
|
|
73,282
|
|
47,198
|
|
120,480
|
|
91,092
|
|
29,388
|
|
27,253
|
|
Loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities backed by insured
residential mortgages
|
|
13,190
|
|
−
|
|
13,190
|
|
6,966
|
|
6,224
|
|
6,140
|
|
As at January 31, 2024
|
|
180,654
|
|
99,347
|
|
280,001
|
|
167,978
|
|
112,023
|
|
|
|
As at October 31, 2023
|
|
169,888
|
|
87,919
|
|
257,807
|
|
152,910
|
|
|
|
104,897
|
|
(millions of Canadian
dollars)
|
|
As at January 31,
2024
|
|
As at
October 31, 2023
|
|
Unencumbered liquid assets by entity
|
|
|
|
|
|
|
National Bank (parent)
|
|
62,453
|
|
55,626
|
|
|
Domestic subsidiaries
|
|
9,427
|
|
10,013
|
|
|
Foreign subsidiaries and
branches
|
|
40,143
|
|
39,258
|
|
|
|
|
|
112,023
|
|
104,897
|
|
|
|
|
|
|
|
| |
(millions of Canadian
dollars)
|
|
As at January 31,
2024
|
|
As at
October 31, 2023
|
|
Unencumbered liquid assets by currency
|
|
|
|
|
|
|
Canadian dollar
|
|
54,284
|
|
51,882
|
|
|
U.S. dollar
|
|
43,071
|
|
35,243
|
|
|
Other currencies
|
|
14,668
|
|
17,772
|
|
|
|
|
|
112,023
|
|
104,897
|
|
|
|
|
|
|
|
| |
Liquid Asset
Portfolio(1) -
Average(5)
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
Quarter
ended
|
|
|
|
|
|
|
|
|
|
|
|
January 31,
2024
|
|
October
31, 2023
|
|
|
|
|
|
Bank-owned
liquid
assets(2)
|
|
Liquid
assets
received(3)
|
|
Total
liquid
assets
|
|
Encumbered
liquid
assets(4)
|
|
Unencumbered
liquid assets
|
|
Unencumbered
liquid
assets
|
|
Cash and deposits with financial
institutions
|
|
36,130
|
|
−
|
|
36,130
|
|
9,421
|
|
26,709
|
|
27,651
|
|
Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issued or guaranteed by the
Canadian government, U.S.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury, other U.S. agencies and
other foreign governments
|
|
36,401
|
|
46,383
|
|
82,784
|
|
48,520
|
|
34,264
|
|
23,902
|
|
|
Issued or guaranteed by Canadian
provincial and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
municipal governments
|
|
13,978
|
|
6,775
|
|
20,753
|
|
14,801
|
|
5,952
|
|
8,214
|
|
|
Other debt securities
|
|
9,380
|
|
4,170
|
|
13,550
|
|
3,225
|
|
10,325
|
|
10,350
|
|
|
Equity securities
|
|
78,254
|
|
48,226
|
|
126,480
|
|
92,580
|
|
33,900
|
|
32,820
|
|
Loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities backed by insured
residential mortgages
|
|
12,648
|
|
−
|
|
12,648
|
|
6,837
|
|
5,811
|
|
5,342
|
|
|
|
186,791
|
|
105,554
|
|
292,345
|
|
175,384
|
|
116,961
|
|
108,279
|
|
(1) See the Financial Reporting Method section on pages 4 to 8
for additional information on capital management
measures.
(2) Bank-owned liquid assets include assets for which there are
no legal or geographic restrictions.
(3) Securities received as collateral with respect to securities
financing and derivative transactions and securities purchased
under reverse repurchase agreements and securities
borrowed.
(4) In the normal course of its funding activities, the Bank
pledges assets as collateral in accordance with standard terms.
Encumbered liquid assets include assets used to cover short sales,
obligations related to securities sold under repurchase agreements
and securities loaned, guarantees related to security-backed loans
and borrowings, collateral related to derivative financial
instrument transactions, asset-backed securities, and liquid assets
legally restricted from transfers.
(5) The average is based on the sum of the end-of-period balances
of the three months of the quarter divided by three.
Summary of
Encumbered and Unencumbered
Assets(1)
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
|
As at January 31,
2024
|
|
|
|
|
Encumbered
assets(2)
|
|
Unencumbered
assets
|
|
Total
|
|
Encumbered
assets as a
%
of total
assets
|
|
|
|
|
Pledged as
collateral
|
|
Other(3)
|
|
Available
as
collateral
|
|
Other(4)
|
|
|
|
|
|
Cash and deposits with financial
institutions
|
|
447
|
|
9,093
|
|
27,859
|
|
−
|
|
37,399
|
|
2.2
|
|
Securities
|
|
52,125
|
|
−
|
|
77,940
|
|
−
|
|
130,065
|
|
12.0
|
|
Securities purchased under reverse
repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and securities
borrowed
|
|
−
|
|
12,926
|
|
−
|
|
−
|
|
12,926
|
|
3.0
|
|
Loans and acceptances, net of
allowances
|
|
35,952
|
|
−
|
|
6,224
|
|
187,981
|
|
230,157
|
|
8.3
|
|
Derivative financial
instruments
|
|
−
|
|
−
|
|
−
|
|
10,627
|
|
10,627
|
|
−
|
|
Investments in associates and
joint ventures
|
|
−
|
|
−
|
|
−
|
|
35
|
|
35
|
|
−
|
|
Premises and equipment
|
|
−
|
|
−
|
|
−
|
|
1,787
|
|
1,787
|
|
−
|
|
Goodwill
|
|
−
|
|
−
|
|
−
|
|
1,516
|
|
1,516
|
|
−
|
|
Intangible assets
|
|
−
|
|
−
|
|
−
|
|
1,237
|
|
1,237
|
|
−
|
|
Other assets
|
|
−
|
|
−
|
|
−
|
|
8,178
|
|
8,178
|
|
−
|
|
|
|
88,524
|
|
22,019
|
|
112,023
|
|
211,361
|
|
433,927
|
|
25.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
|
As at
October 31, 2023(5)
|
|
|
|
|
Encumbered
assets(2)
|
|
Unencumbered
assets
|
|
Total
|
|
Encumbered
assets
as a %
of total
assets
|
|
|
|
|
Pledged
as
collateral
|
|
Other(3)
|
|
Available as
collateral
|
|
Other(4)
|
|
|
|
|
|
Cash and deposits with financial
institutions
|
|
449
|
|
8,841
|
|
25,944
|
|
−
|
|
35,234
|
|
2.2
|
|
Securities
|
|
49,005
|
|
−
|
|
72,813
|
|
−
|
|
121,818
|
|
11.6
|
|
Securities purchased under reverse
repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and securities
borrowed
|
|
−
|
|
11,260
|
|
−
|
|
−
|
|
11,260
|
|
2.6
|
|
Loans and acceptances, net of
allowances
|
|
36,705
|
|
−
|
|
6,140
|
|
182,598
|
|
225,443
|
|
8.7
|
|
Derivative financial
instruments
|
|
−
|
|
−
|
|
−
|
|
17,516
|
|
17,516
|
|
−
|
|
Investments in associates and
joint ventures
|
|
−
|
|
−
|
|
−
|
|
49
|
|
49
|
|
−
|
|
Premises and equipment
|
|
−
|
|
−
|
|
−
|
|
1,592
|
|
1,592
|
|
−
|
|
Goodwill
|
|
−
|
|
−
|
|
−
|
|
1,521
|
|
1,521
|
|
−
|
|
Intangible assets
|
|
−
|
|
−
|
|
−
|
|
1,256
|
|
1,256
|
|
−
|
|
Other assets
|
|
−
|
|
−
|
|
−
|
|
7,788
|
|
7,788
|
|
−
|
|
|
|
86,159
|
|
20,101
|
|
104,897
|
|
212,320
|
|
423,477
|
|
25.1
|
|
(1) See the Financial Reporting Method section on pages 4 to 8
for additional information on capital management
measures.
(2) In the normal course of its funding activities, the Bank
pledges assets as collateral in accordance with standard terms.
Encumbered assets include assets used to cover short sales,
obligations related to securities sold under repurchase agreements
and securities loaned, guarantees related to security-backed loans
and borrowings, collateral related to derivative financial
instrument transactions, asset-backed securities, residential
mortgage loans securitized and transferred under the Canada
Mortgage Bond program, assets held in consolidated trusts
supporting the Bank's funding activities, and mortgage loans
transferred under the covered bond program.
(3) Other encumbered assets include assets for which there are
restrictions and that cannot therefore be used for collateral or
funding purposes as well as assets used to cover short
sales.
(4) Other unencumbered assets are assets that cannot be used for
collateral or funding purposes in their current form. This category
includes assets that are potentially eligible as funding program
collateral (e.g., mortgages insured by the Canada Mortgage and
Housing Corporation that can be securitized into mortgage-backed
securities under the National
Housing Act (Canada)).
(5) Certain amounts have been adjusted to reflect accounting
policy changes arising from the adoption of IFRS 17. For additional
information, see Note 2 to the consolidated financial
statements.
Liquidity Coverage Ratio
The liquidity coverage ratio (LCR) was
introduced primarily to ensure that banks could withstand periods
of severe short-term stress. LCR is calculated by
dividing the total amount of high-quality liquid assets (HQLA) by
the total amount of net cash outflows. OSFI requires
Canadian banks to maintain a minimum LCR of 100%. An LCR above 100%
ensures that banks are holding sufficient high-quality liquid
assets to cover net cash outflows given a severe, 30‑day liquidity
crisis. The assumptions underlying the LCR scenario are established
by the BCBS and OSFI's Liquidity
Adequacy Requirements Guideline.
The table on the following page provides average
LCR data calculated using the daily figures in the quarter. For the
quarter ended January 31, 2024, the Bank's average LCR was
145%, well above the 100% regulatory requirement and demonstrating
the Bank's solid short-term liquidity position.
LCR Disclosure
Requirements(1)(2)
(millions of Canadian
dollars)
|
|
|
|
|
Quarter
ended
|
|
|
|
|
January 31,
2024
|
|
|
October 31, 2023
|
|
|
|
|
|
Total
unweighted
value(3)
(average)
|
|
Total
weighted
value(4)
(average)
|
|
|
Total
weighted
value(4) (average)
|
|
|
High-quality liquid assets (HQLA)
|
|
|
|
|
|
|
|
|
|
|
Total HQLA
|
|
n.a.
|
|
78,283
|
|
|
74,177
|
|
|
Cash outflows
|
|
|
|
|
|
|
|
|
|
|
Retail deposits and deposits from
small business customers, of which:
|
|
61,779
|
|
5,601
|
|
|
10,934
|
|
|
|
|
Stable deposits
|
|
27,369
|
|
821
|
|
|
831
|
|
|
|
|
Less stable deposits
|
|
34,410
|
|
4,780
|
|
|
10,103
|
|
|
|
Unsecured wholesale funding, of
which:
|
|
112,580
|
|
67,007
|
|
|
51,528
|
|
|
|
|
Operational deposits (all
counterparties) and deposits in networks of cooperative
banks
|
|
30,989
|
|
7,531
|
|
|
7,417
|
|
|
|
|
Non-operational deposits (all
counterparties)
|
|
71,159
|
|
48,893
|
|
|
34,752
|
|
|
|
|
Unsecured debt
|
|
10,432
|
|
10,583
|
|
|
9,359
|
|
|
|
Secured wholesale
funding
|
|
n.a.
|
|
19,105
|
|
|
24,716
|
|
|
|
Additional requirements, of
which:
|
|
67,442
|
|
17,109
|
|
|
16,774
|
|
|
|
|
Outflows related to derivative
exposures and other collateral requirements
|
|
22,280
|
|
9,182
|
|
|
8,912
|
|
|
|
|
Outflows related to loss of
funding on secured debt securities
|
|
1,965
|
|
1,935
|
|
|
1,949
|
|
|
|
|
Backstop liquidity and credit
enhancement facilities and commitments to extend credit
|
|
43,197
|
|
5,992
|
|
|
5,913
|
|
|
|
Other contractual commitments to
extend credit
|
|
1,945
|
|
842
|
|
|
760
|
|
|
|
Other contingent commitments to
extend credit
|
|
140,579
|
|
1,995
|
|
|
1,968
|
|
|
|
Total cash outflows
|
|
n.a.
|
|
111,659
|
|
|
106,680
|
|
|
Cash inflows
|
|
|
|
|
|
|
|
|
|
|
Secured lending (e.g., reverse
repos)
|
|
121,709
|
|
26,991
|
|
|
27,660
|
|
|
|
Inflows from fully performing
exposures
|
|
10,985
|
|
7,322
|
|
|
6,669
|
|
|
|
Other cash inflows
|
|
21,915
|
|
21,777
|
|
|
23,574
|
|
|
|
Total cash inflows
|
|
154,609
|
|
56,090
|
|
|
57,903
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
adjusted
value(5)
|
|
|
Total
adjusted
value(5)
|
|
|
Total HQLA
|
|
|
|
78,283
|
|
|
74,177
|
|
|
Total net cash outflows
|
|
|
|
55,569
|
|
|
48,777
|
|
|
Liquidity coverage ratio (%)(6)
|
|
|
|
145
|
%
|
|
155
|
%
|
n.a. Not
applicable
(1) See the Financial Reporting Method section on pages 4 to 8
for additional information on capital management
measures.
(2) OSFI prescribed a table format in order to standardize
disclosure throughout the banking industry.
(3) Unweighted values are calculated as outstanding balances
maturing or callable within 30 days (for inflows and
outflows).
(4) Weighted values are calculated after the application of
respective haircuts (for HQLA) or inflow and outflow
rates.
(5) Total adjusted values are calculated after the application of
both haircuts and inflow and outflow rates and any applicable
caps.
(6) The data in this table is calculated using averages of the
daily figures in the quarter.
As at January 31, 2024,
Level 1 liquid assets represented 85% of the Bank's HQLA, which
includes cash, central bank deposits, and bonds issued or
guaranteed by the Canadian government and Canadian provincial
governments.
Cash outflows arise from the
application of OSFI-prescribed assumptions on deposits, debt,
secured funding, commitments and additional collateral
requirements. The cash outflows are partly offset by cash inflows,
which come mainly from secured loans and performing loans. The Bank
expects some quarter-over-quarter variation between reported LCRs
without such variation being necessarily indicative of a trend. The
variation between the quarter ended January 31, 2024 and
the preceding quarter was a result of normal business operations.
The Bank's liquid asset buffer is well in excess of its total net
cash outflows.
The LCR assumptions differ
from the assumptions used for the liquidity disclosures presented
in the tables on the previous pages or those used for internal
liquidity management rules. While the liquidity disclosure
framework is prescribed by the EDTF, the Bank's internal liquidity
metrics use assumptions that are calibrated according to its
business model and experience.
Net Stable Funding
Ratio
The BCBS has developed the net
stable funding ratio (NSFR) to promote a more resilient banking
sector. The NSFR requires institutions to maintain a stable funding
profile in relation to the composition of their assets and
off-balance-sheet activities. A viable funding structure is
intended to reduce the likelihood that disruptions to an
institution's regular sources of funding would erode its liquidity
position in a way that would increase the risk of its failure and
potentially lead to broader systemic stress. The NSFR is calculated
by dividing available stable funding by required stable
funding. OSFI has been requiring Canadian banks to
maintain a minimum NSFR of 100%.
The following table provides the available
stable funding and required stable funding
in accordance with OSFI's Liquidity Adequacy Requirements
Guideline. As
at January 31, 2024, the Bank's NSFR was 117%, well above the
100% regulatory requirement and demonstrating the Bank's solid
long-term liquidity position.
NSFR Disclosure
Requirements(1)(2)
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
As at
January 31,
2024
|
|
|
As at
October 31,
2023
|
|
|
|
|
|
Unweighted value by residual
maturity
|
|
Weighted
value(3)
|
|
|
|
|
|
|
|
|
No
maturity
|
|
6 months
or
less
|
|
Over
6 months
to 1 year
|
|
Over
1 year
|
|
|
|
Weighted
value(3)
|
|
|
Available Stable Funding (ASF) Items
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital:
|
23,901
|
|
−
|
|
−
|
|
749
|
|
24,650
|
|
|
24,425
|
|
|
|
Regulatory capital
|
23,901
|
|
−
|
|
−
|
|
749
|
|
24,650
|
|
|
24,425
|
|
|
|
Other capital instruments
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
|
−
|
|
|
Retail deposits and deposits from
small business customers:
|
54,009
|
|
15,792
|
|
8,391
|
|
26,954
|
|
97,730
|
|
|
103,077
|
|
|
|
Stable deposits
|
25,233
|
|
5,031
|
|
4,349
|
|
8,510
|
|
41,392
|
|
|
40,575
|
|
|
|
Less stable deposits
|
28,776
|
|
10,761
|
|
4,042
|
|
18,444
|
|
56,338
|
|
|
62,502
|
|
|
Wholesale funding:
|
75,015
|
|
92,999
|
|
13,088
|
|
51,430
|
|
107,897
|
|
|
99,442
|
|
|
|
Operational deposits
|
31,346
|
|
−
|
|
−
|
|
−
|
|
15,673
|
|
|
15,721
|
|
|
|
Other wholesale funding
|
43,669
|
|
92,999
|
|
13,088
|
|
51,430
|
|
92,224
|
|
|
83,721
|
|
|
Liabilities with matching
interdependent assets(4)
|
−
|
|
3,479
|
|
1,953
|
|
20,250
|
|
−
|
|
|
−
|
|
|
Other
liabilities(5):
|
19,994
|
|
|
|
11,601
|
|
|
|
639
|
|
|
674
|
|
|
|
NSFR derivative
liabilities(5)
|
n.a.
|
|
|
|
2,239
|
|
|
|
n.a.
|
|
|
n.a.
|
|
|
|
All other liabilities and equity not
included in the above categories
|
19,994
|
|
2,780
|
|
120
|
|
6,462
|
|
639
|
|
|
674
|
|
|
Total ASF
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
230,916
|
|
|
227,618
|
|
|
Required Stable Funding (RSF) Items
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total NSFR high-quality liquid
assets (HQLA)
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
6,647
|
|
|
9,004
|
|
|
Deposits held at other financial
institutions for operational purposes
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
|
−
|
|
|
Performing loans and
securities:
|
63,067
|
|
79,150
|
|
25,691
|
|
101,828
|
|
161,551
|
|
|
159,117
|
|
|
|
Performing loans to financial
institutions secured by Level 1 HQLA
|
77
|
|
1,252
|
|
1
|
|
−
|
|
67
|
|
|
18
|
|
|
|
Performing loans to financial
institutions secured by non-Level-1
HQLA and unsecured
performing loans to financial institutions
|
7,114
|
|
45,272
|
|
2,143
|
|
1,028
|
|
8,036
|
|
|
6,408
|
|
|
|
Performing loans to non-financial
corporate clients, loans to retail
and small business
customers, and loans to sovereigns, central
banks and PSEs, of
which:
|
31,363
|
|
24,762
|
|
15,544
|
|
38,872
|
|
81,573
|
|
|
79,695
|
|
|
|
|
With a risk weight of less than or
equal to 35% under the Basel II
Standardized
Approach for credit risk
|
228
|
|
2,091
|
|
784
|
|
1,640
|
|
2,652
|
|
|
1,556
|
|
|
|
Performing residential mortgages, of
which:
|
8,980
|
|
5,837
|
|
6,869
|
|
58,630
|
|
53,950
|
|
|
54,184
|
|
|
|
|
With a risk weight of less than or
equal to 35% under the Basel II
Standardized Approach for
credit risk
|
8,980
|
|
5,837
|
|
6,869
|
|
58,630
|
|
53,950
|
|
|
54,184
|
|
|
|
Securities that are not in default
and do not qualify as HQLA, including
exchange-traded
equities
|
15,533
|
|
2,027
|
|
1,134
|
|
3,298
|
|
17,925
|
|
|
18,812
|
|
|
Assets with matching interdependent
liabilities(4)
|
−
|
|
3,479
|
|
1,953
|
|
20,250
|
|
−
|
|
|
−
|
|
|
Other
assets(5):
|
6,465
|
|
|
|
32,585
|
|
|
|
24,114
|
|
|
20,922
|
|
|
|
Physical traded commodities,
including gold
|
447
|
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
447
|
|
|
449
|
|
|
|
Assets posted as initial margin for
derivative contracts and
contributions to
default funds of CCPs(5)
|
n.a.
|
|
|
|
12,555
|
|
|
|
10,672
|
|
|
7,732
|
|
|
|
NSFR derivative
assets(5)
|
n.a.
|
|
|
|
2,823
|
|
|
|
585
|
|
|
−
|
|
|
|
NSFR derivative liabilities before
deduction of the variation
margin
posted(5)
|
n.a.
|
|
|
|
10,267
|
|
|
|
513
|
|
|
733
|
|
|
|
All other assets not included in the
above categories
|
6,018
|
|
4,663
|
|
536
|
|
1,741
|
|
11,897
|
|
|
12,008
|
|
|
Off-balance-sheet
items(5)
|
n.a.
|
|
|
|
116,502
|
|
|
|
4,389
|
|
|
4,259
|
|
|
Total RSF
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
196,701
|
|
|
193,302
|
|
|
Net
Stable Funding Ratio (%)
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
n.a.
|
|
117
|
%
|
|
118
|
%
|
|
n.a.
Not applicable
(1) See the Financial
Reporting Method section on pages 4 to 8 for additional information
on capital management measures.
(2) OSFI prescribed a
table format in order to standardize disclosure throughout the
banking industry.
(3) Weighted values are
calculated after application of the weightings set out in OSFI's
Liquidity Adequacy
Requirements Guideline.
(4) As per OSFI's
specifications, liabilities arising from transactions involving the
Canada Mortgage Bond program and their corresponding encumbered
mortgages are given ASF and RSF weights of 0%,
respectively.
(5) As per OSFI's
specifications, there is no need to differentiate by
maturities.
The NSFR represents the amount of
ASF relative to the amount of RSF. ASF is defined as the portion of
capital and liabilities expected to be reliable over the time
horizon considered by the NSFR, which extends to one year. The
amount of RSF of a specific institution is a function of the
liquidity characteristics and residual maturities of the various
assets held by that institution as well as those of its
off-balance-sheet exposures. The amounts of ASF and RSF are
calibrated to reflect the degree of stability of liabilities and
liquidity of assets. The Bank expects some quarter-over-quarter
variation between reported NSFRs without such variation being
necessarily indicative of a long-term trend.
The NSFR assumptions differ from the assumptions used
for the liquidity disclosures provided in the tables on the
preceding pages or those used for internal liquidity management
rules. While the liquidity disclosure framework is prescribed by
the EDTF, the Bank's internal liquidity metrics use assumptions
that are calibrated according to its business model and
experience.
Funding
The Bank continuously monitors and analyzes market
trends as well as possibilities for accessing less expensive and
more flexible funding, considering both the risks and opportunities
observed. The deposit strategy remains a priority for the Bank,
which continues to prefer deposits to institutional funding.
The table below presents the residual
contractual maturities of the Bank's wholesale funding. The
information has been presented in accordance with the categories
recommended by the EDTF working group for comparison purposes with
other banks.
Residual
Contractual Maturities of Wholesale
Funding(1)
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at January 31,
2024
|
|
|
|
|
1 month or
less
|
|
Over 1
month to
3 months
|
|
Over 3
months to
6 months
|
|
Over 6
months to
12 months
|
|
Subtotal
1 year
or less
|
|
Over 1
year to
2 years
|
|
Over 2
years
|
|
Total
|
|
Deposits from
banks(2)
|
|
373
|
|
−
|
|
−
|
|
−
|
|
373
|
|
−
|
|
984
|
|
1,357
|
|
Certificates of deposit and
commercial paper(3)
|
|
4,546
|
|
7,570
|
|
6,916
|
|
5,779
|
|
24,811
|
|
−
|
|
−
|
|
24,811
|
|
Senior unsecured medium-term
notes(4)(5)
|
|
1,747
|
|
1,186
|
|
1,559
|
|
4,284
|
|
8,776
|
|
5,077
|
|
8,029
|
|
21,882
|
|
Senior unsecured structured
notes
|
|
−
|
|
−
|
|
−
|
|
33
|
|
33
|
|
124
|
|
2,997
|
|
3,154
|
|
Covered bonds and asset-backed
securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage securitization
|
|
−
|
|
830
|
|
2,276
|
|
1,974
|
|
5,080
|
|
4,314
|
|
16,288
|
|
25,682
|
|
|
Covered bonds
|
|
−
|
|
−
|
|
−
|
|
343
|
|
343
|
|
1,442
|
|
7,976
|
|
9,761
|
|
|
Securitization of credit card
receivables
|
|
−
|
|
−
|
|
−
|
|
49
|
|
49
|
|
−
|
|
−
|
|
49
|
|
Subordinated
liabilities(6)
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
749
|
|
749
|
|
|
|
6,666
|
|
9,586
|
|
10,751
|
|
12,462
|
|
39,465
|
|
10,957
|
|
37,023
|
|
87,445
|
|
Secured funding
|
|
−
|
|
830
|
|
2,276
|
|
2,366
|
|
5,472
|
|
5,756
|
|
24,264
|
|
35,492
|
|
Unsecured funding
|
|
6,666
|
|
8,756
|
|
8,475
|
|
10,096
|
|
33,993
|
|
5,201
|
|
12,759
|
|
51,953
|
|
|
|
6,666
|
|
9,586
|
|
10,751
|
|
12,462
|
|
39,465
|
|
10,957
|
|
37,023
|
|
87,445
|
|
As at October 31, 2023
|
|
3,337
|
|
6,616
|
|
15,200
|
|
6,868
|
|
32,021
|
|
12,347
|
|
34,370
|
|
78,738
|
|
(1) Bankers' acceptances
are not included in this table.
(2) Deposits from banks include all non-negotiable term deposits
from banks.
(3) Includes bearer
deposit notes.
(4) Certificates of
deposit denominated in euros are included in senior unsecured
medium-term notes.
(5) Includes debts
subject to bank recapitalization (bail-in) conversion
regulations.
(6) Subordinated debt is
presented in this table, but the Bank does not consider it as part
of its wholesale funding.
As part of a comprehensive liquidity management
framework, the Bank regularly reviews its contracts that stipulate
that additional collateral could be required in the event of a
downgrade of the Bank's credit rating. The Bank's liquidity
position management approach already incorporates additional
collateral requirements in the event of a one-notch to three-notch
downgrade in credit rating. The table below presents the additional
collateral requirements in the event of a one-, two-, or
three-notch credit rating downgrade.
(millions of Canadian
dollars)
|
|
|
|
As at January 31,
2024
|
|
|
|
|
One-notch
downgrade
|
|
Two-notch
downgrade
|
|
Three-notch
downgrade
|
|
|
|
|
|
|
|
|
|
|
Derivatives(1)
|
|
30
|
|
78
|
|
81
|
|
(1) Contractual requirements related to agreements known as
initial margins and variation margins.
Residual Contractual Maturities of
Balance Sheet Items and Off-Balance-Sheet Commitments
The following tables present balance sheet items and
off-balance-sheet commitments by residual contractual maturity as
at January 31, 2024 with comparative figures as at
October 31, 2023. The information gathered from this maturity
analysis is a component of liquidity and funding management.
However, this maturity profile does not represent how the Bank
manages its interest rate risk or its liquidity risk and funding
needs. The Bank considers factors other than contractual maturity
when assessing liquid assets or determining expected future cash
flows.
In the normal course of business, the Bank enters
into various off-balance-sheet commitments. The credit instruments
used to meet the financing needs of its clients represent the
maximum amount of additional credit the Bank could be obligated to
extend if the commitments were fully drawn.
The Bank also has future minimum commitments under
leases for premises as well as under other contracts, mainly
commitments to purchase loans and contracts for outsourced
information technology services. Most of the lease commitments are
related to operating leases.
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at January 31,
2024
|
|
|
|
|
|
|
1
month
or less
|
|
Over 1
month to
3 months
|
|
Over 3
months to
6 months
|
|
Over 6
months to
9 months
|
|
Over 9
months to
12 months
|
|
Over 1
year
to
2 years
|
|
Over 2
years to
5
years
|
|
Over 5
years
|
|
No
specified
maturity
|
|
Total
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and deposits
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
with financial institutions
|
27,756
|
|
626
|
|
362
|
|
230
|
|
370
|
|
−
|
|
−
|
|
−
|
|
8,055
|
|
37,399
|
|
Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At fair value through
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
profit or loss
|
431
|
|
459
|
|
522
|
|
1,442
|
|
569
|
|
4,190
|
|
12,698
|
|
12,557
|
|
72,586
|
|
105,454
|
|
|
At fair value through
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
other comprehensive
income
|
130
|
|
152
|
|
218
|
|
418
|
|
165
|
|
734
|
|
6,063
|
|
3,733
|
|
696
|
|
12,309
|
|
|
At amortized cost
|
8
|
|
422
|
|
416
|
|
1,274
|
|
922
|
|
3,053
|
|
4,876
|
|
1,331
|
|
−
|
|
12,302
|
|
|
|
|
|
|
569
|
|
1,033
|
|
1,156
|
|
3,134
|
|
1,656
|
|
7,977
|
|
23,637
|
|
17,621
|
|
73,282
|
|
130,065
|
|
Securities purchased under
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
reverse repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
securities borrowed
|
4,100
|
|
582
|
|
1,500
|
|
69
|
|
403
|
|
672
|
|
−
|
|
−
|
|
5,600
|
|
12,926
|
|
Loans(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage
|
1,226
|
|
1,363
|
|
3,144
|
|
2,939
|
|
3,088
|
|
17,319
|
|
49,788
|
|
9,126
|
|
531
|
|
88,524
|
|
|
Personal
|
505
|
|
727
|
|
1,304
|
|
1,395
|
|
1,355
|
|
6,847
|
|
14,725
|
|
6,013
|
|
13,436
|
|
46,307
|
|
|
Credit card
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,541
|
|
2,541
|
|
|
Business and government
|
21,448
|
|
3,894
|
|
3,940
|
|
3,648
|
|
3,744
|
|
6,673
|
|
12,632
|
|
5,521
|
|
26,863
|
|
88,363
|
|
|
Customers' liability
under
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
acceptances
|
4,833
|
|
787
|
|
13
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
5,633
|
|
|
Allowances for credit
losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,211)
|
|
(1,211)
|
|
|
|
|
|
|
28,012
|
|
6,771
|
|
8,401
|
|
7,982
|
|
8,187
|
|
30,839
|
|
77,145
|
|
20,660
|
|
42,160
|
|
230,157
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative financial
instruments
|
1,957
|
|
1,116
|
|
1,013
|
|
455
|
|
687
|
|
1,926
|
|
1,442
|
|
2,031
|
|
−
|
|
10,627
|
|
|
Investments in associates
and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
joint ventures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35
|
|
35
|
|
|
Premises and equipment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,787
|
|
1,787
|
|
|
Goodwill
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,516
|
|
1,516
|
|
|
Intangible assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,237
|
|
1,237
|
|
|
Other
assets(1)
|
3,209
|
|
154
|
|
1,301
|
|
268
|
|
237
|
|
733
|
|
265
|
|
567
|
|
1,444
|
|
8,178
|
|
|
|
|
|
|
5,166
|
|
1,270
|
|
2,314
|
|
723
|
|
924
|
|
2,659
|
|
1,707
|
|
2,598
|
|
6,019
|
|
23,380
|
|
|
|
|
|
|
65,603
|
|
10,282
|
|
13,733
|
|
12,138
|
|
11,540
|
|
42,147
|
|
102,489
|
|
40,879
|
|
135,116
|
|
433,927
|
|
(1) Amounts collectible on demand are considered to have no
specified maturity.
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at January 31,
2024
|
|
|
|
|
|
|
1
month
or
less
|
|
Over
1
month
to
3 months
|
|
Over 3
months
to
6
months
|
|
Over
6
months
to
9
months
|
|
Over
9
months
to
12
months
|
|
Over
1
year
to
2
years
|
|
Over
2
years to
5
years
|
|
Over
5
years
|
|
No
specified
maturity
|
|
Total
|
|
Liabilities and equity
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits(1)(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
3,218
|
|
3,219
|
|
6,049
|
|
5,960
|
|
4,598
|
|
8,653
|
|
13,725
|
|
5,063
|
|
40,579
|
|
91,064
|
|
|
Business and government
|
35,251
|
|
16,078
|
|
12,982
|
|
5,602
|
|
7,853
|
|
7,964
|
|
16,898
|
|
6,433
|
|
95,363
|
|
204,424
|
|
|
Deposit-taking
institutions
|
874
|
|
822
|
|
118
|
|
18
|
|
16
|
|
2
|
|
14
|
|
31
|
|
2,714
|
|
4,609
|
|
|
|
|
|
|
39,343
|
|
20,119
|
|
19,149
|
|
11,580
|
|
12,467
|
|
16,619
|
|
30,637
|
|
11,527
|
|
138,656
|
|
300,097
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Acceptances
|
4,833
|
|
787
|
|
13
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
5,633
|
|
|
Obligations related
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
to securities sold
short(3)
|
18
|
|
513
|
|
262
|
|
208
|
|
55
|
|
947
|
|
2,734
|
|
4,229
|
|
7,174
|
|
16,140
|
|
|
Obligations related to
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
securities sold under
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
repurchase agreements
and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
securities loaned
|
21,427
|
|
3,195
|
|
1,008
|
|
−
|
|
−
|
|
3,737
|
|
−
|
|
−
|
|
7,946
|
|
37,313
|
|
|
Derivative financial
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
instruments
|
2,461
|
|
1,409
|
|
1,122
|
|
511
|
|
1,227
|
|
1,889
|
|
4,776
|
|
3,635
|
|
−
|
|
17,030
|
|
|
Liabilities related to
transferred
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
receivables(4)
|
−
|
|
830
|
|
2,276
|
|
592
|
|
1,382
|
|
4,314
|
|
8,372
|
|
7,916
|
|
−
|
|
25,682
|
|
|
Securitization - Credit
card(5)
|
−
|
|
−
|
|
−
|
|
−
|
|
49
|
|
−
|
|
−
|
|
−
|
|
−
|
|
49
|
|
|
Lease
liabilities(5)
|
7
|
|
14
|
|
21
|
|
19
|
|
19
|
|
71
|
|
182
|
|
150
|
|
−
|
|
483
|
|
|
Other liabilities - Other
items(1)(5)
|
1,508
|
|
238
|
|
119
|
|
58
|
|
24
|
|
31
|
|
74
|
|
71
|
|
4,727
|
|
6,850
|
|
|
|
|
|
|
30,254
|
|
6,986
|
|
4,821
|
|
1,388
|
|
2,756
|
|
10,989
|
|
16,138
|
|
16,001
|
|
19,847
|
|
109,180
|
|
Subordinated debt
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
749
|
|
−
|
|
749
|
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,901
|
|
23,901
|
|
|
|
|
|
|
69,597
|
|
27,105
|
|
23,970
|
|
12,968
|
|
15,223
|
|
27,608
|
|
46,775
|
|
28,277
|
|
182,404
|
|
433,927
|
|
Off-balance-sheet commitments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Letters of guarantee
and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
documentary letters of
credit
|
139
|
|
843
|
|
1,867
|
|
2,265
|
|
2,902
|
|
533
|
|
205
|
|
2
|
|
−
|
|
8,756
|
|
|
Credit card
receivables(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,045
|
|
10,045
|
|
|
Backstop liquidity and
credit
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
enhancement
facilities(7)
|
−
|
|
−
|
|
15
|
|
−
|
|
15
|
|
5,552
|
|
−
|
|
−
|
|
4,631
|
|
10,213
|
|
|
Commitments to extend
credit(8)
|
2,688
|
|
12,500
|
|
10,799
|
|
6,076
|
|
4,862
|
|
4,358
|
|
3,420
|
|
102
|
|
49,378
|
|
94,183
|
|
|
Obligations related to:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lease
commitments(9)
|
1
|
|
1
|
|
1
|
|
2
|
|
2
|
|
6
|
|
7
|
|
1
|
|
−
|
|
21
|
|
|
|
Other
contracts(10)
|
7
|
|
14
|
|
21
|
|
21
|
|
21
|
|
48
|
|
265
|
|
12
|
|
155
|
|
564
|
|
(1) Amounts payable upon demand or notice are considered to have
no specified maturity.
(2) The Deposits item is
presented in greater detail than it is on the Consolidated Balance
Sheet.
(3) Amounts are disclosed according to the remaining contractual
maturity of the underlying security.
(4) These amounts mainly include liabilities related to the
securitization of mortgage loans.
(5) The Other
liabilities item is presented in greater detail than it is
on the Consolidated Balance Sheet.
(6) These amounts are unconditionally revocable at the Bank's
discretion at any time.
(7) In the event of payment on one of the backstop liquidity
facilities, the Bank will receive as collateral government bonds in
an amount up to $5.6 billion.
(8) These amounts include $48.2 billion that is
unconditionally revocable at the Bank's discretion at any
time.
(9) These amounts include leases for which the underlying asset
is of low value and leases other than for real estate of less than
one year.
(10)
These amounts include $38 million in
contractual commitments related to the portion of the head office
building under construction.
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at
October 31, 2023(1)
|
|
|
|
|
|
|
1
month
or
less
|
|
Over
1
month
to
3 months
|
|
Over 3
months to 6 months
|
|
Over 6
months to 9 months
|
|
Over 9
months to 12 months
|
|
Over
1
year
to
2
years
|
|
Over
2
years
to
5
years
|
|
Over 5
years
|
|
No
specified
maturity
|
|
Total
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and deposits
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
with financial institutions
|
25,374
|
|
448
|
|
354
|
|
50
|
|
216
|
|
−
|
|
−
|
|
−
|
|
8,792
|
|
35,234
|
|
Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At fair value through
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
profit or loss
|
694
|
|
258
|
|
1,663
|
|
1,758
|
|
2,260
|
|
3,667
|
|
10,823
|
|
12,813
|
|
66,058
|
|
99,994
|
|
|
At fair value through
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
other comprehensive
income
|
3
|
|
30
|
|
154
|
|
224
|
|
426
|
|
538
|
|
4,548
|
|
2,660
|
|
659
|
|
9,242
|
|
|
At amortized cost
|
4
|
|
158
|
|
508
|
|
338
|
|
1,399
|
|
4,110
|
|
4,713
|
|
1,352
|
|
−
|
|
12,582
|
|
|
|
|
|
|
701
|
|
446
|
|
2,325
|
|
2,320
|
|
4,085
|
|
8,315
|
|
20,084
|
|
16,825
|
|
66,717
|
|
121,818
|
|
Securities purchased under
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
reverse repurchase
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
securities borrowed
|
2,275
|
|
1,641
|
|
716
|
|
72
|
|
416
|
|
693
|
|
−
|
|
−
|
|
5,447
|
|
11,260
|
|
Loans(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage
|
1,409
|
|
1,250
|
|
1,990
|
|
3,126
|
|
2,990
|
|
15,339
|
|
51,112
|
|
9,089
|
|
542
|
|
86,847
|
|
|
Personal
|
613
|
|
637
|
|
1,060
|
|
1,271
|
|
1,396
|
|
6,258
|
|
15,656
|
|
5,713
|
|
13,754
|
|
46,358
|
|
|
Credit card
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,603
|
|
2,603
|
|
|
Business and government
|
21,406
|
|
4,262
|
|
4,007
|
|
3,204
|
|
2,783
|
|
6,695
|
|
11,322
|
|
5,414
|
|
25,099
|
|
84,192
|
|
|
Customers' liability
under
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
acceptances
|
6,191
|
|
373
|
|
50
|
|
13
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
6,627
|
|
|
Allowances for credit
losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,184)
|
|
(1,184)
|
|
|
|
|
|
|
29,619
|
|
6,522
|
|
7,107
|
|
7,614
|
|
7,169
|
|
28,292
|
|
78,090
|
|
20,216
|
|
40,814
|
|
225,443
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative financial
instruments
|
2,040
|
|
1,982
|
|
1,367
|
|
1,197
|
|
611
|
|
1,696
|
|
2,399
|
|
6,224
|
|
−
|
|
17,516
|
|
|
Investments in associates
and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
joint ventures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49
|
|
49
|
|
|
Premises and equipment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,592
|
|
1,592
|
|
|
Goodwill
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,521
|
|
1,521
|
|
|
Intangible assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,256
|
|
1,256
|
|
|
Other
assets(2)
|
2,639
|
|
774
|
|
166
|
|
1,206
|
|
547
|
|
598
|
|
252
|
|
659
|
|
947
|
|
7,788
|
|
|
|
|
|
|
4,679
|
|
2,756
|
|
1,533
|
|
2,403
|
|
1,158
|
|
2,294
|
|
2,651
|
|
6,883
|
|
5,365
|
|
29,722
|
|
|
|
|
|
|
62,648
|
|
11,813
|
|
12,035
|
|
12,459
|
|
13,044
|
|
39,594
|
|
100,825
|
|
43,924
|
|
127,135
|
|
423,477
|
|
(1) Certain amounts have been adjusted to reflect accounting
policy changes arising from the adoption of IFRS 17. For additional
information, see Note 2 to the consolidated financial
statements.
(2) Amounts collectible on demand are considered to have no
specified maturity.
(millions of Canadian
dollars)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As at
October 31, 2023(1)
|
|
|
|
|
|
|
1
month
or
less
|
|
Over
1
month
to
3 months
|
|
Over
3
months
to
6
months
|
|
Over
6
months
to
9
months
|
|
Over
9
months
to
12 months
|
|
Over
1
year
to
2
years
|
|
Over
2
years
to
5
years
|
|
Over
5
years
|
|
No
specified
maturity
|
|
Total
|
|
Liabilities and equity
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits(2)(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal
|
4,648
|
|
3,722
|
|
4,491
|
|
6,056
|
|
5,145
|
|
8,398
|
|
11,635
|
|
4,164
|
|
39,624
|
|
87,883
|
|
|
Business and government
|
32,642
|
|
10,044
|
|
17,495
|
|
4,271
|
|
3,498
|
|
9,127
|
|
15,768
|
|
5,058
|
|
99,425
|
|
197,328
|
|
|
Deposit-taking
institutions
|
646
|
|
408
|
|
32
|
|
109
|
|
18
|
|
8
|
|
15
|
|
33
|
|
1,693
|
|
2,962
|
|
|
|
|
|
|
37,936
|
|
14,174
|
|
22,018
|
|
10,436
|
|
8,661
|
|
17,533
|
|
27,418
|
|
9,255
|
|
140,742
|
|
288,173
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Acceptances
|
6,191
|
|
373
|
|
50
|
|
13
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
6,627
|
|
|
Obligations related
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
to securities sold
short(4)
|
35
|
|
155
|
|
129
|
|
73
|
|
76
|
|
347
|
|
2,332
|
|
4,123
|
|
6,390
|
|
13,660
|
|
|
Obligations related to
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
securities sold under
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
repurchase agreements
and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
securities loaned
|
23,041
|
|
2,719
|
|
1,040
|
|
3,467
|
|
−
|
|
274
|
|
−
|
|
−
|
|
7,806
|
|
38,347
|
|
|
Derivative financial
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
instruments
|
1,912
|
|
2,697
|
|
1,186
|
|
1,086
|
|
467
|
|
2,415
|
|
3,068
|
|
7,057
|
|
−
|
|
19,888
|
|
|
Liabilities related to
transferred
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
receivables(5)
|
−
|
|
1,760
|
|
829
|
|
2,142
|
|
618
|
|
3,915
|
|
8,678
|
|
7,092
|
|
−
|
|
25,034
|
|
|
Securitization - Credit
card(6)
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
48
|
|
−
|
|
−
|
|
−
|
|
48
|
|
|
Lease
liabilities(6)
|
9
|
|
28
|
|
25
|
|
24
|
|
23
|
|
83
|
|
197
|
|
128
|
|
−
|
|
517
|
|
|
Other liabilities - Other
items(2)(6)
|
1,417
|
|
306
|
|
174
|
|
7
|
|
27
|
|
37
|
|
58
|
|
105
|
|
4,720
|
|
6,851
|
|
|
|
|
|
|
32,605
|
|
8,038
|
|
3,433
|
|
6,812
|
|
1,211
|
|
7,119
|
|
14,333
|
|
18,505
|
|
18,916
|
|
110,972
|
|
Subordinated debt
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
−
|
|
748
|
|
−
|
|
748
|
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,584
|
|
23,584
|
|
|
|
|
|
|
70,541
|
|
22,212
|
|
25,451
|
|
17,248
|
|
9,872
|
|
24,652
|
|
41,751
|
|
28,508
|
|
183,242
|
|
423,477
|
|
Off-balance-sheet commitments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Letters of guarantee
and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
documentary letters of
credit
|
89
|
|
1,287
|
|
1,975
|
|
2,185
|
|
1,490
|
|
1,165
|
|
255
|
|
50
|
|
−
|
|
8,496
|
|
|
Credit card
receivables(7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,802
|
|
9,802
|
|
|
Backstop liquidity and
credit
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
enhancement
facilities(8)
|
−
|
|
15
|
|
5,552
|
|
15
|
|
−
|
|
−
|
|
−
|
|
−
|
|
4,519
|
|
10,101
|
|
|
Commitments to extend
credit(9)
|
3,186
|
|
10,675
|
|
8,445
|
|
7,562
|
|
4,316
|
|
4,579
|
|
3,312
|
|
39
|
|
48,592
|
|
90,706
|
|
|
Obligations related to:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lease
commitments(10)
|
1
|
|
1
|
|
1
|
|
2
|
|
2
|
|
6
|
|
7
|
|
1
|
|
−
|
|
21
|
|
|
|
Other
contracts(11)
|
11
|
|
22
|
|
34
|
|
33
|
|
36
|
|
46
|
|
138
|
|
13
|
|
127
|
|
460
|
|
(1) Certain amounts have been adjusted to reflect accounting
policy changes arising from the adoption of IFRS 17. For additional
information, see Note 2 to the consolidated financial
statements.
(2) Amounts payable upon demand or notice are considered to have
no specified maturity.
(3) The Deposits item is
presented in greater detail than it is on the Consolidated Balance
Sheet.
(4) Amounts are disclosed according to the remaining contractual
maturity of the underlying security.
(5) These amounts mainly include liabilities related to the
securitization of mortgage loans.
(6) The Other
liabilities item is presented in greater detail than it is
on the Consolidated Balance Sheet.
(7) These amounts are unconditionally revocable at the Bank's
discretion at any time.
(8) In the event of payment on one of the backstop liquidity
facilities, the Bank will receive as collateral government bonds in
an amount up to $5.6 billion.
(9) These amounts include $46.7 billion that is
unconditionally revocable at the Bank's discretion at any
time.
(10)
These amounts include leases for which the
underlying asset is of low value and leases other than for real
estate of less than one year.
(11)
These amounts include $0.1 billion in
contractual commitments related to the portion of the head office
building under construction.
Regulatory Compliance Risk
The transition related to the interest rate benchmark
reform continues in many countries, including in Canada. On
December 31, 2021, all LIBOR (London Interbank Offered Rates) rates
in European, British, Swiss, and Japanese currency as well as the
one-week and two-month USD LIBOR rates were discontinued, whereas
the other USD LIBOR rates were discontinued as of June 30, 2023.
The LIBOR rate administrator (ICE Benchmark Administration Ltd.)
will continue to publish a "synthetic" version of LIBOR in British
currency for three-month maturities until March 28, 2024, and in
U.S. currency for 1-month, 3-month and 6‑month maturities until
September 30, 2024, for certain contracts that could not be
remedied (commonly known as tough legacy contracts). In Canada,
publication of CDOR (Canadian Dollar Offered Rate) will be
discontinued on June 28, 2024 and replaced by the risk-free rate
CORRA (Canadian Overnight Repo Rate Average). A forward-looking
rate, the 1-month and 3-month Term CORRA has also been available
for certain financial products since September 5, 2023. As at
January 31, 2024, the transition project was progressing according
to schedule. For additional information, see Note 1 to the
audited annual consolidated financial statements for the year ended
October 31, 2023.
Risk Disclosures
One of the purposes of the 2023 Annual Report, the Report to Shareholders - First Quarter
2024, and the related supplementary information documents is
to provide transparent, high-quality risk disclosures in accordance
with the recommendations made by the Financial Stability Board's
EDTF group. The following table lists the references where users
can find information that responds to the EDTF's 32
recommendations.
|
|
|
|
|
|
|
|
|
|
Pages
|
|
|
|
|
|
|
2023
Annual
Report
|
|
Report to
Shareholders(1)
|
|
Supplementary
Regulatory
Capital
and Pillar 3
Disclosure(1)
|
|
General
|
|
|
|
|
|
|
|
|
1
|
|
Location of risk
disclosures
|
|
12
|
|
41
|
|
|
|
|
|
|
|
Management's Discussion and
Analysis
|
|
53 to
106, 119 and 121 to 123
|
|
20 to
40
|
|
|
|
|
|
|
|
Consolidated Financial
Statements
|
|
Notes 1,
7, 16, 23 and 29
|
|
Notes 6
and 11
|
|
|
|
|
|
|
|
Supplementary Financial
Information
|
|
|
|
|
|
27 to
37(2)
|
|
|
|
|
|
Supplementary Regulatory Capital
and Pillar 3 Disclosure
|
|
|
|
|
|
5 to
59
|
|
|
2
|
|
Risk terminology and risk
measures
|
|
62 to
106
|
|
|
|
|
|
|
3
|
|
Top and emerging risks
|
|
24 and
67 to 73
|
|
10, 26
to 40
|
|
|
|
|
4
|
|
New key regulatory
ratios
|
|
54 to
57, 91 and 95 to 98
|
|
20, 21,
31 and 33 to 36
|
|
|
|
Risk governance and risk management
|
|
|
|
|
|
|
|
|
5
|
|
Risk management organization,
processes and key functions
|
|
65 to
85, 91 to 93 and 98
|
|
|
|
|
|
|
6
|
|
Risk management culture
|
|
62 and
63
|
|
|
|
|
|
|
7
|
|
Key risks by business segment,
risk management
and risk
appetite
|
|
61 to 63
and 67
|
|
|
|
|
|
|
8
|
|
Stress testing
|
|
53, 63,
79, 89, 90 and 93
|
|
|
|
|
|
Capital adequacy and risk-weighted assets
(RWA)
|
|
|
|
|
|
|
|
|
9
|
|
Minimum Pillar 1 capital
requirements
|
|
54 to
57
|
|
20 and
21
|
|
|
|
|
10
|
|
Reconciliation of the accounting
balance sheet to
|
|
|
|
|
|
|
|
|
|
|
|
the regulatory balance
sheet
|
|
|
|
|
|
11 to
17, 20 and 21
|
|
|
11
|
|
Movements in regulatory
capital
|
|
59
|
|
23
|
|
|
|
|
12
|
|
Capital planning
|
|
53 to
61
|
|
|
|
|
|
|
13
|
|
RWA by business segment and by
risk type
|
|
61
|
|
|
|
7 and
8
|
|
|
14
|
|
Capital requirements by risk and
the RWA calculation method
|
|
74 to
78
|
|
|
|
7 and
8
|
|
|
15
|
|
Banking book credit
risk
|
|
|
|
|
|
7 and
8
|
|
|
16
|
|
Movements in RWA by risk
type
|
|
60
|
|
24
|
|
7 and
8
|
|
|
17
|
|
Assessment of credit risk model
performance
|
|
66, 75
to 78 and 84
|
|
|
|
41
|
|
Liquidity
|
|
|
|
|
|
|
|
|
18
|
|
Liquidity management and
components of the liquidity buffer
|
|
91 to
98
|
|
31 to
36
|
|
|
|
Funding
|
|
|
|
|
|
|
|
|
19
|
|
Summary of encumbered and
unencumbered assets
|
|
94 and
95
|
|
33
|
|
|
|
|
20
|
|
Residual contractual maturities of
balance sheet items and
|
|
|
|
|
|
|
|
|
|
|
|
off-balance-sheet
commitments
|
|
224 to
228
|
|
37 to
40
|
|
|
|
|
21
|
|
Funding strategy and funding
sources
|
|
98 to
100
|
|
36
|
|
|
|
Market risk
|
|
|
|
|
|
|
|
|
22
|
|
Linkage of market risk measures to
balance sheet
|
|
86 and
87
|
|
28 and
29
|
|
|
|
|
23
|
|
Market risk factors
|
|
84 to
90, 212 and 213
|
|
28 to
31
|
|
|
|
|
24
|
|
VaR: Assumptions, limitations and
validation procedures
|
|
88
|
|
|
|
|
|
|
25
|
|
Stress tests, stressed VaR and
backtesting
|
|
84 to
90
|
|
|
|
|
|
Credit risk
|
|
|
|
|
|
|
|
|
26
|
|
Credit risk exposures
|
|
83 and
173 to 184
|
|
27 and
63 to 71
|
|
22 to 50
and 22 to 30(2)
|
|
|
27
|
|
Policies for identifying impaired
loans
|
|
80, 81,
147 and 148
|
|
|
|
|
|
|
28
|
|
Movements in impaired loans and
allowances for credit losses
|
119,
122, 123 and 173 to 184
|
|
63 to
71
|
|
27 to
30(2)
|
|
|
29
|
|
Counterparty credit risk relating
to derivative transactions
|
|
80 to 82
and 192 to 195
|
|
|
|
42 to
50, 31(2) and 32(2)
|
|
|
30
|
|
Credit risk mitigation
|
|
77 to
82, 170 and 178
|
|
|
|
24, 28,
29 and 48 to 58
|
|
Other risks
|
|
|
|
|
|
|
|
|
31
|
|
Other risks: Governance,
measurement and management
|
|
72 to 74
and 100 to 106
|
|
|
|
|
|
|
32
|
|
Publicly known risk
events
|
|
24, 100
and 101
|
|
10, 26
and 40
|
|
|
|
(1) First quarter 2024.
(2) These pages are
included in the document entitled Supplementary Financial
Information -
First Quarter
2024.
Accounting Policies and Financial
Disclosure
Accounting Policies and Critical Accounting
Estimates
The Bank's consolidated financial statements
are prepared in accordance with International Financial Reporting
Standards (IFRS), as issued by the International Accounting
Standards Board (IASB). The financial statements also
comply with section 308(4) of the Bank Act (Canada), which states that,
except as otherwise specified by OSFI,
the consolidated financial statements are to be prepared in
accordance with IFRS. IFRS represent Canadian generally accepted
accounting principles (GAAP). None of the OSFI
accounting requirements are exceptions to IFRS. The unaudited
interim condensed consolidated financial statements for the quarter
ended January 31, 2024 were prepared in accordance with
IAS 34 - Interim
Financial Reporting using the same accounting policies as
those described in Note 1 to the audited annual consolidated
financial statements for the year ended October 31, 2023,
except for the changes described in Note 2 to the unaudited interim
condensed consolidated financial statements, which have been
applied since November 1, 2023 upon the adoption of
IFRS 17 - Insurance
Contracts.
In preparing consolidated financial statements
in accordance with IFRS, management must exercise judgment and make
estimates and assumptions that affect the reporting date carrying
amounts of assets and liabilities, net income, and related
information. Some accounting policies are considered critical given
their importance to the presentation of the Bank's financial
position and operating results and require subjective and complex
judgments and estimates on matters that are inherently uncertain.
Any change in these judgments and estimates could have a
significant impact on the Bank's consolidated financial statements.
The critical accounting estimates are the same as those described
on pages 107 to 112 of the 2023
Annual Report.
The geopolitical landscape (notably, the
Russia-Ukraine war and the clashes between Hamas and Israel),
inflation, climate change, and higher interest rates continue to
create uncertainty. Some of the Bank's accounting policies, such as
measurement of expected credit losses (ECLs), require particularly
complex judgments and estimates. See Note 1 to the audited annual
consolidated financial statements for the year ended
October 31, 2023 for a summary of the most significant
estimation processes used to prepare the consolidated financial
statements in accordance with IFRS and for the valuation techniques
used to determine the carrying values and fair values of assets and
liabilities. The uncertainty regarding certain key inputs used in
measuring ECLs is described in Note 6 to these unaudited
interim condensed consolidated financial statements.
Financial Disclosure
During the first quarter of 2024, no
changes were made to the policies, procedures, and
other processes that comprise the Bank's internal control over
financial reporting that had or could reasonably have a significant
impact on the internal control over financial reporting.
Quarterly Financial Information
(millions of Canadian
dollars,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
except per share amounts)
|
|
2024
|
|
|
|
|
|
|
|
2023(1)
|
|
2022
|
|
2023(1)
|
|
2022
|
|
|
|
|
|
Q1
|
|
Q4
|
|
Q3
|
|
Q2
|
|
Q1
|
|
Q4
|
|
Q3
|
|
Q2
|
|
Total
|
|
Total
|
|
Total revenues
|
|
2,710
|
|
2,560
|
|
2,490
|
|
2,446
|
|
2,562
|
|
2,334
|
|
2,413
|
|
2,439
|
|
10,058
|
|
9,652
|
|
Net
income
|
|
922
|
|
751
|
|
830
|
|
832
|
|
876
|
|
738
|
|
826
|
|
889
|
|
3,289
|
|
3,383
|
|
Earnings per share ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
2.61
|
|
2.11
|
|
2.35
|
|
2.37
|
|
2.49
|
|
2.10
|
|
2.38
|
|
2.56
|
|
9.33
|
|
9.72
|
|
|
Diluted
|
|
2.59
|
|
2.09
|
|
2.33
|
|
2.34
|
|
2.47
|
|
2.08
|
|
2.35
|
|
2.53
|
|
9.24
|
|
9.61
|
|
Dividends per common share ($)
|
|
1.06
|
|
1.02
|
|
1.02
|
|
0.97
|
|
0.97
|
|
0.92
|
|
0.92
|
|
0.87
|
|
3.98
|
|
3.58
|
|
Return on common
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
shareholders' equity (%)(2)
|
|
17.1
|
|
14.1
|
|
16.1
|
|
17.2
|
|
17.9
|
|
15.3
|
|
17.9
|
|
20.7
|
|
16.3
|
|
18.8
|
|
Total assets
|
|
433,927
|
|
423,477
|
|
425,936
|
|
417,614
|
|
418,287
|
|
403,740
|
|
386,833
|
|
369,570
|
|
|
|
|
|
Net
impaired loans excluding POCI loans(2)
|
|
677
|
|
606
|
|
537
|
|
477
|
|
476
|
|
479
|
|
301
|
|
293
|
|
|
|
|
|
Per
common share ($)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Book value(2)
|
|
61.18
|
|
60.40
|
|
58.53
|
|
57.45
|
|
55.76
|
|
55.24
|
|
54.29
|
|
52.28
|
|
|
|
|
|
|
Share price
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
103.38
|
|
103.58
|
|
103.28
|
|
103.45
|
|
99.95
|
|
94.37
|
|
97.87
|
|
104.59
|
|
|
|
|
|
|
|
Low
|
|
86.50
|
|
84.97
|
|
94.62
|
|
92.67
|
|
91.02
|
|
83.12
|
|
83.33
|
|
89.33
|
|
|
|
|
|
(1) For the fiscal 2023 comparative figures, certain amounts have
been adjusted to reflect accounting policy changes arising from the
adoption of IFRS 17. For additional information, see Note 2 to
the consolidated financial statements.
(2) See the Glossary section on pages 43 to 46 for details on the
composition of these measures.
Acceptances
Acceptances and the customers' liability under
acceptances constitute a guarantee of payment by a bank and can be
traded in the money market. The Bank earns a "stamping fee" for
providing this guarantee.
Allowances for
credit losses
Allowances for credit losses represent
management's unbiased estimate of expected credit losses as at the
balance sheet date. These allowances are primarily related to loans
and off-balance-sheet items such as loan commitments and financial
guarantees.
Assets under
administration
Assets in respect of which a financial
institution provides administrative services on behalf of the
clients who own the assets. Such services include custodial
services, collection of investment income, settlement of purchase
and sale transactions, and record-keeping. Assets under
administration are not reported on the balance sheet of the
institution offering such services.
Assets under
management
Assets managed by a financial institution and
that are beneficially owned by clients. Management services are
more comprehensive than administrative services and include
selecting investments or offering investment advice. Assets under
management, which may also be administered by the financial
institution, are not reported on the balance sheet of the
institution offering such services.
Available
TLAC
Available TLAC includes total capital as well as
certain senior unsecured debt subject to the federal government's
bail-in regulations that satisfy all of the eligibility criteria in
OSFI's Total Loss Absorbing
Capacity (TLAC) Guideline.
Average
interest-bearing assets
Average interest-bearing assets include
interest-bearing deposits with financial institutions and certain
cash items, securities, securities purchased under reverse
repurchase agreements and securities borrowed, and loans, while
excluding customers' liability under acceptances and other assets.
The average is calculated based on the daily balances for the
period.
Average
interest-bearing assets, non-trading
Average interest-bearing assets, non-trading,
include interest-bearing deposits with financial institutions and
certain cash items, securities purchased under reverse repurchase
agreements and securities borrowed, and loans, while excluding
other assets and assets related to trading activities. The average
is calculated based on the daily balances for the
period.
Average
volumes
Average volumes represent the average of the
daily balances for the period of the consolidated balance sheet
items.
Basic earnings
per share
Basic earnings per share is calculated by
dividing net income attributable to common shareholders by the
weighted average basic number of common shares
outstanding.
Basis point
(bps)
Unit of measure equal to one one-hundredth of a
percentage point (0.01%).
Book value of a
common share
The book value of a common share is calculated
by dividing common shareholders' equity by the number of common
shares on a given date.
Common Equity
Tier 1 (CET1) capital ratio
CET1 capital consists of common shareholders'
equity less goodwill, intangible assets, and other capital
deductions. The CET1 capital ratio is calculated by dividing total
CET1 capital by the corresponding risk-weighted assets.
Compound
annual growth rate (CAGR)
CAGR is a rate of growth that shows, for a
period exceeding one year, the annual change as though the growth
had been constant throughout the period.
Derivative
financial instruments
Derivative financial instruments are financial
contracts whose value is derived from an underlying interest rate,
exchange rate, equity, commodity price, credit instrument or index.
Examples of derivatives include swaps, options, forward rate
agreements, and futures. The notional amount of the derivative is
the contract amount used as a reference point to calculate the
payments to be exchanged between the two parties, and the notional
amount itself is generally not exchanged by the parties.
Diluted
earnings per share
Diluted earnings per share is calculated by
dividing net income attributable to common shareholders by the
weighted average number of common shares outstanding after taking
into account the dilution effect of stock options using the
treasury stock method and any gain (loss) on the redemption of
preferred shares.
Dividend payout
ratio
The dividend payout ratio represents the
dividends of common shares (per share amount) expressed as a
percentage of basic earnings per share.
Economic
capital
Economic capital is the internal measure used by
the Bank to determine the capital required for its solvency and to
pursue its business operations. Economic capital takes into
consideration the credit, market, operational, business and other
risks to which the Bank is exposed as well as the risk
diversification effect among them and among the business segments.
Economic capital thus helps the Bank to determine the capital
required to protect itself against such risks and ensure its
long-term viability.
Efficiency
ratio
The efficiency ratio represents non-interest
expenses expressed as a percentage of total revenues. It measures
the efficiency of the Bank's operations.
Fair
value
The fair value of a financial instrument is the
price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction in the principal market at the
measurement date under current market conditions (i.e., an exit
price).
Gross impaired
loans as a percentage of total loans and
acceptances
This measure represents gross impaired loans
expressed as a percentage of the balance of loans and
acceptances.
Gross impaired
loans excluding POCI loans
Gross impaired loans excluding POCI loans are
all loans classified in Stage 3 of the expected credit loss model
excluding POCI loans.
Gross impaired
loans excluding POCI loans as a percentage of total loans and
acceptances
This measure represents gross impaired loans
excluding POCI loans expressed as a percentage of the balance of
loans and acceptances.
Hedging
The purpose of a hedging transaction is to
modify the Bank's exposure to one or more risks by creating an
offset between changes in the fair value of, or the cash flows
attributable to, the hedged item and the hedging
instrument.
Impaired
loans
The Bank considers a financial asset, other than
a credit card receivable, to be credit-impaired when one or more
events that have a detrimental impact on the estimated future cash
flows of the financial asset have occurred or when contractual
payments are 90 days past due. Credit card receivables are
considered credit-impaired and are fully written off at the earlier
of the following dates: when a notice of bankruptcy is received, a
settlement proposal is made, or contractual payments are 180 days
past due.
Leverage
ratio
The leverage ratio is calculated by dividing
Tier 1 capital by total exposure. Total exposure is
defined as the sum of on-balance-sheet assets (including derivative
financial instrument exposures and securities financing transaction
exposures) and off-balance-sheet items.
Liquidity
coverage ratio (LCR)
The LCR is a measure designed to ensure that the
Bank has sufficient high-quality liquid assets to cover net cash
outflows given a severe, 30‑day liquidity crisis.
Loans and
acceptances
Loans and acceptances represent the sum of loans
and of the customers' liability under acceptances.
Loan-to-value
ratio
The loan-to-value ratio is calculated according
to the total facility amount for residential mortgages and home
equity lines of credit divided by the value of the related
residential property.
Master netting
agreement
Legal agreement between two parties that have
multiple derivative contracts with each other that provides for the
net settlement of all contracts through a single payment, in the
event of default, insolvency or bankruptcy.
Net impaired
loans
Net impaired loans are gross impaired loans
presented net of allowances for credit losses on Stage 3 loan
amounts drawn.
Net impaired
loans as a percentage of total loans and
acceptances
This measure represents net impaired loans as a
percentage of the balance of loans and acceptances.
Net impaired
loans excluding POCI loans
Net impaired loans excluding POCI loans are
gross impaired loans excluding POCI loans presented net of
allowances for credit losses on amounts drawn on Stage 3 loans
granted by the Bank.
Net interest
income from trading activities
Net interest income from trading activities
comprises dividends related to financial assets and liabilities
associated with trading activities, net of interest expenses and
interest income related to the financing of these financial assets
and liabilities.
Net interest
income, non-trading
Net interest income, non-trading, comprises
revenues related to financial assets and liabilities associated
with non-trading activities, net of interest expenses and interest
income related to the financing of these financial assets and
liabilities.
Net interest
margin
Net interest margin is calculated by dividing
net interest income by average interest-bearing assets.
Net stable
funding ratio (NSFR)
The NSFR ratio is a measure that helps guarantee
that the Bank is maintaining a stable funding profile to reduce the
risk of funding stress.
Net write-offs
as a percentage of average loans and acceptances
This measure represents the net write-offs (net
of recoveries) expressed as a percentage of average loans and
acceptances.
Non-interest
income related to trading activities
Non-interest income related to trading
activities consists of realized and unrealized gains and losses as
well as interest income on securities measured at fair value
through profit or loss, income from held-for-trading derivative
financial instruments, changes in the fair value of loans at fair
value through profit or loss, changes in the fair value of
financial instruments designated at fair value through profit or
loss, certain commission income, other trading activity revenues,
and any applicable transaction costs.
Office of the
Superintendent of Financial Institutions (Canada)
(OSFI)
The mandate of OSFI is to regulate and supervise
financial institutions and private pension plans subject to federal
oversight, to help minimize undue losses to depositors and
policyholders and, thereby, to contribute to public confidence in
the Canadian financial system.
Operating
leverage
Operating leverage is the difference between the
growth rate for total revenues and the growth rate for non-interest
expenses.
Provisioning
rate
This measure represents the allowances for
credit losses on impaired loans expressed as a percentage of gross
impaired loans.
Provisioning
rate excluding POCI loans
This measure represents the allowances for
credit losses on impaired loans excluding POCI loans expressed as a
percentage of gross impaired loans excluding POCI loans.
Provisions for
credit losses
Amount charged to income necessary to bring the
allowances for credit losses to a level deemed appropriate by
management and is comprised of provisions for credit losses on
impaired and non-impaired financial assets.
Provisions for
credit losses as a percentage of average loans and
acceptances
This measure represents the provisions for
credit losses expressed as a percentage of average loans and
acceptances.
Provisions for
credit losses on impaired loans as a percentage of average loans
and acceptances
This measure represents the provisions for
credit losses on impaired loans expressed as a percentage of
average loans and acceptances.
Provisions for
credit losses on impaired loans excluding POCI loans as a
percentage of average loans and acceptances or provisions for
credit losses on impaired loans excluding POCI loans
ratio
This measure represents the provisions for
credit losses on impaired loans excluding POCI loans expressed as a
percentage of average loans and acceptances.
Return on
average assets
Return on average assets represents net income
expressed as a percentage of average assets.
Return on
common shareholders' equity (ROE)
ROE represents net income attributable to common
shareholders expressed as a percentage of average equity
attributable to common shareholders. It is a general measure of the
Bank's efficiency in using equity.
Risk-weighted
assets
Assets are risk weighted according to the
guidelines established by OSFI. In the Standardized calculation
approach, risk factors are applied directly to the face value of
certain assets in order to reflect comparable risk levels. In the
Advanced Internal Ratings-Based (AIRB) Approach, risk-weighted
assets are derived from the Bank's internal models, which represent
the Bank's own assessment of the risks it incurs. In the Foundation
Internal Ratings-Based (FIRB) Approach, the Bank can
use its own estimate of probability of default but must rely on
OSFI estimates for the loss given default and exposure at default
risk parameters. Off-balance-sheet instruments are
converted to balance sheet (or credit) equivalents by adjusting the
notional values before applying the appropriate risk-weighting
factors.
Securities
purchased under reverse repurchase agreements
Securities purchased by the Bank from a client
pursuant to an agreement under which the securities will be resold
to the same client on a specified date and at a specified price.
Such an agreement is a form of short-term collateralized
lending.
Securities sold
under repurchase agreements
Financial obligations related to securities sold
pursuant to an agreement under which the securities will be
repurchased on a specified date and at a specified price. Such an
agreement is a form of short-term funding.
Stressed VaR
(SVaR)
SVaR is a statistical measure of risk that
replicates the VaR calculation method but uses, instead of a
two-year history of risk factor changes, a 12‑month data period
corresponding to a continuous period of significant financial
stress that is relevant in terms of the Bank's
portfolios.
Structured
entity
A structured entity is an entity created to
accomplish a narrow and well-defined objective and is designed so
that voting or similar rights are not the dominant factor in
deciding who controls the entity, such as when any voting rights
relate solely to administrative tasks and the relevant activities
are directed by means of contractual arrangements.
Taxable
equivalent basis
Taxable equivalent basis is a calculation method
that consists of grossing up certain revenues taxed at lower rates
(notably dividends) by the income tax to a level that would make it
comparable to revenues from taxable sources in Canada. The Bank
uses the taxable equivalent basis to calculate net interest income,
non-interest income and income taxes.
Tier 1 capital
ratio
Tier 1 capital ratio consists of Common Equity
Tier 1 capital and Additional Tier 1 instruments, namely,
qualifying non-cumulative preferred shares and the eligible amount
of innovative instruments. Tier 1 capital ratio is calculated by
dividing Tier 1 capital, less regulatory adjustments, by the
corresponding risk-weighted assets.
TLAC leverage
ratio
The TLAC leverage ratio is an independent risk
measure that is calculated by dividing available TLAC by total
exposure, as set out in OSFI's Total Loss Absorbing Capacity (TLAC)
Guideline.
TLAC
ratio
The TLAC ratio is a measure used to assess
whether a non-viable Domestic Systemically Important Bank (D-SIB)
has sufficient loss-absorbing capacity to support its
recapitalization. It is calculated by dividing available TLAC by
risk weighted assets, as set out in OSFI's Total Loss Absorbing Capacity (TLAC)
Guideline.
Total capital
ratio
Total capital is the sum of Tier 1 and Tier 2
capital. Tier 2 capital consists of the eligible portion of
subordinated debt and certain allowances for credit losses. The
Total capital ratio is calculated by dividing Total capital, less
regulatory adjustments, by the corresponding risk-weighted
assets.
Total
shareholder return (TSR)
TSR represents the average total return on an
investment in the Bank's common shares. The return includes changes
in share price and assumes that the dividends received were
reinvested in additional common shares of the Bank.
Trading
activity revenues
Trading activity revenues consist
of the net interest income and the non-interest income related to
trading activities. Net interest income comprises dividends related
to financial assets and liabilities associated with trading
activities, and some interest income related to the financing of
these financial assets and liabilities net of interest expenses and
interest income related to the financing of these financial assets
and liabilities. Non-interest income
consists of realized and unrealized gains and losses as well as
interest income on securities measured at fair value through profit
or loss, income from held-for-trading derivative financial
instruments, changes in the fair value of loans at fair value
through profit or loss, changes in the fair value of financial
instruments designated at fair value through profit or loss,
realized and unrealized gains and losses as well as interest
expense on obligations related to securities sold short, certain
commission income, other trading activity revenues, and any
applicable transaction costs.
Value-at-Risk
(VaR)
VaR is a statistical measure of risk that is
used to quantify market risks across products, per types of risks,
and aggregate risk on a portfolio basis. VaR is defined as the
maximum loss at a specific confidence level over a certain horizon
under normal market conditions. The VaR method has the advantage of
providing a uniform measurement of financial instrument-related
market risks based on a single statistical confidence level and
time horizon.