Q2 2024 Report to Shareholders (Part 2)

National Bank of Canada

29 May 2024

National Bank of Canada

May 29, 2024

Regulatory Announcement (Part 2)

Q2 2024 Results

National Bank of Canada (the "Bank") announces publication of its Second Quarter 2024 Report to Shareholders. The Second 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/en/about-us/investors/investor-relations/quarterly-results.html

To view the full PDF of this Second Quarter 2024 Report to Shareholders, please click on the following link:

http://www.rns-pdf.londonstockexchange.com/rns/3101Q_1-2024-5-29.pdf

Report to Shareholders Second Quarter 2024

Interim Condensed Consolidated

Financial Statements

(unaudited)

	Consolidated Balance Sheets	52
	Consolidated Statements of Income	53
	Consolidated Statements of Comprehensive Income	54
	Consolidated Statements of Changes in Equity	56
	Consolidated Statements of Cash Flows	57
	Notes to the Interim Condensed Consolidated Financial Statements	58

Consolidated Balance Sheets

(unaudited) (millions of Canadian dollars)

		As at April 30, 2024	As at October 31, 2023⁽¹⁾
Assets
Cash and deposits with financial institutions		29,678	35,234
Securities (Notes 4, 5 and 6)
At fair value through profit or loss		106,180	99,994
At fair value through other comprehensive income		12,077	9,242
At amortized cost		12,183	12,582
		130,440	121,818
Securities purchased under reverse repurchase agreements
	and securities borrowed	21,157	11,260
Loans (Note 7)
Residential mortgage		90,085	86,847
Personal		46,716	46,358
Credit card		2,644	2,603
Business and government		93,028	84,192
		232,473	220,000
Customers' liability under acceptances		3,508	6,627
Allowances for credit losses		(1,211)	(1,184)
		234,770	225,443
Other
Derivative financial instruments		12,580	17,516
Investments in associates and joint ventures		37	49
Premises and equipment		1,825	1,592
Goodwill		1,520	1,521
Intangible assets		1,238	1,256
Other assets (Note 8)		8,445	7,788
		25,645	29,722
		441,690	423,477
Liabilities and equity
Deposits (Notes 5 and 9)		306,881	288,173
Other
Acceptances		3,508	6,627
Obligations related to securities sold short		10,880	13,660
Obligations related to securities sold under repurchase agreements
	and securities loaned	41,494	38,347
Derivative financial instruments		19,164	19,888
Liabilities related to transferred receivables (Note 5)		26,626	25,034
Other liabilities (Note 10)		7,570	7,416
		109,242	110,972
Subordinated debt (Note 11)		1,237	748
Equity
Equity attributable to the Bank's shareholders and holders of other equity instruments (Notes 12 and 14)
Preferred shares and other equity instruments		3,150	3,150
Common shares		3,413	3,294
Contributed surplus		64	68
Retained earnings		17,368	16,650
Accumulated other comprehensive income		334	420
		24,329	23,582
Non-controlling interests		1	2
		24,330	23,584
		441,690	423,477
The accompanying notes are an integral part of these unaudited interim condensed consolidated financial statements.

(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 these consolidated financial statements.

Consolidated Statements of Income

(unaudited) (millions of Canadian dollars)

		Quarter ended April 30		Six months ended April 30
		2024	2023⁽¹⁾	2024	2023⁽¹⁾
Interest income
Loans		3,823	3,026	7,516	5,929
Securities at fair value through profit or loss		429	358	881	783
Securities at fair value through other comprehensive income		123	68	238	127
Securities at amortized cost		109	119	232	231
Deposits with financial institutions		391	408	814	780
		4,875	3,979	9,681	7,850
Interest expense
Deposits		3,256	2,365	6,430	4,461
Liabilities related to transferred receivables		188	157	360	299
Subordinated debt		16	10	27	25
Other		780	565	1,478	1,084
		4,240	3,097	8,295	5,869
Net interest income⁽²⁾		635	882	1,386	1,981
Non-interest income
Underwriting and advisory fees		115	93	203	200
Securities brokerage commissions		46	47	97	94
Mutual fund revenues		155	141	305	284
Investment management and trust service fees		282	247	550	489
Credit fees		133	133	281	270
Card revenues		51	51	101	97
Deposit and payment service charges		72	73	144	146
Trading revenues (losses)		1,125	650	2,126	1,181
Gains (losses) on non-trading securities, net		38	30	63	41
Insurance revenues, net		12	12	33	30
Foreign exchange revenues, other than trading		57	38	105	94
Share in the net income of associates and joint ventures		2	4	4	7
Other		27	45	62	94
		2,115	1,564	4,074	3,027
Total revenues		2,750	2,446	5,460	5,008
Non-interest expenses
Compensation and employee benefits		909	826	1,813	1,694
Occupancy		94	83	181	165
Technology		255	253	514	503
Communications		14	15	27	29
Professional fees		66	62	132	124
Other		134	123	254	237
		1,472	1,362	2,921	2,752
Income before provisions for credit losses and income taxes		1,278	1,084	2,539	2,256
Provisions for credit losses (Note 7)		138	85	258	171
Income before income taxes		1,140	999	2,281	2,085
Income taxes (Note 16)		234	167	453	377
Net income		906	832	1,828	1,708
Net income attributable to
Preferred shareholders and holders of other equity instruments		37	35	74	70
Common shareholders		870	798	1,755	1,639
Bank shareholders and holders of other equity instruments		907	833	1,829	1,709
Non-controlling interests		(1)	(1)	(1)	(1)
		906	832	1,828	1,708
Earnings per share (dollars) (Note 17)
	Basic	2.56	2.37	5.18	4.86
	Diluted	2.54	2.34	5.13	4.81
Dividends per common share (dollars) (Note 12)		1.06	0.97	2.12	1.94
The accompanying notes are an integral part of these unaudited interim condensed consolidated financial statements.

(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 these consolidated financial statements.

(2) Net interest income includes dividend income. For additional information, see Note 1 to the audited annual consolidated financial statements for the year ended October 31, 2023.

Consolidated Statements of Comprehensive Income

(unaudited) (millions of Canadian dollars)

					Quarter ended April 30			Six months ended April 30
						2024	2023⁽¹⁾	2024	2023⁽¹⁾
Net income						906	832	1,828	1,708
Other comprehensive income, net of income taxes
	Items that may be subsequently reclassified to net income
		Net foreign currency translation adjustments
			Net unrealized foreign currency translation gains (losses) on investments in foreign operations			203	109	(40)	(31)
			Impact of hedging net foreign currency translation gains (losses)			(86)	(34)	(17)	6
						117	75	(57)	(25)
		Net change in debt securities at fair value through other comprehensive income
			Net unrealized gains (losses) on debt securities at fair value through other comprehensive income			(12)	(40)	33	(28)
			Net (gains) losses on debt securities at fair value through other comprehensive
				income reclassified to net income		(12)	48	(9)	52
			Change in allowances for credit losses on debt securities at fair value through
				other comprehensive income reclassified to net income		−	1	−	−
						(24)	9	24	24
		Net change in cash flow hedges
			Net gains (losses) on derivative financial instruments designated as cash flow hedges			(25)	5	4	(20)
			Net (gains) losses on designated derivative financial instruments reclassified to net income			(31)	16	(57)	25
						(56)	21	(53)	5
		Share in the other comprehensive income of associates and joint ventures				−	−	−	1
	Items that will not be subsequently reclassified to net income
		Remeasurements of pension plans and other post-employment benefit plans				(24)	3	(16)	(56)
		Net gains (losses) on equity securities designated at fair value through other comprehensive income				9	(4)	31	6
		Net fair value change attributable to the credit risk on financial liabilities
			designated at fair value through profit or loss			(168)	(19)	(333)	(158)
						(183)	(20)	(318)	(208)
Total other comprehensive income, net of income taxes						(146)	85	(404)	(203)
Comprehensive income						760	917	1,424	1,505
Comprehensive income attributable to
	Bank shareholders and holders of other equity instruments					761	918	1,425	1,506
	Non-controlling interests					(1)	(1)	(1)	(1)
						760	917	1,424	1,505
The accompanying notes are an integral part of these unaudited interim condensed consolidated financial statements.

(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 these consolidated financial statements.

Consolidated Statements of Comprehensive Income (cont.)

(unaudited) (millions of Canadian dollars)

Income Taxes - Other Comprehensive Income

The following table presents the income tax expense or recovery for each component of other comprehensive income.

				Quarter ended April 30			Six months ended April 30
					2024	2023	2024	2023
Items that may be subsequently reclassified to net income
	Net foreign currency translation adjustments
		Net unrealized foreign currency translation gains (losses) on investments in foreign operations			(4)	(3)	2	2
		Impact of hedging net foreign currency translation gains (losses)			(25)	(8)	(8)	−
					(29)	(11)	(6)	2
	Net change in debt securities at fair value through other comprehensive income
		Net unrealized gains (losses) on debt securities at fair value through other comprehensive income			(4)	(15)	13	(11)
		Net (gains) losses on debt securities at fair value through other comprehensive income
			reclassified to net income		(4)	18	(3)	20
		Change in allowances for credit losses on debt securities at fair value through
			other comprehensive income reclassified to net income		−	−	−	−
					(8)	3	10	9
	Net change in cash flow hedges
		Net gains (losses) on derivative financial instruments designated as cash flow hedges			(10)	2	1	(8)
		Net (gains) losses on designated derivative financial instruments reclassified to net income			(12)	6	(22)	10
					(22)	8	(21)	2
	Share in the other comprehensive income of associates and joint ventures				−	−	−	−
Items that will not be subsequently reclassified to net income
	Remeasurements of pension plans and other post-employment benefit plans				(10)	1	(7)	(12)
	Net gains (losses) on equity securities designated at fair value through other comprehensive income				3	(1)	13	2
	Net fair value change attributable to the credit risk on financial liabilities
		designated at fair value through profit or loss			(65)	(8)	(128)	(61)
					(72)	(8)	(122)	(71)
					(131)	(8)	(139)	(58)
The accompanying notes are an integral part of these unaudited interim condensed consolidated financial statements.

Consolidated Statements of Changes in Equity

(unaudited) (millions of Canadian dollars)

		Six months ended April 30
			2024	2023⁽¹⁾
Preferred shares and other equity instruments at beginning and at end (Note 12)			3,150	3,150
Common shares at beginning (Note 12)			3,294	3,196
Issuances of common shares pursuant to the Stock Option Plan			103	60
Impact of shares purchased or sold for trading			16	5
Common shares at end			3,413	3,261
Contributed surplus at beginning			68	56
Stock option expense (Note 14)			9	9
Stock options exercised			(11)	(6)
Other			(2)	−
Contributed surplus at end			64	59
Retained earnings at beginning			16,650	15,140
Impact of IFRS 17 adoption on November 1, 2022 (Note 2)			−	(48)
Net income attributable to the Bank's shareholders and holders of other equity instruments			1,829	1,709
Dividends on preferred shares and distributions on other equity instruments (Note 12)			(85)	(80)
Dividends on common shares (Note 12)			(720)	(655)
Remeasurements of pension plans and other post-employment benefit plans			(16)	(56)
Net gains (losses) on equity securities designated at fair value through other comprehensive income			31	6
Net fair value change attributable to the credit risk on financial liabilities
	designated at fair value through profit or loss		(333)	(158)
Impact of a financial liability resulting from put options written to non-controlling interests			1	7
Other			11	10
Retained earnings at end			17,368	15,875
Accumulated other comprehensive income at beginning			420	202
Net foreign currency translation adjustments			(57)	(25)
Net change in unrealized gains (losses) on debt securities at fair value through other comprehensive income			24	24
Net change in gains (losses) on instruments designated as cash flow hedges			(53)	5
Share in the other comprehensive income of associates and joint ventures			−	1
Accumulated other comprehensive income at end			334	207
Equity attributable to the Bank's shareholders and holders of other equity instruments			24,329	22,552
Non-controlling interests at beginning			2	2
Net income attributable to non-controlling interests			(1)	(1)
Non-controlling interests at end			1	1
Equity			24,330	22,553

Accumulated Other Comprehensive Income

	As at April 30, 2024	As at April 30, 2023
Accumulated other comprehensive income
Net foreign currency translation adjustments	250	179
Net unrealized gains (losses) on debt securities at fair value through other comprehensive income	(11)	(10)
Net gains (losses) on instruments designated as cash flow hedges	93	36
Share in the other comprehensive income of associates and joint ventures	2	2
	334	207
The accompanying notes are an integral part of these unaudited interim condensed consolidated financial statements.

(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 these consolidated financial statements.

Consolidated Statements of Cash Flows

(unaudited) (millions of Canadian dollars)

		Six months ended April 30
		2024	2023⁽¹⁾
Cash flows from operating activities
Net income		1,828	1,708
Adjustments for
	Provisions for credit losses	258	171
	Amortization of premises and equipment, including right-of-use assets	112	105
	Amortization of intangible assets	143	157
	Deferred taxes	(22)	(66)
	Losses (gains) on sales of non-trading securities, net	(63)	(41)
	Share in the net income of associates and joint ventures	(4)	(7)
	Stock option expense	9	9
Change in operating assets and liabilities
	Securities at fair value through profit or loss	(6,186)	(5,736)
	Securities purchased under reverse repurchase agreements and securities borrowed	(9,897)	9,659
	Loans and acceptances, net of securitization	(11,112)	(9,444)
	Deposits	18,708	15,120
	Obligations related to securities sold short	(2,780)	(3,096)
	Obligations related to securities sold under repurchase agreements and securities loaned	3,147	4,584
	Derivative financial instruments, net	4,212	1,722
	Interest and dividends receivable and interest payable	194	170
	Current tax assets and liabilities	24	(271)
	Other items	(970)	(1,420)
		(2,399)	13,324
Cash flows from financing activities
Issuances of common shares (including the impact of shares purchased for trading)		108	59
Issuance of subordinated debt		500	−
Redemption of subordinated debt		−	(750)
Repayments of lease liabilities		(63)	(50)
Dividends paid on shares and distributions on other equity instruments		(804)	(732)
		(259)	(1,473)
Cash flows from investing activities
Net change in investments in associates and joint ventures		10	−
Purchases of non-trading securities		(7,716)	(5,149)
Maturities of non-trading securities		2,546	1,473
Sales of non-trading securities		2,900	2,443
Net change in premises and equipment, excluding right-of-use assets		(322)	(181)
Net change in intangible assets		(125)	(130)
		(2,707)	(1,544)
Impact of currency rate movements on cash and cash equivalents		(191)	324
Increase (decrease) in cash and cash equivalents		(5,556)	10,631
Cash and cash equivalents at beginning		35,234	31,870
Cash and cash equivalents at end⁽²⁾		29,678	42,501
Supplementary information about cash flows from operating activities
Interest paid		8,065	5,166
Interest and dividends received		9,645	7,317
Income taxes paid		588	428
The accompanying notes are an integral part of these unaudited interim condensed consolidated financial statements.

(1) Certain amounts have been adjusted to reflect changes in accounting policies arising from the adoption of IFRS 17. For additional information, see Note 2 to these consolidated financial statements.

(2) This item is the equivalent of Consolidated Balance Sheet item Cash and deposits with financial institutions. It includes an amount of $10.5 billion as at April 30, 2024 ($9.3 billion as at October 31, 2023) for which there are restrictions and of which $6.1 billion ($6.5 billion as at October 31, 2023) represents the balances that the Bank must maintain with central banks, other regulatory agencies, and certain counterparties.

Notes to the Interim Condensed Consolidated Financial Statements

(unaudited) (millions of Canadian dollars)


Note 1	Basis of Presentation	58	Note 10	Other Liabilities	81
Note 2	Accounting Policy Changes	59	Note 11	Subordinated Debt	81
Note 3	Future Accounting Policy Changes	60	Note 12	Share Capital and Other Equity Instruments	81
Note 4	Fair Value of Financial Instruments	61	Note 13	Capital Disclosure	82
Note 5	Financial Instruments Designated at Fair Value Through		Note 14	Share-Based Payments	83
	Profit or Loss	66	Note 15	Employee Benefits - Pension Plans and Other
Note 6	Securities	67		Post-Employment Benefit Plans	84
Note 7	Loans and Allowances for Credit Losses	68	Note 16	Income Taxes	85
Note 8	Other Assets	80	Note 17	Earnings Per Share	86
Note 9	Deposits	80	Note 18	Segment Disclosures	86

Note 1 - Basis of Presentation

On May 28, 2024, the Board of Directors authorized the publication of the Bank's unaudited interim condensed consolidated financial statements (the consolidated financial statements) for the quarter and six-month period ended April 30, 2024.

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 the Office of the Superintendent of Financial Institutions (Canada) (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.

These consolidated financial statements were prepared in accordance with IAS 34 - Interim Financial Reporting and 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 these consolidated financial statements, which have been applied since November 1, 2023 upon the adoption of IFRS 17 - Insurance Contracts (IFRS 17). Certain comparative amounts have been adjusted to reflect these accounting policy changes.

Judgment, Estimates and Assumptions

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 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 geopolitical landscape (notably, the Russia-Ukraine war and clashes between Israel and Hamas), inflation, climate change, and higher interest rates continue to create uncertainty. As a result, establishing reliable estimates and applying judgment continue to be substantially complex. The uncertainty regarding certain key inputs used in measuring ECLs is described in Note 7 to these consolidated financial statements.

Unless otherwise indicated, all amounts are expressed in Canadian dollars, which is the Bank's functional and presentation currency.

Note 2 - Accounting Policy Changes

On November 1, 2023, the Bank adopted IFRS 17 - Insurance Contracts (IFRS 17).

Insurance Revenues

Insurance contracts, including reinsurance contracts, are arrangements under which one party accepts significant insurance risk by agreeing to compensate the policyholder if a specified uncertain future event was to occur.

The Bank uses the General Measurement Model (GMM) to measure most of its insurance and reinsurance contracts based on the present value of estimates of the expected future cash flows necessary to fulfill the contracts, including an adjustment for non-financial risk as well as the contractual service margin (CSM), which represents the unearned profits that will be recognized as services are provided in the future. The Bank has chosen to apply the simplified approach (the Premium Allocation Approach or PAA) to measure insurance contracts with coverage periods of one year or less. The insurance revenues from these contracts are recognized systematically over the coverage period. For all measurement approaches, if contracts are expected to be onerous, losses are recognized immediately in the Consolidated Statement of Income.

Upon the issuance of a contract, an insurance asset or liability and a reinsurance asset, if applicable, are recognized in Other assets and in Other liabilities on the Consolidated Balance Sheet. Subsequent changes in the carrying values of the insurance asset and liability and reinsurance asset are recognized on a net basis in Non-interest income in the Consolidated Statement of Income.

Insurance service expenses consist mainly of incurred claims and other insurance service expenses, amortization of insurance acquisition cash flows, and losses on onerous contracts as well as reversals of such losses. Royalties received from reinsurers are recognized in the Consolidated Statement of Income as the Bank receives services under groups of reinsurance contracts. Amounts recovered from reinsurers comprise cash flows related to the claims or benefit experience of the underlying contracts. All of these amounts are recognized as a deduction from insurance revenues in Non-interest income in the Consolidated Statement of Income.

Impacts of IFRS 17 Adoption

The IFRS 17 requirements have been applied retrospectively by adjusting the Consolidated Balance Sheet balances on the date of initial application, i.e., November 1, 2022. The impacts of IFRS 17 adoption have been recognized through an adjustment to Retained earnings as at November 1, 2022. The following information presents the impacts on the Consolidated Balance Sheets as at November 1, 2022 and as at October 31, 2023:

Consolidated Balance Sheets

	As at October 31, 2023		As at October 31, 2023	As at October 31, 2022		As at November 1, 2022
	As published	IFRS 17 adjustments	Adjusted	As published	IFRS 17 adjustments	Adjusted
Assets
Other assets	7,889	(101)	7,788	5,958	(50)	5,908
Liabilities
Other liabilities	7,423	(7)	7,416	6,361	(2)	6,359
Equity
Retained earnings	16,744	(94)	16,650	15,140	(48)	15,092

As at October 31, 2023, the net CSM amount related to the new recognition and measurement principles for insurance and reinsurance assets and liabilities stood at $109 million ($89 million as at November 1, 2022).

Note 2 - Accounting Policy Changes (cont.)

The following information presents the impacts on the Consolidated Statement of Income for the comparative quarter and six-month period:

Consolidated Statement of Income - Increase (Decrease)

Quarter ended April 30, 2023		Six months ended April 30, 2023
Non-interest income - Insurance revenues, net	(33)	(53)
Total revenues	(33)	(53)
Compensation and employee benefits	(7)	(14)
Occupancy	−	(1)
Technology	(2)	(4)
Professional fees	−	(1)
Other	(3)	(5)
Non-interest expenses	(12)	(25)
Income before provisions for credit losses and income taxes	(21)	(28)
Income before income taxes	(21)	(28)
Income taxes	(6)	(8)
Net income	(15)	(20)

Note 3 - Future Accounting Policy Changes

The Bank closely monitors both new accounting standards and amendments to existing accounting standards issued by the IASB. The following standard has been issued but is not yet effective. The Bank is currently assessing the impact of applying this standard on its consolidated financial statements.

Effective Date - November 1, 2027

IFRS 18 - Presentation and Disclosure in Financial Statements

In April 2024, the IASB issued a new accounting standard, IFRS 18 - Presentation and Disclosure in Financial Statements (IFRS 18). This new standard replaces the current IAS 1 accounting standard that covers the presentation of financial statements. IFRS 18 presents a new accounting framework that will improve how information is communicated in financial statements, in particular performance-related information in the consolidated income statement, and that will introduce limited changes to the consolidated statement of cash flows and the consolidated statement of financial position. IFRS 18 must be applied retrospectively for annual periods beginning on or after January 1, 2027. Earlier application is permitted.

Note 4 - Fair Value of Financial Instruments

Fair Value and Carrying Value of Financial Instruments by Category

Financial assets and financial liabilities are recognized on the Consolidated Balance Sheet at fair value or at amortized cost in accordance with the categories set out in the accounting framework for financial instruments.

								As at April 30, 2024
			Carrying value and fair value				Carrying value	Fair value	Total carrying value	Total fair value
			Financial instruments classified as at fair value through profit or loss	Financial instruments designated at fair value through profit or loss	Debt securities classified as at fair value through other comprehensive income	Equity securities designated at fair value through other comprehensive income	Financial instruments at amortized cost, net	Financial instruments at amortized cost, net	Total carrying value	Total fair value
Financial assets
	Cash and deposits with financial
		institutions	−	−	−	−	29,678	29,678	29,678	29,678

	Securities		105,763	417	11,404	673	12,183	11,852	130,440	130,109

	Securities purchased under reverse
		repurchase agreements
		and securities borrowed	−	−	−	−	21,157	21,157	21,157	21,157

	Loans and acceptances, net of allowances		14,248	−	−	−	220,522	219,455	234,770	233,703

	Other
	Derivative financial instruments		12,580	−	−	−	−	−	12,580	12,580
	Other assets		1,845	−	−	−	3,184	3,184	5,029	5,029
Financial liabilities
	Deposits⁽¹⁾		−	22,953			283,928	284,302	306,881	307,255

	Other
	Acceptances		−	−			3,508	3,508	3,508	3,508
	Obligations related to securities sold short		10,880	−			−	−	10,880	10,880

	Obligations related to securities sold under
		repurchase agreements and
		securities loaned	−	−			41,494	41,494	41,494	41,494
	Derivative financial instruments		19,164	−			−	−	19,164	19,164
	Liabilities related to transferred receivables		−	10,231			16,395	15,816	26,626	26,047
	Other liabilities		−	−			3,920	3,919	3,920	3,919

	Subordinated debt		−	−			1,237	1,251	1,237	1,251

(1) Includes embedded derivative financial instruments.

Note 4 - Fair Value of Financial Instruments (cont.)

								As at October 31, 2023⁽¹⁾
			Carrying value and fair value				Carrying value	Fair value	Total carrying value	Total fair value
			Financial instruments classified as at fair value through profit or loss	Financial instruments designated at fair value through profit or loss	Debt securities classified as at fair value through other comprehensive income	Equity securities designated at fair value through other comprehensive income	Financial instruments at amortized cost, net	Financial instruments at amortized cost, net	Total carrying value	Total fair value
Financial assets
	Cash and deposits with financial
		institutions	−	−	−	−	35,234	35,234	35,234	35,234

	Securities		99,236	758	8,583	659	12,582	12,097	121,818	121,333

	Securities purchased under reverse
		repurchase agreements
		and securities borrowed	−	−	−	−	11,260	11,260	11,260	11,260

	Loans and acceptances, net of allowances		13,124	−	−	−	212,319	210,088	225,443	223,212

	Other
	Derivative financial instruments		17,516	−	−	−	−	−	17,516	17,516
	Other assets		73	−	−	−	4,285	4,285	4,358	4,358
Financial liabilities
	Deposits⁽²⁾		−	18,275			269,898	269,490	288,173	287,765

	Other
	Acceptances		−	−			6,627	6,627	6,627	6,627
	Obligations related to securities sold short		13,660	−			−	−	13,660	13,660

	Obligations related to securities sold under
		repurchase agreements and
		securities loaned	−	−			38,347	38,347	38,347	38,347
	Derivative financial instruments		19,888	−			−	−	19,888	19,888
	Liabilities related to transferred receivables		−	9,952			15,082	14,255	25,034	24,207
	Other liabilities		−	−			3,497	3,494	3,497	3,494

	Subordinated debt		−	−			748	727	748	727

(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 these consolidated financial statements.

(2) Includes embedded derivative financial instruments.

Establishing Fair Value

The fair value of a financial instrument is the price that would be received to sell a financial asset or paid to transfer a financial liability in an orderly transaction in the principal market at the measurement date under current market conditions (i.e., an exit price).

Unadjusted quoted prices in active markets provide the best evidence of fair value. When there is no quoted price in an active market, the Bank applies other valuation techniques that maximize the use of relevant observable inputs and that minimize the use of unobservable inputs. Such valuation techniques include the following: using information available from recent market transactions, referring to the current fair value of a comparable financial instrument, applying discounted cash flow analysis, applying option pricing models, or relying on any other valuation technique that is commonly used by market participants and has proven to yield reliable estimates. Judgment is required when applying many of the valuation techniques. The Bank's valuations were based on its assessment of the conditions prevailing as at April 30, 2024 and may change in the future. Furthermore, there may be measurement uncertainty resulting from the choice of valuation model used.

Fair value is established in accordance with a rigorous control framework. The Bank has policies and procedures that govern the process for determining fair value. The Bank's valuation governance structure has remained largely unchanged from that described in Note 3 to the audited annual consolidated financial statements for the year ended October 31, 2023. The valuation techniques used to determine the fair value of financial assets and financial liabilities are also described in this note, and no significant changes have been made to the valuation techniques.

Financial Instruments Recorded at Fair Value on the Consolidated Balance Sheet

Hierarchy of Fair Value Measurements

IFRS establishes a fair value measurement hierarchy that classifies the inputs used in financial instrument fair value measurement techniques according to three levels. This fair value hierarchy requires observable market inputs in an active market to be used whenever such inputs exist. According to the hierarchy, the highest level of inputs are unadjusted quoted prices in active markets for identical instruments and the lowest level of inputs are unobservable inputs. In some cases, the inputs used to measure the fair value of a financial instrument might be categorized within different levels of the fair value hierarchy. In those cases, the fair value measurement is categorized in its entirety in the same level of the fair value hierarchy as the lowest level input that is significant to the entire measurement. For additional information, see Note 3 to the audited annual consolidated financial statements for the year ended October 31, 2023.

Transfers of financial instruments between Levels 1 and 2 and transfers to (or from) Level 3 are deemed to have taken place at the beginning of the quarter in which the transfer occurred. Significant transfers can occur between the fair value hierarchy levels due to new information on inputs used to determine fair value and the observable nature of those inputs.

During the quarter ended April 30, 2024, $5 million in securities classified as at fair value through profit or loss and $1 million in obligations related to securities sold short were transferred from Level 2 to Level 1 as a result of changing market conditions ($1 million in securities classified as at fair value through profit or loss during the quarter ended April 30, 2023). Also, $2 million in securities classified as at fair value through profit or loss were transferred from Level 1 to Level 2 as a result of changing market conditions during the quarter ended April 30, 2023. During the six-month periods ended April 30, 2024 and 2023, financial instruments were transferred to (or from) Level 3 due to changes in the availability of observable market inputs as a result of changing market conditions.

The following tables show financial instruments recorded at fair value on the Consolidated Balance Sheet according to the fair value hierarchy.

						As at April 30, 2024
					Level 1	Level 2	Level 3	Total financial assets/liabilities at fair value
Financial assets
	Securities
		At fair value through profit or loss
			Securities issued or guaranteed by
				Canadian government	6,093	10,757	−	16,850
				Canadian provincial and municipal governments	−	8,482	−	8,482
				U.S. Treasury, other U.S. agencies and other foreign governments	1,323	1,075	−	2,398
			Other debt securities		−	3,535	56	3,591
			Equity securities		71,582	2,735	542	74,859
					78,998	26,584	598	106,180
		At fair value through other comprehensive income
			Securities issued or guaranteed by
				Canadian government	164	4,880	−	5,044
				Canadian provincial and municipal governments	−	2,270	−	2,270
				U.S. Treasury, other U.S. agencies and other foreign governments	2,899	157	−	3,056
			Other debt securities		−	1,034	−	1,034
			Equity securities		−	311	362	673
					3,063	8,652	362	12,077
	Loans				−	14,046	202	14,248
	Other
		Derivative financial instruments			207	12,169	204	12,580
		Other assets - Other items			−	1,767	78	1,845
					82,268	63,218	1,444	146,930
Financial liabilities
	Deposits⁽¹⁾				−	23,013	−	23,013
	Other
		Obligations related to securities sold short			6,645	4,235	−	10,880
		Derivative financial instruments			482	18,660	22	19,164
		Liabilities related to transferred receivables			−	10,231	−	10,231
					7,127	56,139	22	63,288

(1) The amounts include the fair value of embedded derivative financial instruments in deposits.

Note 4 - Fair Value of Financial Instruments (cont.)

						As at October 31, 2023
					Level 1	Level 2	Level 3	Total financial assets/liabilities at fair value
Financial assets
	Securities
		At fair value through profit or loss
			Securities issued or guaranteed by
				Canadian government	6,403	10,872	−	17,275
				Canadian provincial and municipal governments	−	8,260	−	8,260
				U.S. Treasury, other U.S. agencies and other foreign governments	2,781	2,105	−	4,886
			Other debt securities		−	3,450	65	3,515
			Equity securities		65,018	554	486	66,058
					74,202	25,241	551	99,994
		At fair value through other comprehensive income
			Securities issued or guaranteed by
				Canadian government	73	4,124	−	4,197
				Canadian provincial and municipal governments	−	1,938	−	1,938
				U.S. Treasury, other U.S. agencies and other foreign governments	904	254	−	1,158
			Other debt securities		−	1,290	−	1,290
			Equity securities		−	281	378	659
					977	7,887	378	9,242
	Loans				−	12,907	217	13,124
	Other
		Derivative financial instruments			285	17,224	7	17,516
		Other assets - Other items			−	−	73	73
					75,464	63,259	1,226	139,949
Financial liabilities
	Deposits⁽¹⁾				−	18,134	−	18,134
	Other
		Obligations related to securities sold short			8,335	5,325	−	13,660
		Derivative financial instruments			467	19,399	22	19,888
		Liabilities related to transferred receivables			−	9,952	−	9,952
					8,802	52,810	22	61,634

(1) The amounts include the fair value of embedded derivative financial instruments in deposits.

Financial Instruments Classified in Level 3

The Bank classifies financial instruments in Level 3 when the valuation technique is based on at least one significant input that is not observable in the markets. The Bank maximizes the use of observable inputs to determine the fair value of financial instruments.

For a description of the valuation techniques and significant unobservable inputs used in determining the fair value of financial instruments classified in Level 3, see Note 3 to the audited annual consolidated financial statements for the year ended October 31, 2023. For the quarter and six-month period ended April 30, 2024, no significant change was made to the valuation techniques and significant unobservable inputs used in determining fair value.

Sensitivity Analysis of Financial Instruments Classified in Level 3

The Bank performs sensitivity analyses for the fair value measurements of Level 3 financial instruments, substituting unobservable inputs with one or more reasonably possible alternative assumptions. For additional information on how a change in an unobservable input might affect the fair value measurements of Level 3 financial instruments, see Note 3 to the audited annual consolidated financial statements for the year ended October 31, 2023. For the six-month period ended April 30, 2024, there were no significant changes in the sensitivity analyses of Level 3 financial instruments, except for derivative financial instruments for which the reasonable fair value range could result in a $68 million increase or decrease in the net fair value recorded as at April 30, 2024 (a $16 million increase or decrease as at October 31, 2023).

Change in the Fair Value of Financial Instruments Classified in Level 3

The Bank may hedge the fair value of financial instruments classified in the various levels through offsetting hedge positions. Gains and losses on financial instruments classified in Level 3 presented in the following tables do not reflect the inverse gains and losses on financial instruments used for economic hedging purposes that may have been classified in Level 1 or Level 2 by the Bank. In addition, the Bank may hedge the fair value of financial instruments classified in Level 3 using other financial instruments classified in Level 3. The effect of these hedges is not included in the net amount presented in the following tables. The gains and losses presented hereafter may comprise changes in fair value based on observable and unobservable inputs.

Six months ended April 30, 2024

Securities

at fair value

through profit

or loss

Securities

at fair value

through other

comprehensive

income

Loans and

other assets

Derivative

financial

instruments⁽¹⁾

Deposits⁽²⁾

Fair value as at October 31, 2023

551

378

290

(15)

−

Total realized and unrealized gains (losses) included in Net income ⁽³⁾

−

(4)

−

Total realized and unrealized gains (losses) included in

Other comprehensive income

−

(7)

−

Purchases

−

Sales

(11)

(9)

(2)

−

Issuances

−

Settlements and other

−

(25)

200

−

Financial instruments transferred into Level 3

−

(1)

−

Financial instruments transferred out of Level 3

−

Fair value as at April 30, 2024

598

362

280

182

−

Change in unrealized gains and losses included in Net income with respect

to financial assets and financial liabilities held as at April 30, 2024⁽⁴⁾

−

(4)

−

Six months ended April 30, 2023

Securities

at fair value

through profit

or loss

Securities

at fair value

through other

comprehensive

income

Loans and

other assets

Derivative

financial

instruments⁽¹⁾

Deposits⁽²⁾

Fair value as at October 31, 2022

476

320

331

(17)

(8)

Total realized and unrealized gains (losses) included in Net income ⁽⁵⁾

−

Total realized and unrealized gains (losses) included in

Other comprehensive income

−

Purchases

−

Sales

(9)

−

Issuances

−

Settlements and other

−

(30)

−

Financial instruments transferred into Level 3

−

Financial instruments transferred out of Level 3

−

Fair value as at April 30, 2023

504

331

317

(1)

−

Change in unrealized gains and losses included in Net income with respect

to financial assets and financial liabilities held as at April 30, 2023⁽⁶⁾

−

(1) The derivative financial instruments include assets and liabilities presented on a net basis.

(2) The amounts include the fair value of embedded derivative financial instruments in deposits.

(3) Total gains (losses) included in Non-interest income was a gain of $39 million.

(4) Total unrealized gains (losses) included in Non-interest income was an unrealized gain of $84 million.

(5) Total gains (losses) included in Non-interest income was a gain of $9 million.

(6) Total unrealized gains (losses) included in Non-interest income was an unrealized gain of $21 million.

Note 5 - Financial Instruments Designated at Fair Value Through Profit or Loss

The Bank chose to designate certain financial instruments at fair value through profit or loss according to the criteria presented in Note 1 to the audited annual consolidated financial statements for the year ended October 31, 2023. Consistent with its risk management strategy and in accordance with the fair value option, which permits the designation if it eliminates or significantly reduces a measurement or recognition inconsistency that would otherwise arise from measuring financial assets and financial liabilities or recognizing the gains and losses thereon on different bases, the Bank designated certain securities, certain securities purchased under reverse repurchase agreements, and certain liabilities related to transferred receivables at fair value through profit or loss. The fair value of liabilities related to transferred receivables does not include credit risk, as the holders of these liabilities are not exposed to the Bank's credit risk. The Bank also designated certain deposits that include embedded derivative financial instruments at fair value through profit or loss.

To determine a change in fair value arising from a change in the credit risk of deposits designated at fair value through profit or loss, the Bank calculates, at the beginning of the period, the present value of the instrument's contractual cash flows using the following rates: first, an observed discount rate for similar securities that reflects the Bank's credit spread and, then, a rate that excludes the Bank's credit spread. The difference obtained between the two values is then compared to the difference obtained using the same rates at the end of the period.

Information about the financial assets and financial liabilities designated at fair value through profit or loss is provided in the following tables.

		Carrying value as at April 30, 2024	Unrealized gains (losses) for the quarter ended April 30, 2024	Unrealized gains (losses) for the six months ended April 30, 2024	Unrealized gains (losses) since the initial recognition of the instrument
Financial assets designated at fair value through profit or loss
	Securities	417	(6)	2	(5)
Financial liabilities designated at fair value through profit or loss
	Deposits⁽¹⁾⁽²⁾	22,953	11	(1,745)	2,165
	Liabilities related to transferred receivables	10,231	75	(96)	451
^.		33,184	86	(1,841)	2,616

		Carrying value as at April 30, 2023	Unrealized gains (losses) for the quarter ended April 30, 2023	Unrealized gains (losses) for the six months ended April 30, 2023	Unrealized gains (losses) since the initial recognition of the instrument
Financial assets designated at fair value through profit or loss
	Securities	855	3	10	3
	Securities purchased under reverse repurchase agreements	39	−	−	−
		894	3	10	3
Financial liabilities designated at fair value through profit or loss
	Deposits⁽¹⁾⁽²⁾	18,625	66	(1,066)	2,071
	Liabilities related to transferred receivables	10,419	(7)	(107)	410
		29,044	59	(1,173)	2,481

(1) For the quarter ended April 30, 2024, the change in the fair value of deposits designated at fair value through profit or loss attributable to credit risk, and recorded in Other comprehensive income, resulted in a loss of $233 million ($27 million loss for the quarter ended April 30, 2023). For the six-month period ended April 30, 2024, this change resulted in a loss of $461 million ($219 million loss for the six-month period ended April 30, 2023).

(2) The amount at maturity that the Bank will be contractually required to pay to the holders of these deposits varies and will differ from the reporting date fair value.

Note 6 - Securities

Credit Quality

As at April 30, 2024 and as at October 31, 2023, securities at fair value through other comprehensive income and securities at amortized cost were mainly classified in Stage 1, with their credit quality falling mostly in the "Excellent" category according to the Bank's internal risk-rating categories. For additional information on the reconciliation of allowances for credit losses, see Note 7 to these consolidated financial statements.

Unrealized Gross Gains (Losses) on Securities at Fair Value Through Other Comprehensive Income⁽¹⁾

		As at April 30, 2024
		Amortized cost	Unrealized gross gains	Unrealized gross losses	Carrying value⁽²⁾
Securities issued or guaranteed by
	Canadian government	5,172	4	(132)	5,044
	Canadian provincial and municipal governments	2,389	−	(119)	2,270
	U.S. Treasury, other U.S. agencies and other foreign governments	3,128	−	(72)	3,056
Other debt securities		1,120	1	(87)	1,034
Equity securities		598	81	(6)	673
		12,407	86	(416)	12,077

		As at October 31, 2023
		Amortized cost	Unrealized gross gains	Unrealized gross losses	Carrying value⁽²⁾
Securities issued or guaranteed by
	Canadian government	4,406	1	(210)	4,197
	Canadian provincial and municipal governments	2,110	−	(172)	1,938
	U.S. Treasury, other U.S. agencies and other foreign governments	1,227	−	(69)	1,158
Other debt securities		1,423	−	(133)	1,290
Equity securities		616	66	(23)	659
		9,782	67	(607)	9,242

(1) Excludes the impact of hedging.

(2) The allowances for credit losses on securities at fair value through other comprehensive income (excluding equity securities), representing $3 million as at April 30, 2024 ($3 million as at October 31, 2023), are reported in Other comprehensive income. For additional information, see Note 7 to these consolidated financial statements.

Equity Securities Designated at Fair Value Through Other Comprehensive Income

The Bank designated certain equity securities, the main business objective of which is to generate dividend income, at fair value through other comprehensive income without subsequent reclassification of gains and losses to net income. During the six-month period ended April 30, 2024, a dividend income amount of $30 million was recognized for these investments ($12 million for the six-month period ended April 30, 2023), including amounts of $2 million for investments that were sold during the six-month period ended April 30, 2024 ($1 million for investments that were sold during the six-month period ended April 30, 2023).

			Six months ended April 30, 2024			Six months ended April 30, 2023
			Equity securities of private companies	Equity securities of public companies	Total	Equity securities of private companies	Equity securities of public companies	Total
Fair value at beginning			378	281	659	320	236	556
	Change in fair value		(7)	51	44	11	(3)	8
	Designated at fair value through
		other comprehensive income	−	102	102	−	44	44
	Sales⁽¹⁾		(9)	(123)	(132)	−	(40)	(40)
Fair value at end			362	311	673	331	237	568

(1) The Bank disposed of private and public company equity securities for economic reasons.

Note 6 - Securities (cont.)

Securities at Amortized Cost

		As at April 30, 2024	As at October 31, 2023
Securities issued or guaranteed by
	Canadian government	7,433	6,172
	Canadian provincial and municipal governments	1,928	1,932
	U.S. Treasury, other U.S. agencies and other foreign governments	467	604
Other debt securities		2,358	3,878
Gross carrying value		12,186	12,586
Allowances for credit losses		3	4
Carrying value		12,183	12,582

Gains (Losses) on Disposals of Securities at Amortized Cost

During the six-month period ended April 30, 2024, the Bank disposed of certain debt securities measured at amortized cost (no disposal during the six-month period ended April 30, 2023). The carrying value of these securities upon disposal was $180 million for the six-month period ended April 30, 2024, and the Bank recognized gains totalling $1 million for the six-month period ended April 30, 2024 in Non-interest income - Gains (losses) on non-trading securities, net in the Consolidated Statement of Income.

Note 7 - Loans and Allowances for Credit Losses

Determining and Measuring Expected Credit Losses (ECL)

Determining Expected Credit Losses

Expected credit losses are determined using a three-stage impairment approach that is based on the change in the credit quality of financial assets since initial recognition.

Non-Impaired Loans

Stage 1

Financial assets that have experienced no significant increase in credit risk between initial recognition and the reporting date, and for which 12-month expected credit losses are recorded at the reporting date, are classified in Stage 1.

Stage 2

Financial assets that have experienced a significant increase in credit risk between initial recognition and the reporting date, and for which lifetime expected credit losses are recorded at the reporting date, are classified in Stage 2.

Impaired Loans

Stage 3

Financial assets for which there is objective evidence of impairment, for which one or more events have had a detrimental impact on the estimated future cash flows of these financial assets at the reporting date, and for which lifetime expected credit losses are recorded, are classified in Stage 3.

POCI

Financial assets that are credit-impaired when purchased or originated (POCI) are classified in the POCI category.

For additional information, see Notes 1 and 7 to the audited annual consolidated financial statements for the year ended October 31, 2023.

Credit Quality of Loans

The following tables present the gross carrying amounts of loans as at April 30, 2024 and as at October 31, 2023, according to credit quality and ECL impairment stage of each loan category at amortized cost, and according to credit quality for loans at fair value through profit or loss. For additional information on credit quality according to the Internal Ratings-Based (IRB) categories, see the Internal Default Risk Ratings table on page 77 in the Credit Risk section of the 2023 Annual Report.

					As at April 30, 2024
		Non-impaired loans		Impaired loans		Loans at fair value through profit or loss⁽¹⁾	Total
		Stage 1	Stage 2	Stage 3	POCI	Loans at fair value through profit or loss⁽¹⁾	Total
Residential mortgage
	Excellent	31,058	29	−	−	−	31,087
	Good	16,491	361	−	−	−	16,852
	Satisfactory	12,530	4,284	−	−	−	16,814
	Special mention	294	772	−	−	−	1,066
	Substandard	64	258	−	−	−	322
	Default	−	−	86	−	−	86
IRB Approach		60,437	5,704	86	−	−	66,227
Standardized Approach		10,369	236	353	272	12,628	23,858
Gross carrying amount		70,806	5,940	439	272	12,628	90,085
Allowances for credit losses⁽²⁾		70	87	105	(90)	−	172
Carrying amount		70,736	5,853	334	362	12,628	89,913
Personal
	Excellent	20,742	421	−	−	−	21,163
	Good	7,204	1,911	−	−	−	9,115
	Satisfactory	6,522	2,408	−	−	−	8,930
	Special mention	2,084	799	−	−	−	2,883
	Substandard	33	273	−	−	−	306
	Default	−	−	200	−	−	200
IRB Approach		36,585	5,812	200	−	−	42,597
Standardized Approach		3,782	90	90	157	−	4,119
Gross carrying amount		40,367	5,902	290	157	−	46,716
Allowances for credit losses⁽²⁾		91	123	119	(12)	−	321
Carrying amount		40,276	5,779	171	169	−	46,395
Credit card
	Excellent	655	−	−	−	−	655
	Good	380	−	−	−	−	380
	Satisfactory	779	65	−	−	−	844
	Special mention	304	215	−	−	−	519
	Substandard	36	97	−	−	−	133
	Default	−	−	−	−	−	−
IRB Approach		2,154	377	−	−	−	2,531
Standardized Approach		113	−	−	−	−	113
Gross carrying amount		2,267	377	−	−	−	2,644
Allowances for credit losses⁽²⁾		33	110	−	−	−	143
Carrying amount		2,234	267	−	−	−	2,501
Business and government⁽³⁾
	Excellent	8,096	−	−	−	1,340	9,436
	Good	28,498	6	−	−	53	28,557
	Satisfactory	32,155	10,836	−	−	141	43,132
	Special mention	225	1,827	−	−	−	2,052
	Substandard	36	451	−	2	−	489
	Default	−	−	462	10	−	472
IRB Approach		69,010	13,120	462	12	1,534	84,138
Standardized Approach		12,156	58	76	22	86	12,398
Gross carrying amount		81,166	13,178	538	34	1,620	96,536
Allowances for credit losses⁽²⁾		198	195	179	3	−	575
Carrying amount		80,968	12,983	359	31	1,620	95,961
Total loans and acceptances
Gross carrying amount		194,606	25,397	1,267	463	14,248	235,981
Allowances for credit losses⁽²⁾		392	515	403	(99)	−	1,211
Carrying amount		194,214	24,882	864	562	14,248	234,770

(1) Not subject to expected credit losses.

(2) The allowances for credit losses do not include the amounts related to undrawn commitments reported in the Other liabilities item of the Consolidated Balance Sheet.

(3) Includes customers' liability under acceptances.

Note 7 - Loans and Allowances for Credit Losses (cont.)

					As at October 31, 2023
		Non-impaired loans		Impaired loans		Loans at fair value through profit or loss⁽¹⁾	Total
		Stage 1	Stage 2	Stage 3	POCI	Loans at fair value through profit or loss⁽¹⁾	Total
Residential mortgage
	Excellent	30,075	13	−	−	−	30,088
	Good	17,008	247	−	−	−	17,255
	Satisfactory	11,795	4,118	−	−	−	15,913
	Special mention	318	773	−	−	−	1,091
	Substandard	61	252	−	−	−	313
	Default	−	−	66	−	−	66
AIRB Approach		59,257	5,403	66	−	−	64,726
Standardized Approach		9,540	218	287	304	11,772	22,121
Gross carrying amount		68,797	5,621	353	304	11,772	86,847
Allowances for credit losses⁽²⁾		69	93	87	(95)	−	154
Carrying amount		68,728	5,528	266	399	11,772	86,693
Personal
	Excellent	21,338	120	−	−	−	21,458
	Good	7,360	1,665	−	−	−	9,025
	Satisfactory	6,497	2,240	−	−	−	8,737
	Special mention	1,849	810	−	−	−	2,659
	Substandard	29	224	−	−	−	253
	Default	−	−	156	−	−	156
AIRB Approach		37,073	5,059	156	−	−	42,288
Standardized Approach		3,713	79	71	207	−	4,070
Gross carrying amount		40,786	5,138	227	207	−	46,358
Allowances for credit losses⁽²⁾		91	108	87	(15)	−	271
Carrying amount		40,695	5,030	140	222	−	46,087
Credit card
	Excellent	641	−	−	−	−	641
	Good	380	1	−	−	−	381
	Satisfactory	752	68	−	−	−	820
	Special mention	304	210	−	−	−	514
	Substandard	37	86	−	−	−	123
	Default	−	−	−	−	−	−
AIRB Approach		2,114	365	−	−	−	2,479
Standardized Approach		124	−	−	−	−	124
Gross carrying amount		2,238	365	−	−	−	2,603
Allowances for credit losses⁽²⁾		33	106	−	−	−	139
Carrying amount		2,205	259	−	−	−	2,464
Business and government⁽³⁾
	Excellent	7,785	−	−	−	1,113	8,898
	Good	28,525	16	−	−	53	28,594
	Satisfactory	32,095	8,400	−	2	140	40,637
	Special mention	215	1,790	−	−	−	2,005
	Substandard	27	290	−	−	−	317
	Default	−	−	397	−	−	397
AIRB Approach		68,647	10,496	397	2	1,306	80,848
Standardized Approach		9,774	57	47	47	46	9,971
Gross carrying amount		78,421	10,553	444	49	1,352	90,819
Allowances for credit losses⁽²⁾		182	194	244	−	−	620
Carrying amount		78,239	10,359	200	49	1,352	90,199
Total loans and acceptances
Gross carrying amount		190,242	21,677	1,024	560	13,124	226,627
Allowances for credit losses⁽²⁾		375	501	418	(110)	−	1,184
Carrying amount		189,867	21,176	606	670	13,124	225,443

(1) Not subject to expected credit losses.

(2) The allowances for credit losses do not include the amounts related to undrawn commitments reported in the Other liabilities item of the Consolidated Balance Sheet.

(3) Includes customers' liability under acceptances.

The following table presents the credit risk exposures of off-balance-sheet commitments as at April 30, 2024 and as at October 31, 2023 according to credit quality and ECL impairment stage.

			As at April 30, 2024					As at October 31, 2023
		Stage 1	Stage 2	Stage 3	Total	Stage 1	Stage 2	Stage 3	Total
Off-balance-sheet commitments⁽¹⁾
Retail
	Excellent	16,912	156	−	17,068	16,648	67	−	16,715
	Good	3,633	487	−	4,120	3,485	467	−	3,952
	Satisfactory	1,360	289	−	1,649	1,268	285	−	1,553
	Special mention	221	97	−	318	239	93	−	332
	Substandard	16	18	−	34	17	15	−	32
	Default	−	−	2	2	−	−	2	2
Non-retail
	Excellent	13,688	−	−	13,688	14,117	−	−	14,117
	Good	21,885	−	−	21,885	21,082	−	−	21,082
	Satisfactory	14,060	5,096	−	19,156	12,258	4,354	−	16,612
	Special mention	21	235	−	256	17	248	−	265
	Substandard	48	88	−	136	19	33	−	52
	Default	−	−	14	14	−	−	10	10
IRB Approach		71,844	6,466	16	78,326	69,150	5,562	12	74,724
Standardized Approach		17,714	−	−	17,714	18,172	−	−	18,172
Total exposure		89,558	6,466	16	96,040	87,322	5,562	12	92,896
Allowances for credit losses		139	57	−	196	116	60	−	176
Total exposure, net
	of allowances	89,419	6,409	16	95,844	87,206	5,502	12	92,720

(1) Represent letters of guarantee and documentary letters of credit, undrawn commitments, and backstop liquidity and credit enhancement facilities.

Loans Past Due But Not Impaired⁽¹⁾

		As at April 30, 2024						As at October 31, 2023
		Residential mortgage	Personal	Credit card	Business and government⁽²⁾	Residential mortgage	Personal	Credit card	Business and government⁽²⁾
Past due but not impaired
	31 to 60 days	147	94	27	23	139	102	27	38
	61 to 90 days	93	50	16	35	58	65	14	21
	Over 90 days⁽³⁾	−	−	34	−	−	−	30	−
		240	144	77	58	197	167	71	59

(1) Loans less than 31 days past due are not presented as they are not considered past due from an administrative standpoint.

(2) Includes customers' liability under acceptances.

(3) All loans more than 90 days past due, except for credit card receivables, are considered impaired (Stage 3).

Impaired Loans

			As at April 30, 2024		As at October 31, 2023
		Gross	Allowances for credit losses	Net	Gross	Allowances for credit losses	Net
Loans - Stage 3
	Residential mortgage	439	105	334	353	87	266
	Personal	290	119	171	227	87	140
	Credit card⁽¹⁾	−	−	−	−	−	−
	Business and government⁽²⁾	538	179	359	444	244	200
		1,267	403	864	1,024	418	606
Loans - POCI		463	(99)	562	560	(110)	670
		1,730	304	1,426	1,584	308	1,276

(1) Credit card receivables are considered impaired, at the latest, when payment is 180 days past due, and they are written off at that time.

(2) Includes customers' liability under acceptances.

Note 7 - Loans and Allowances for Credit Losses (cont.)

Allowances for Credit Losses

The following tables present a reconciliation of the allowances for credit losses by Consolidated Balance Sheet item and by type of off-balance-sheet commitment.

						Quarter ended April 30, 2024
		Allowances for credit losses as at January 31, 2024	Provisions for credit losses	Write-offs⁽¹⁾	Disposals	Recoveries and other	Allowances for credit losses as at April 30, 2024
Balance sheet
Cash and deposits with financial institutions⁽²⁾⁽³⁾		7	1	−	−	−	8
Securities⁽³⁾
	At fair value through other comprehensive income⁽⁴⁾	3	−	−	−	−	3
	At amortized cost⁽²⁾	3	−	−	−	−	3
Securities purchased under reverse repurchase
	agreements and securities borrowed⁽²⁾⁽³⁾	−	−	−	−	−	−
Loans⁽⁵⁾
	Residential mortgage	166	6	−	(2)	2	172
	Personal	293	53	(30)	−	5	321
	Credit card	144	23	(27)	−	3	143
	Business and government	556	63	(89)	−	5	535
	Customers' liability under acceptances	52	(12)	−	−	−	40
		1,211	133	(146)	(2)	15	1,211
Other assets⁽²⁾⁽³⁾		−	−	−	−	−	−
Off-balance-sheet commitments⁽⁶⁾
Letters of guarantee and documentary letters of credit		19	(1)	−	−	−	18
Undrawn commitments		166	6	−	−	−	172
Backstop liquidity and credit enhancement facilities		7	(1)	−	−	−	6
		192	4	−	−	−	196
		1,416	138	(146)	(2)	15	1,421

						Quarter ended April 30, 2023
		Allowances for credit losses as at January 31, 2023	Provisions for credit losses	Write-offs⁽¹⁾	Disposals	Recoveries and other	Allowances for credit losses as at April 30, 2023
Balance sheet
Cash and deposits with financial institutions⁽²⁾⁽³⁾		5	2	−	−	−	7
Securities⁽³⁾
	At fair value through other comprehensive income⁽⁴⁾	1	1	−	−	−	2
	At amortized cost⁽²⁾	8	−	−	−	−	8
Securities purchased under reverse repurchase
	agreements and securities borrowed⁽²⁾⁽³⁾	−	−	−	−	−	−
Loans⁽⁵⁾
	Residential mortgage	135	6	−	−	−	141
	Personal	257	21	(21)	−	5	262
	Credit card	136	14	(20)	−	4	134
	Business and government	432	63	(3)	−	3	495
	Customers' liability under acceptances	47	(9)	−	−	−	38
		1,007	95	(44)	−	12	1,070
Other assets⁽²⁾⁽³⁾		−	−	−	−	−	−
Off-balance-sheet commitments⁽⁶⁾
Letters of guarantee and documentary letters of credit		13	(2)	−	−	−	11
Undrawn commitments		142	(11)	−	−	−	131
Backstop liquidity and credit enhancement facilities		6	−	−	−	−	6
		161	(13)	−	−	−	148
		1,182	85	(44)	−	12	1,235

(1) The contractual amount outstanding on financial assets that were written off during the quarter ended April 30, 2024 and that are still subject to enforcement activity was $41 million ($27 million for the quarter ended April 30, 2023).

(2) These financial assets are presented net of the allowances for credit losses on the Consolidated Balance Sheet.

(3) As at April 30, 2024 and 2023, these financial assets were mainly classified in Stage 1 and their credit quality fell mostly within the Excellent category.

(4) The allowances for credit losses are reported in the Accumulated other comprehensive income item of the Consolidated Balance Sheet.

(5) The allowances for credit losses are reported in the Allowances for credit losses item of the Consolidated Balance Sheet.

(6) The allowances for credit losses are reported in the Other liabilities item of the Consolidated Balance Sheet.

					Six months ended April 30, 2024
		Allowances for credit losses as at October 31, 2023	Provisions for credit losses	Write-offs⁽¹⁾	Disposals	Recoveries and other	Allowances for credit losses as at April 30, 2024

Balance sheet
Cash and deposits with financial institutions⁽²⁾⁽³⁾		10	(2)	−	−	−	8
Securities⁽³⁾
	At fair value through other comprehensive income⁽⁴⁾	3	−	−	−	−	3
	At amortized cost⁽²⁾	4	(1)	−	−	−	3
Securities purchased under reverse repurchase
	agreements and securities borrowed⁽²⁾⁽³⁾	−	−	−	−	−	−
Loans⁽⁵⁾
	Residential mortgage	154	21	(1)	(2)	−	172
	Personal	271	97	(53)	−	6	321
	Credit card	139	50	(53)	−	7	143
	Business and government	567	86	(133)	−	15	535
	Customers' liability under acceptances	53	(13)	−	−	−	40
		1,184	241	(240)	(2)	28	1,211
Other assets⁽²⁾⁽³⁾		−	−	−	−	−	−

Off-balance-sheet commitments⁽⁶⁾
Letters of guarantee and documentary letters of credit		16	2	−	−	−	18
Undrawn commitments		152	20	−	−	−	172
Backstop liquidity and credit enhancement facilities		8	(2)	−	−	−	6
		176	20	−	−	−	196
		1,377	258	(240)	(2)	28	1,421

						Six months ended April 30, 2023
		Allowances for credit losses as at October 31, 2022	Provisions for credit losses	Write-offs⁽¹⁾	Disposals	Recoveries and other	Allowances for credit losses as at April 30, 2023

Balance sheet
Cash and deposits with financial institutions⁽²⁾⁽³⁾		5	2	−	−	−	7
Securities⁽³⁾
	At fair value through other comprehensive income⁽⁴⁾	2	−	−	−	−	2
	At amortized cost⁽²⁾	7	1	−	−	−	8
Securities purchased under reverse repurchase
	agreements and securities borrowed⁽²⁾⁽³⁾	−	−	−	−	−	−
Loans⁽⁵⁾
	Residential mortgage	118	25	(1)	−	(1)	141
	Personal	239	52	(37)	−	8	262
	Credit card	126	39	(38)	−	7	134
	Business and government	418	82	(8)	−	3	495
	Customers' liability under acceptances	54	(16)	−	−	−	38
		955	182	(84)	−	17	1,070
Other assets⁽²⁾⁽³⁾		−	−	−	−	−	−

Off-balance-sheet commitments⁽⁶⁾
Letters of guarantee and documentary letters of credit		13	(2)	−	−	−	11
Undrawn commitments		143	(12)	−	−	−	131
Backstop liquidity and credit enhancement facilities		6	−	−	−	−	6
		162	(14)	−	−	−	148
		1,131	171	(84)	−	17	1,235

(1) The contractual amount outstanding on financial assets that were written off during the six-month period ended April 30, 2024 and that are still subject to enforcement activity was $76 million ($52 million for the six-month period ended April 30, 2023).

(2) These financial assets are presented net of the allowances for credit losses on the Consolidated Balance Sheet.

(3) As at April 30, 2024 and 2023, these financial assets were mainly classified in Stage 1 and their credit quality fell mostly within the Excellent category.

(4) The allowances for credit losses are reported in the Accumulated other comprehensive income item of the Consolidated Balance Sheet.

(5) The allowances for credit losses are reported in the Allowances for credit losses item of the Consolidated Balance Sheet.

(6) The allowances for credit losses are reported in the Other liabilities item of the Consolidated Balance Sheet.

Note 7 - Loans and Allowances for Credit Losses (cont.)

The following tables present a reconciliation of allowances for credit losses for each loan category at amortized cost according to ECL impairment stage.

				Quarter ended April 30, 2024						Quarter ended April 30, 2023
			Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total	Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total
			Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total	Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total
Residential mortgage
Balance at beginning			71	91	96	(92)	166	62	84	60	(71)	135
	Originations or purchases		4	−	−	−	4	3	−	−	−	3
	Transfers⁽²⁾:
		to Stage 1	16	(14)	(2)	−	−	13	(11)	(2)	−	−
		to Stage 2	(2)	7	(5)	−	−	(3)	9	(6)	−	−
		to Stage 3	−	(4)	4	−	−	−	(6)	6	−	−
	Net remeasurement of loss allowances⁽³⁾		(16)	7	14	4	9	(9)	9	5	5	10
	Derecognitions⁽⁴⁾		(2)	(1)	(4)	−	(7)	(2)	(4)	(1)	−	(7)
	Changes to models		−	−	−	−	−	−	−	−	−	−
Provisions for credit losses			−	(5)	7	4	6	2	(3)	2	5	6
Write-offs			−	−	−	−	−	−	−	−	−	−
Disposals			(2)	−	−	−	(2)	−	−	−	−	−
Recoveries			−	−	−	−	−	−	−	−	−	−
Foreign exchange movements and other			1	1	2	(2)	2	−	−	1	(1)	−
Balance at end			70	87	105	(90)	172	64	81	63	(67)	141
Includes:
	Amounts drawn		70	87	105	(90)	172	64	81	63	(67)	141
	Undrawn commitments⁽⁵⁾		−	−	−	−	−	−	−	−	−	−
Personal
Balance at beginning			97	116	103	(13)	303	75	121	79	(11)	264
	Originations or purchases		6	−	−	−	6	7	−	−	−	7
	Transfers⁽²⁾:
		to Stage 1	22	(19)	(3)	−	−	29	(28)	(1)	−	−
		to Stage 2	(7)	9	(2)	−	−	(3)	5	(2)	−	−
		to Stage 3	(1)	(19)	20	−	−	−	(14)	14	−	−
	Net remeasurement of loss allowances⁽³⁾		(19)	44	29	1	55	(25)	35	11	1	22
	Derecognitions⁽⁴⁾		(3)	(3)	(1)	−	(7)	(2)	(5)	(1)	−	(8)
	Changes to models		−	−	−	−	−	−	−	−	−	−
Provisions for credit losses			(2)	12	43	1	54	6	(7)	21	1	21
Write-offs			−	−	(30)	−	(30)	−	−	(21)	−	(21)
Disposals			−	−	−	−	−	−	−	−	−	−
Recoveries			−	−	4	−	4	−	−	4	−	4
Foreign exchange movements and other			2	−	(1)	−	1	1	−	−	−	1
Balance at end			97	128	119	(12)	332	82	114	83	(10)	269
Includes:
	Amounts drawn		91	123	119	(12)	321	79	110	83	(10)	262
	Undrawn commitments⁽⁵⁾		6	5	−	−	11	3	4	−	−	7

(1) No POCI loans were acquired during the quarters ended April 30, 2024 and April 30, 2023.

(2) Represent stage transfers deemed to have taken place at the beginning of the quarter in which the transfer occurred.

(3) Includes the net remeasurement of loss allowances (after transfers) attributable mainly to changes in volumes and in the credit quality of existing loans as well as to changes in risk parameters.

(4) Represent reversals to loss allowances arising from full loan repayments (excluding write-offs and disposals).

(5) The allowances for credit losses on undrawn commitments are reported in the Other liabilities item of the Consolidated Balance Sheet.

				Quarter ended April 30, 2024						Quarter ended April 30, 2023
			Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total	Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total
			Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total	Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total
Credit card
Balance at beginning			59	131	−	−	190	59	117	−	−	176
	Originations or purchases		3	−	−	−	3	3	−	−	−	3
	Transfers⁽²⁾:
		to Stage 1	26	(26)	−	−	−	22	(22)	−	−	−
		to Stage 2	(5)	5	−	−	−	(4)	4	−	−	−
		to Stage 3	(1)	(11)	12	−	−	−	(9)	9	−	−
	Net remeasurement of loss allowances⁽³⁾		(24)	33	12	−	21	(22)	32	7	−	17
	Derecognitions⁽⁴⁾		−	(1)	−	−	(1)	(1)	(1)	−	−	(2)
	Changes to models		−	−	−	−	−	−	−	−	−	−
Provisions for credit losses			(1)	−	24	−	23	(2)	4	16	−	18
Write-offs			−	−	(27)	−	(27)	−	−	(20)	−	(20)
Disposals			−	−	−	−	−	−	−	−	−	−
Recoveries			−	−	3	−	3	−	−	4	−	4
Foreign exchange movements and other			−	−	−	−	−	−	−	−	−	−
Balance at end			58	131	−	−	189	57	121	−	−	178
Includes:
	Amounts drawn		33	110	−	−	143	33	101	−	−	134
	Undrawn commitments⁽⁵⁾		25	21	−	−	46	24	20	−	−	44
Business and government⁽⁶⁾
Balance at beginning			276	213	227	2	718	197	198	179	−	574
	Originations or purchases		28	−	−	−	28	22	−	−	−	22
	Transfers⁽²⁾:
		to Stage 1	9	(9)	−	−	−	15	(15)	−	−	−
		to Stage 2	(10)	13	(3)	−	−	(5)	6	(1)	−	−
		to Stage 3	−	(6)	6	−	−	−	(1)	1	−	−
	Net remeasurement of loss allowances⁽³⁾		(3)	19	36	(3)	49	(5)	27	15	−	37
	Derecognitions⁽⁴⁾		(13)	(9)	1	−	(21)	(5)	(11)	(2)	−	(18)
	Changes to models		−	−	−	−	−	(1)	(1)	−	−	(2)
Provisions for credit losses			11	8	40	(3)	56	21	5	13	−	39
Write-offs			−	−	(89)	−	(89)	−	−	(3)	−	(3)
Disposals			−	−	−	−	−	−	−	−	−	−
Recoveries			−	−	−	4	4	−	−	2	−	2
Foreign exchange movements and other			−	−	1	−	1	−	1	−	−	1
Balance at end			287	221	179	3	690	218	204	191	−	613
Includes:
	Amounts drawn		198	195	179	3	575	163	179	191	−	533
	Undrawn commitments⁽⁵⁾		89	26	−	−	115	55	25	−	−	80
Total allowances for credit losses at end⁽⁷⁾			512	567	403	(99)	1,383	421	520	337	(77)	1,201
Includes:
	Amounts drawn		392	515	403	(99)	1,211	339	471	337	(77)	1,070
	Undrawn commitments⁽⁵⁾		120	52	−	−	172	82	49	−	−	131

(1) No POCI loans were acquired during the quarters ended April 30, 2024 and April 30, 2023.

(2) Represent stage transfers deemed to have taken place at the beginning of the quarter in which the transfer occurred.

(3) Includes the net remeasurement of loss allowances (after transfers) attributable mainly to changes in volumes and in the credit quality of existing loans as well as to changes in risk parameters.

(4) Represent reversals to loss allowances arising from full loan repayments (excluding write-offs and disposals).

(5) The allowances for credit losses on undrawn commitments are reported in the Other liabilities item of the Consolidated Balance Sheet.

(6) Includes customers' liability under acceptances.

(7) Excludes allowances for credit losses on other financial assets at amortized cost and on off-balance-sheet commitments other than undrawn commitments.

Note 7 - Loans and Allowances for Credit Losses (cont.)

			Six months ended April 30, 2024					Six months ended April 30, 2023
			Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total	Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total
			Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total	Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total
Residential mortgage
Balance at beginning			69	93	87	(95)	154	53	80	61	(76)	118
	Originations or purchases		6	−	−	−	6	8	−	−	−	8
	Transfers⁽²⁾:
		to Stage 1	32	(28)	(4)	−	−	21	(18)	(3)	−	−
		to Stage 2	(5)	14	(9)	−	−	(6)	18	(12)	−	−
		to Stage 3	−	(17)	17	−	−	−	(14)	14	−	−
	Net remeasurement of loss allowances⁽³⁾		(24)	40	13	5	34	(9)	21	8	8	28
	Derecognitions⁽⁴⁾		(4)	(3)	(6)	−	(13)	(3)	(5)	(3)	−	(11)
	Changes to models		(2)	(12)	8	−	(6)	−	−	−	−	−
Provisions for credit losses			3	(6)	19	5	21	11	2	4	8	25
Write-offs			−	−	(1)	−	(1)	−	−	(1)	−	(1)
Disposals			(2)	−	−	−	(2)	−	−	−	−	−
Recoveries			−	−	−	−	−	−	−	−	−	−
Foreign exchange movements and other			−	−	−	−	−	−	(1)	(1)	1	(1)
Balance at end			70	87	105	(90)	172	64	81	63	(67)	141
Includes:
	Amounts drawn		70	87	105	(90)	172	64	81	63	(67)	141
	Undrawn commitments⁽⁵⁾		−	−	−	−	−	−	−	−	−	−
Personal
Balance at beginning			95	114	87	(15)	281	70	117	75	(16)	246
	Originations or purchases		13	−	−	−	13	17	−	−	−	17
	Transfers⁽²⁾:
		to Stage 1	43	(38)	(5)	−	−	48	(45)	(3)	−	−
		to Stage 2	(12)	15	(3)	−	−	(7)	9	(2)	−	−
		to Stage 3	(1)	(37)	38	−	−	−	(26)	26	−	−
	Net remeasurement of loss allowances⁽³⁾		(36)	83	48	2	97	(43)	68	18	6	49
	Derecognitions⁽⁴⁾		(5)	(7)	(2)	−	(14)	(4)	(9)	(2)	−	(15)
	Changes to models		−	(1)	3	−	2	1	−	−	−	1
Provisions for credit losses			2	15	79	2	98	12	(3)	37	6	52
Write-offs			−	−	(53)	−	(53)	−	−	(37)	−	(37)
Disposals			−	−	−	−	−	−	−	−	−	−
Recoveries			−	−	8	−	8	−	−	9	−	9
Foreign exchange movements and other			−	(1)	(2)	1	(2)	−	−	(1)	−	(1)
Balance at end			97	128	119	(12)	332	82	114	83	(10)	269
Includes:
	Amounts drawn		91	123	119	(12)	321	79	110	83	(10)	262
	Undrawn commitments⁽⁵⁾		6	5	−	−	11	3	4	−	−	7

(1) No POCI loans were acquired during the six-month periods ended April 30, 2024 and April 30, 2023.

(2) Represent stage transfers deemed to have taken place at the beginning of the quarter in which the transfer occurred.

(3) Includes the net remeasurement of loss allowances (after transfers) attributable mainly to changes in volumes and in the credit quality of existing loans as well as to changes in risk parameters.

(4) Represent reversals to loss allowances arising from full loan repayments (excluding write-offs and disposals).

(5) The allowances for credit losses on undrawn commitments are reported in the Other liabilities item of the Consolidated Balance Sheet.

			Six months ended April 30, 2024					Six months ended April 30, 2023
			Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total	Allowances for credit losses on non-impaired loans		Allowances for credit losses on impaired loans		Total
			Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total	Stage 1	Stage 2	Stage 3	POCI⁽¹⁾	Total
Credit card
Balance at beginning			59	127	−	−	186	53	112	−	−	165
	Originations or purchases		5	−	−	−	5	5	−	−	−	5
	Transfers⁽²⁾:
		to Stage 1	55	(55)	−	−	−	47	(47)	−	−	−
		to Stage 2	(10)	10	−	−	−	(8)	8	−	−	−
		to Stage 3	(1)	(21)	22	−	−	−	(16)	16	−	−
	Net remeasurement of loss allowances⁽³⁾		(49)	71	24	−	46	(38)	65	15	−	42
	Derecognitions⁽⁴⁾		(1)	(1)	−	−	(2)	(2)	(1)	−	−	(3)
	Changes to models		−	−	−	−	−	−	−	−	−	−
Provisions for credit losses			(1)	4	46	−	49	4	9	31	−	44
Write-offs			−	−	(53)	−	(53)	−	−	(38)	−	(38)
Disposals			−	−	−	−	−	−	−	−	−	−
Recoveries			−	−	7	−	7	−	−	7	−	7
Foreign exchange movements and other			−	−	−	−	−	−	−	−	−	−
Balance at end			58	131	−	−	189	57	121	−	−	178
Includes:
	Amounts drawn		33	110	−	−	143	33	101	−	−	134
	Undrawn commitments⁽⁵⁾		25	21	−	−	46	24	20	−	−	44
Business and government⁽⁶⁾
Balance at beginning			251	220	244	−	715	177	195	197	−	569
	Originations or purchases		67	−	−	−	67	46	−	−	−	46
	Transfers⁽²⁾:
		to Stage 1	18	(17)	(1)	−	−	32	(32)	−	−	−
		to Stage 2	(23)	27	(4)	−	−	(11)	14	(3)	−	−
		to Stage 3	−	(8)	8	−	−	−	(2)	2	−	−
	Net remeasurement of loss allowances⁽³⁾		(4)	19	67	(14)	68	(15)	48	5	−	38
	Derecognitions⁽⁴⁾		(21)	(15)	(2)	−	(38)	(10)	(19)	(4)	−	(33)
	Changes to models		−	(5)	1	−	(4)	(1)	(1)	−	−	(2)
Provisions for credit losses			37	1	69	(14)	93	41	8	−	−	49
Write-offs			−	−	(133)	−	(133)	−	−	(8)	−	(8)
Disposals			−	−	−	−	−	−	−	−	−	−
Recoveries			−	−	1	17	18	−	−	3	−	3
Foreign exchange movements and other			(1)	−	(2)	−	(3)	−	1	(1)	−	−
Balance at end			287	221	179	3	690	218	204	191	−	613
Includes:
	Amounts drawn		198	195	179	3	575	163	179	191	−	533
	Undrawn commitments⁽⁵⁾		89	26	−	−	115	55	25	−	−	80
Total allowances for credit losses at end⁽⁷⁾			512	567	403	(99)	1,383	421	520	337	(77)	1,201
Includes:
	Amounts drawn		392	515	403	(99)	1,211	339	471	337	(77)	1,070
	Undrawn commitments⁽⁵⁾		120	52	−	−	172	82	49	−	−	131

(1) No POCI loans were acquired during the six-month periods ended April 30, 2024 and April 30, 2023.

(2) Represent stage transfers deemed to have taken place at the beginning of the quarter in which the transfer occurred.

(3) Includes the net remeasurement of loss allowances (after transfers) attributable mainly to changes in volumes and in the credit quality of existing loans as well as to changes in risk parameters.

(4) Represent reversals to loss allowances arising from full loan repayments (excluding write-offs and disposals).

(5) The allowances for credit losses on undrawn commitments are reported in the Other liabilities item of the Consolidated Balance Sheet.

(6) Includes customers' liability under acceptances.

(7) Excludes allowances for credit losses on other financial assets at amortized cost and on off-balance-sheet commitments other than undrawn commitments.

Note 7 - Loans and Allowances for Credit Losses (cont.)

Main Macroeconomic Factors

The following tables show the main macroeconomic factors used to estimate the allowances for credit losses on loans. For each scenario, namely, the base scenario, upside scenario, and downside scenario, the average values of the macroeconomic factors over the next 12 months (used for Stage 1 credit loss calculations) and over the remaining forecast period (used for Stage 2 credit loss calculations) are presented.

										As at April 30, 2024
		Base scenario				Upside scenario					Downside scenario
		Next 12 months		Remaining forecast period		Next 12 months		Remaining forecast period			Next 12 months		Remaining forecast period
Macroeconomic factors⁽¹⁾
	GDP growth⁽²⁾	0.3	%	1.9	%	1.0	%	1.9	%		(5.1)	%	2.6	%
	Unemployment rate	6.8	%	6.6	%	6.2	%	5.9	%		8.1	%	7.6	%
	Housing price index growth⁽²⁾	2.8	%	2.6	%	7.7	%	2.4	%		(13.9)	%	0.3	%
	BBB spread⁽³⁾	2.2	%	1.9	%	1.6	%	1.6	%		3.1	%	2.3	%
	S&P/TSX growth⁽²⁾⁽⁴⁾	(8.6)	%	3.1	%	4.0	%	3.0	%		(25.6)	%	5.5	%
	WTI oil price⁽⁵⁾ (US$ per barrel)	78		80		90		85			45		56

										As at January 31, 2024
		Base scenario				Upside scenario					Downside scenario
		Next 12 months		Remaining forecast period		Next 12 months		Remaining forecast period			Next 12 months		Remaining forecast period
Macroeconomic factors⁽¹⁾
	GDP growth⁽²⁾	0.2	%	1.9	%	0.9	%	1.9	%		(5.1)	%	2.6	%
	Unemployment rate	6.7	%	6.7	%	6.2	%	5.9	%		8.0	%	7.5	%
	Housing price index growth⁽²⁾	0.8	%	2.3	%	6.1	%	2.6	%		(13.9)	%	0.3	%
	BBB spread⁽³⁾	2.4	%	2.1	%	1.9	%	1.8	%		3.1	%	2.3	%
	S&P/TSX growth⁽²⁾⁽⁴⁾	(7.0)	%	3.5	%	4.0	%	3.0	%		(25.6)	%	5.5	%
	WTI oil price⁽⁵⁾ (US$ per barrel)	70		80		91		86			46		56

										As at October 31, 2023
		Base scenario				Upside scenario					Downside scenario
		Next 12 months		Remaining forecast period		Next 12 months		Remaining forecast period			Next 12 months		Remaining forecast period
Macroeconomic factors⁽¹⁾
	GDP growth⁽²⁾	−	%	1.7	%	0.4	%	1.9	%		(4.9)	%	2.6	%
	Unemployment rate	6.3	%	6.5	%	5.9	%	5.9	%		7.7	%	7.2	%
	Housing price index growth⁽²⁾	(1.1)	%	1.9	%	2.5	%	2.4	%		(13.9)	%	0.3	%
	BBB spread⁽³⁾	2.4	%	2.1	%	1.9	%	1.8	%		3.1	%	2.3	%
	S&P/TSX growth⁽²⁾⁽⁴⁾	(10.0)	%	3.7	%	4.0	%	3.0	%		(25.6)	%	5.5	%
	WTI oil price⁽⁵⁾ (US$ per barrel)	77		80		91		86			46		56

(1) All macroeconomic factors are based on the Canadian economy unless otherwise indicated.

(2) Growth rate is annualized.

(3) Yield on corporate BBB bonds less yield on Canadian federal government bonds with 10-year maturity.

(4) Main stock index in Canada.

(5) The West Texas Intermediate (WTI) index is commonly used as a benchmark for the price of oil.

The main macroeconomic factors used for the personal credit portfolio are unemployment rate and growth in the housing price index, based on the economy of Canada or Quebec. The main macroeconomic factors used for the business and government credit portfolio are unemployment rate, spread on corporate BBB bonds, S&P/TSX growth, and WTI oil price. An increase in unemployment rate or BBB spread will generally lead to higher allowances for credit losses, whereas an increase in the other macroeconomic factors (GDP, S&P/TSX, housing price index, and WTI oil price) will generally lead to lower allowances for credit losses.

During the quarter ended April 30, 2024, the macroeconomic outlook remained essentially unchanged and uncertainty remains high.

Despite a return to economic growth in the first quarter, this does not mean the Canadian economy is solid. GDP per capita continues to fall, reflecting the impact of the past interest rate hikes. Labour market conditions are quickly cooling, with hiring failing to keep pace with population growth in recent months. The Bank of Canada is nevertheless maintaining the most restrictive monetary policy in the G7, which risks causing too much damage to the economy. As a result, the economy is expected to be weak over the next few quarters, which could lead to a contraction by mid-year. As for the U.S. economy, it continues to show greater resilience, mainly because domestic demand remains robust. However, the U.S. economy's strength and the resulting impact on inflation, which remains too high, are complicating the U.S. Federal Reserve's efforts. This will probably mean that the key rate will be kept high for a longer period of time. In the base scenario, Canada's unemployment rate stands at 6.9% after 12 months, up 1.0 percentage point. Despite a slight deterioration in the labour market, real estate prices continue to trend slightly upward as a result of the housing shortage, which is being exacerbated by a demographic boom. As a result, housing prices are up 2.8% year over year. The S&P/TSX sits at 19,471 points after one year, and the price of oil hovers around US$75.

In the upside scenario, an easing of geopolitical tensions boosts confidence. Inflation continues to subside, as central bankers have managed to curb it without having caused significant damage to the economy. The Canadian and U.S. governments continue to expand spending, offsetting the effects of restrictive monetary policies. With the labour market holding up, consumer spending remains relatively resilient. House prices rise at a moderate pace against a backdrop of strong demographic growth. After one year, the unemployment rate is more favourable than in the base scenario (seven-tenths lower). Housing prices rise 7.7%, the S&P/TSX is at 22,156 points after one year, and the price of oil hovers around US$90.

In the downside scenario, central bankers have underestimated the impact of their simultaneous tightening measures, and the global economy sinks into a recession, as a decrease in demand is reflected in reduced investment by businesses, which also carry out significant layoffs. Given budgetary constraints, governments cannot support households and businesses as they did during the pandemic. The geopolitical situation continues to cause concern, with the risk of conflicts escalating. After 12 months, an economic contraction pushes the unemployment rate to 8.9%. Housing prices fall sharply (-13.9%) in the first year. The S&P/TSX sits at 15,852 points after one year, and the price of oil hovers around US$39.

Given the uncertainty surrounding key inputs used to measure credit losses, the Bank has applied expert credit judgment to adjust the modelled expected credit loss results.

Sensitivity Analysis of Allowances for Credit Losses on Non-Impaired Loans

Scenarios

The following table shows a comparison of the Bank's allowances for credit losses on non-impaired loans (Stages 1 and 2) as at April 30, 2024 based on the probability weightings of three scenarios with allowances for credit losses resulting from simulations of each scenario weighted at 100%.

		Allowances for credit losses on non-impaired loans
Balance as at April 30, 2024		1,079
Simulations
	100% upside scenario	731
	100% base scenario	874
	100% downside scenario	1,377

Note 8 - Other Assets

	As at April 30, 2024	As at October 31, 2023⁽¹⁾
Receivables, prepaid expenses and other items	3,437	3,118
Interest and dividends receivable	1,641	1,605
Due from clients, dealers and brokers	950	538
Defined benefit asset	372	356
Deferred tax assets	682	666
Current tax assets	759	925
Reinsurance assets	21	16
Insurance assets	13	20
Commodities⁽²⁾	570	544
	8,445	7,788

(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 these consolidated financial statements.

(2) Commodities are recorded at fair value based on quoted prices in active markets and are classified in Level 1 of the fair value measurement hierarchy.

Note 9 - Deposits

			As at April 30, 2024		As at October 31, 2023
	On demand⁽¹⁾	After notice⁽²⁾	Fixed term⁽³⁾	Total	Total
Personal	4,559	36,579	51,598	92,736	87,883
Business and government	64,966	30,942	113,897	209,805	197,328
Deposit-taking institutions	2,474	201	1,665	4,340	2,962
	71,999	67,722	167,160	306,881	288,173

(1) Demand deposits are deposits for which the Bank does not have the right to require a notice of withdrawal and consist essentially of deposits in chequing accounts.

(2) Notice deposits are deposits for which the Bank may legally require a notice of withdrawal and consist mainly of deposits in savings accounts.

(3) Fixed-term deposits are deposits that can be withdrawn by the holder on a specified date and include term deposits, guaranteed investment certificates, savings accounts and plans, covered bonds, and other similar instruments.

The Deposits - Business and government item includes, among other items, covered bonds for which the balance was $9.8 billion as at April 30, 2024 ($10.9 billion as at October 31, 2023). During the six-month period ended April 30, 2024, an amount of 750 million euros in covered bonds came to maturity (the Bank issued 280 million Swiss francs and 1.0 billion euros in covered bonds during the six-month period ended April 30, 2023). For additional information on covered bonds, see Note 27 to the audited annual consolidated financial statements for the year ended October 31, 2023.

In addition, as at April 30, 2024, the Deposits - Business and government item also includes deposits of $22.4 billion ($17.7 billion as at October 31, 2023) that are subject to the bank bail-in conversion regulations issued by the Government of Canada. These regulations provide certain powers to the Canada Deposit Insurance Corporation (CDIC), notably the power to convert certain eligible Bank shares and liabilities into common shares should the Bank become non-viable.

Note 10 - Other Liabilities

	As at April 30, 2024	As at October 31, 2023⁽¹⁾
Accounts payable and accrued expenses	2,459	2,458
Subsidiaries' debts to third parties	374	224
Interest and dividends payable	2,253	2,022
Lease liabilities	477	517
Due to clients, dealers and brokers	582	669
Defined benefit liability	97	94
Allowances for credit losses - Off-balance-sheet commitments (Note 7)	196	176
Deferred tax liabilities	46	28
Current tax liabilities	62	204
Insurance liabilities	7	8
Other items^(2)(3)(4)	1,017	1,016
	7,570	7,416

(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 these consolidated financial statements.

(2) As at April 30, 2024, Other items included $16 million in litigation provisions ($42 million as at October 31, 2023).

(3) As at April 30, 2024, Other items included $26 million in provisions for onerous contracts ($31 million as at October 31, 2023).

(4) As at April 30, 2024, Other items included the financial liability resulting from put options written to non-controlling interests of Flinks Technology Inc. (Flinks) for an amount of $22 million ($23 million as at October 31, 2023).

Note 11 - 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.

Note 12 - Share Capital and Other Equity Instruments

Shares and Other Equity Instruments Outstanding

		As at April 30, 2024		As at October 31, 2023
		Number of shares or LRCN⁽¹⁾	Shares or LRCN $	Number of shares or LRCN	Shares or LRCN $
		Number of shares or LRCN⁽¹⁾	Shares or LRCN $	Number of shares or LRCN	Shares or LRCN $
First Preferred Shares
	Series 30	14,000,000	350	14,000,000	350
	Series 32	12,000,000	300	12,000,000	300
	Series 38	16,000,000	400	16,000,000	400
	Series 40	12,000,000	300	12,000,000	300
	Series 42	12,000,000	300	12,000,000	300
		66,000,000	1,650	66,000,000	1,650
Other equity instruments
	LRCN - Series 1	500,000	500	500,000	500
	LRCN - Series 2	500,000	500	500,000	500
	LRCN - Series 3	500,000	500	500,000	500
		1,500,000	1,500	1,500,000	1,500
Preferred shares and other equity instruments		67,500,000	3,150	67,500,000	3,150
Common shares at beginning of fiscal year		338,284,629	3,294	336,582,124	3,196
Issued pursuant to the Stock Option Plan		1,626,599	103	1,678,321	95
Impact of shares purchased or sold for trading⁽²⁾		144,483	16	31,975	3
Other		−	−	(7,791)	−
Common shares at end of period		340,055,711	3,413	338,284,629	3,294

(1) Limited Recourse Capital Notes (LRCN).

(2) As at April 30, 2024, a total of 171,208 shares were sold short for trading, representing $19 million (26,725 shares were sold short for trading, representing an amount of $3 million as at October 31, 2023).

Note 12 - Share Capital and Other Equity Instruments (cont.)

Dividends Declared and Distributions on Other Equity Instruments

				Six months ended April 30
		2024		2023
		Dividends or interest $	Dividends per share	Dividends or interest $	Dividends per share
		Dividends or interest $	Dividends per share	Dividends or interest $	Dividends per share
First Preferred Shares
	Series 30	7	0.5031	7	0.5031
	Series 32	6	0.4799	6	0.4799
	Series 38	14	0.8784	14	0.8784
	Series 40	9	0.7273	7	0.5750
	Series 42	10	0.8820	7	0.6188
		46		41
Other equity instruments
	LRCN - Series 1⁽¹⁾	10		10
	LRCN - Series 2⁽²⁾	10		10
	LRCN - Series 3⁽³⁾	19		19
		39		39
Preferred shares and other equity instruments		85		80
Common shares		720	2.1200	655	1.9400
		805		735

(1) The LRCN - Series 1 bear interest at a fixed rate of 4.30% per annum.

(2) The LRCN - Series 2 bear interest at a fixed rate of 4.05% per annum.

(3) The LRCN - Series 3 bear interest at a fixed rate of 7.50% per annum.

Repurchase of Common Shares

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 on December 11, 2024. On December 12, 2022, the Bank had begun 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 ended December 11, 2023. Any repurchase through the Toronto Stock Exchange will be done at market prices. The common shares may also be repurchased through other means authorized by the Toronto Stock Exchange and applicable regulations, including private agreements or share repurchase programs under issuer bid exemption orders issued by the securities regulators. A private purchase made under an exemption order issued by a securities regulator will be done at a discount to the prevailing market price. The amounts that are paid above the average book value of the common shares are charged to Retained earnings. During the six-month periods ended April 30, 2024 and 2023, the Bank did not repurchase any common shares.

Note 13 - Capital Disclosure

The Bank and all other major Canadian banks have to maintain the following minimum capital ratios established by the Office of the Superintendent of Financial Institutions (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%. All of these ratios include a capital conservation buffer of 2.5% established by the Basel Committee on Banking Supervision (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 must provide a remediation plan to OSFI. The Bank also has to meet the requirements of the capital output floor 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.

OSFI also requires D-SIBs to maintain a risk-based total loss-absorbing capacity (TLAC) ratio of at least 25.0% (including the DSB) of RWA and a TLAC leverage ratio of at least 7.25%. The purpose of TLAC 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.

In the first quarter of 2024, the Bank implemented OSFI's finalized guidance of the revised market risk capital rules, consistent with the BCBS's Fundamental Review of the Trading Book (FRTB) as well as the revised credit valuation adjustment (CVA) risk framework.

During the quarter and six-month period ended April 30, 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⁾

		As at April 30, 2024		As at October 31, 2023
Capital
	CET1	18,009		16,920
	Tier 1	21,159		20,068
	Total	22,702		21,056
Risk-weighted assets		136,115		125,592
Total exposure		484,467		456,478
Capital ratios
	CET1	13.2	%	13.5	%
	Tier 1	15.5	%	16.0	%
	Total	16.7	%	16.8	%
Leverage ratio		4.4	%	4.4	%
Available TLAC		41,095		36,732
TLAC ratio		30.2	%	29.2	%
TLAC leverage ratio		8.5	%	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.

Note 14 - Share-Based Payments

Stock Option Plan

During the quarters ended April 30, 2024 and 2023, the Bank did not award any stock options. During the six-month period ended April 30, 2024, the Bank awarded 1,222,652 stock options (1,416,060 stock options during the six-month period ended April 30, 2023) with an average fair value of $13.74 per option ($14.76 in 2023).

As at April 30, 2024, there were 11,114,061 stock options outstanding (11,546,688 stock options as at October 31, 2023).

The average fair value of the options awarded was estimated on the award date using the Black-Scholes model as well as the following assumptions.

	Six months ended April 30
	2024	2023
Risk-free interest rate	3.61%	3.25%
Expected life of options	7 years	7 years
Expected volatility	22.29%	23.13%
Expected dividend yield	4.62%	4.23%

During the quarter ended April 30, 2024, a $5 million compensation expense was recorded for this plan ($4 million for the quarter ended April 30, 2023). During the six-month period ended April 30, 2024, a $9 million compensation expense was recorded for this plan ($9 million for the six-month period ended April 30, 2023).

Note 15 - Employee Benefits - Pension Plans and Other Post-Employment Benefit Plans

The Bank offers pension plans that have a defined benefit component and a defined contribution component. The Bank also offers other post-employment benefit plans to eligible retirees. The cost associated with these plans, including the remeasurements recognized in Other comprehensive income, is presented in the following table.

Cost for Pension Plans and Other Post-Employment Benefit Plans

				Quarter ended April 30
		Pension plans		Other post-employment benefit plans
		2024	2023	2024	2023
Current service cost		21	23	−	−
Interest expense (income), net		(5)	(6)	2	1
Administrative costs		1	1
Expense of the defined benefit component		17	18	2	1
Expense of the defined contribution component		5	3
Expense recognized in Net income		22	21	2	1
Remeasurements⁽¹⁾
	Actuarial (gains) losses on the defined benefit obligation	(233)	32	(3)	1
	Return on plan assets⁽²⁾	270	(37)
Remeasurements recognized in Other comprehensive income		37	(5)	(3)	1
		59	16	(1)	2

				Six months ended April 30
			Pension plans	Other post-employment benefit plans
		2024	2023	2024	2023

Current service cost		41	46	−	−
Past service cost
Interest expense (income), net		(9)	(12)	3	3
Administrative costs		2	2
Expense of the defined benefit component		34	36	3	3
Expense of the defined contribution component		9	4
Expense recognized in Net income		43	40	3	3
Remeasurements⁽¹⁾
	Actuarial (gains) losses on the defined benefit obligation	271	362	5	7
	Return on plan assets⁽²⁾	(253)	(301)
Remeasurements recognized in Other comprehensive income		18	61	5	7
		61	101	8	10

(1) Changes related to the discount rate and to the return on plan assets are reviewed and updated on a quarterly basis. All other assumptions are updated annually.

(2) Excludes interest income.

Note 16 - Income Taxes

Notice of Assessment

In April 2024, the Bank was reassessed by the Canada Revenue Agency (CRA) for additional income tax and interest of approximately $110 million (including estimated provincial tax and interest) in respect of certain Canadian dividends received by the Bank during the 2019 taxation year.

In prior fiscal years, the Bank had been reassessed for additional income tax and interest of approximately $965 million (including provincial tax and interest) in respect of certain Canadian dividends received by the Bank during the 2012-2018 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 2019 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 April 30, 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 during 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.

On May 2, 2024, the Government of Canada introduced Bill C-69 - An Act to implement certain provisions of the budget tabled in Parliament on April 16, 2024. The bill includes 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 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.

Note 17 - 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.

		Quarter ended April 30		Six months ended April 30
		2024	2023⁽¹⁾	2024	2023⁽¹⁾

Basic earnings per share
Net income attributable to the Bank's shareholders and holders of other equity instruments		907	833	1,829	1,709
Dividends on preferred shares and distributions on other equity instruments		37	35	74	70
Net income attributable to common shareholders		870	798	1,755	1,639
Weighted average basic number of common shares outstanding (thousands)		339,558	337,497	339,111	337,241
Basic earnings per share (dollars)		2.56	2.37	5.18	4.86

Diluted earnings per share
Net income attributable to common shareholders		870	798	1,755	1,639
Weighted average basic number of common shares outstanding (thousands)		339,558	337,497	339,111	337,241
Adjustment to average number of common shares (thousands)
	Stock options⁽²⁾	3,223	3,474	2,792	3,384
Weighted average diluted number of common shares outstanding (thousands)		342,781	340,971	341,903	340,625
Diluted earnings per share (dollars)		2.54	2.34	5.13	4.81

(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 these consolidated financial statements.

(2) For the quarters and six-month periods ended April 30, 2024 and 2023, as the exercise price of the options was lower than the average price of the Bank's common shares, no options were excluded from the diluted earnings per share calculation.

Note 18 - Segment Disclosures

The Bank carries out its activities in four business segments, which are defined below. For presentation purposes, other activities are grouped in the Other heading. Each reportable segment is distinguished by services offered, type of clientele, and marketing strategy. 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 the accounting policy changes arising from the adoption of IFRS 17. The figures for the 2023 quarters have been adjusted to reflect these accounting policy changes.

Personal and Commercial

The Personal and Commercial segment encompasses the banking, financing, and investing services offered to individuals, advisors, and businesses as well as insurance operations.

Wealth Management

The Wealth Management segment comprises investment solutions, trust services, banking services, lending services, and other wealth management solutions offered through internal and third-party distribution networks.

Financial Markets

The Financial Markets segment encompasses corporate banking and investment banking and financial solutions for large and mid-size corporations, public sector organizations, and institutional investors.

U.S. Specialty Finance and International (USSF&I)

The USSF&I segment encompasses the specialty finance expertise provided by the Credigy subsidiary; the activities of the ABA Bank subsidiary, which offers financial products and services to individuals and businesses in Cambodia; and the activities of targeted investments in certain emerging markets.

Other

This heading encompasses treasury activities; liquidity management; Bank funding; asset/liability management activities; the activities of the Flinks subsidiary, a fintech company specialized in financial data aggregation and distribution; certain specified items; and the unallocated portion of corporate units.

							Quarter ended April 30⁽¹⁾
		Personal and Commercial		Wealth Management		Financial Markets				USSF&I		Other			Total
		2024	2023	2024	2023	2024		2023	2024		2023	2024	2023	2024	2023
Net interest income⁽²⁾		870	802	203	190	(659)		(212)	318		269	(97)	(167)	635	882
Non-interest income⁽²⁾		261	265	480	427	1,425		884	32		16	(83)	(28)	2,115	1,564
Total revenues		1,131	1,067	683	617	766		672	350		285	(180)	(195)	2,750	2,446
Non-interest expenses		612	589	400	372	312		283	108		98	40	20	1,472	1,362
Income before provisions for credit losses and income taxes		519	478	283	245	454		389	242		187	(220)	(215)	1,278	1,084
Provisions for credit losses		89	37	−	−	11		19	37		26	1	3	138	85
Income before income taxes (recovery)		430	441	283	245	443		370	205		161	(221)	(218)	1,140	999
Income taxes (recovery)⁽²⁾		119	121	78	67	121		102	42		33	(126)	(156)	234	167
Net income		311	320	205	178	322		268	163		128	(95)	(62)	906	832
Non-controlling interests		−	−	−	−	−		−	−		−	(1)	(1)	(1)	(1)
Net income attributable
	to the Bank's shareholders and holders of other equity instruments	311	320	205	178	322		268	163		128	(94)	(61)	907	833
Average assets⁽³⁾		156,736	147,316	8,963	8,518	194,158		172,361	27,402		22,562	67,777	70,458	455,036	421,215
Total assets		159,359	148,844	9,369	8,699	183,123		168,164	28,156		23,243	61,683	68,664	441,690	417,614

							Six months ended April 30⁽¹⁾
		Personal and Commercial		Wealth Management		Financial Markets				USSF&I	Other			Total
		2024	2023	2024	2023	2024		2023	2024	2023	2024	2023	2024	2023
Net interest income⁽⁴⁾		1,740	1,627	401	398	(1,177)		(303)	619	568	(197)	(309)	1,386	1,981
Non-interest income⁽⁴⁾		545	544	942	856	2,698		1,664	57	36	(168)	(73)	4,074	3,027
Total revenues		2,285	2,171	1,343	1,254	1,521		1,361	676	604	(365)	(382)	5,460	5,008
Non-interest expenses		1,227	1,182	790	736	625		570	208	196	71	68	2,921	2,752
Income before provisions for credit losses and income taxes		1,058	989	553	518	896		791	468	408	(436)	(450)	2,539	2,256
Provisions for credit losses		160	98	−	−	28		10	73	61	(3)	2	258	171
Income before income taxes (recovery)		898	891	553	518	868		781	395	347	(433)	(452)	2,281	2,085
Income taxes (recovery)⁽⁴⁾⁽⁵⁾		248	245	152	142	238		215	82	72	(267)	(297)	453	377
Net income		650	646	401	376	630		566	313	275	(166)	(155)	1,828	1,708
Non-controlling interests		−	−	−	−	−		−	−	−	(1)	(1)	(1)	(1)
Net income attributable
	to the Bank's shareholders and holders of other equity instruments	650	646	401	376	630		566	313	275	(165)	(154)	1,829	1,709
Average assets⁽³⁾		155,874	146,714	8,834	8,521	192,280		172,819	26,706	22,076	65,089	72,981	448,783	423,111
Total assets		159,359	148,844	9,369	8,699	183,123		168,164	28,156	23,243	61,683	68,664	441,690	417,614

(1) Certain comparative figures have been adjusted to reflect accounting policy changes arising from the adoption of IFRS 17. For additional information, see Note 2 to these consolidated financial statements.

(2) The Net interest income, Non-interest income, and Income taxes (recovery) items of the business segments are presented on a taxable equivalent basis. Taxable equivalent basis is a calculation method that consists of 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. During the quarter ended April 30, 2024, for the business segments as a whole, Net interest income was grossed up by $14 million ($76 million in 2023), Non-interest income was grossed up by $73 million ($56 million in 2023), and an equivalent amount was recognized in Income taxes (recovery). The effect of these adjustments is reversed under the Other heading. 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 Note 16).

(3) Represents the average of the daily balances for the period, which is also the basis on which sectoral assets are reported in the business segments.

(4) During the six-month period ended April 30, 2024, for the business segments as whole, Net interest income was grossed up by $51 million ($154 million in 2023), Non-interest income was grossed up by $146 million ($108 million in 2023), and an equivalent amount was recognized in Income taxes (recovery). The effect of these adjustments has been reversed under the Other heading. 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 Note 16).

(5) During the six-month period ended April 30, 2023, the Bank had recorded 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 a 1.5% increase in the statutory tax rate, which included the impact related to current and deferred taxes for fiscal 2022. These items were recorded in the Other heading. For additional information on these tax measures, see Note 16.

Information for Shareholders and Investors

Investor Relations

Financial analysts and investors who want to obtain financial information on the Bank may contact the Investor Relations Department.

800 Saint-Jacques Street, 33^rd Floor

Montreal, Quebec H3C 1A3

Toll-free: 1-866-517-5455

Email: investorrelations@nbc.ca

Website: nbc.ca/investorrelations

Communications and Corporate Social Responsibility

800 Saint-Jacques Street, 28^th Floor

Montreal, Quebec H3C 1A3

Telephone: 514-394-8644

Email: pa@nbc.ca

Quarterly Report Publication Dates for Fiscal 2024

(subject to approval by the Board of Directors of the Bank)

First quarter	February 28
Second quarter	May 29
Third quarter	August 28
Fourth quarter	December 4

Disclosure of

Second Quarter 2024 Results

Conference Call

- A conference call for analysts and institutional investors will be held on Wednesday, May 29, 2024 at 1:00 p.m. EDT.

- Access by telephone in listen-only mode: 1-800-806-5484 or

416-340-2217. The access code is 8438144#.

- A recording of the conference call can be heard until August 23, 2024 by dialing 1-800-408-3053 or 905-694-9451. The access code is 8808810#.

Webcast

- The conference call will be webcast live at nbc.ca/investorrelations.

- A recording of the webcast will also be available on National Bank's website after the call.

Financial Documents

- The Report to Shareholders (which includes the quarterly consolidated financial statements) is available at all times on National Bank's website at nbc.ca/investorrelations.

- The Report to Shareholders, the Supplementary Financial Information, the Supplementary Regulatory Capital and Pillar 3 Disclosure, and a slide presentation will be available on the Investor Relations page of National Bank's website on the morning of the day of the conference call.

Transfer Agent and Registrar

For information about stock transfers, address changes, dividends, lost certificates, tax forms, and estate transfers, shareholders of record may contact the transfer agent, Computershare Trust Company of Canada, at the address or telephone number below.

Computershare Trust Company of Canada

Share Ownership Management

100 University Avenue, 8^th Floor

Toronto, Ontario M5J 2Y1

Telephone: 1-888-838-1407

Fax: 1-888-453-0330

Email: service@computershare.com

Website: computershare.com

Shareholders whose shares are held by a market intermediary are asked to contact the market intermediary concerned.

Direct Deposit Service for Dividends

Shareholders may elect to have their dividend payments deposited directly via electronic funds transfer to their bank account at any financial institution that is a member of the Canadian Payments Association. To do so, they must send a written request to the transfer agent, Computershare Trust Company of Canada.

Dividend Reinvestment and Share Purchase Plan

National Bank has a Dividend Reinvestment and Share Purchase Plan for holders of its common and preferred shares under which they can acquire common shares of the Bank without paying commissions or administration fees. Participants acquire common shares through the reinvestment of cash dividends paid on the shares they hold or through optional cash payments of at least $1 per payment, up to a maximum of $5,000 per quarter.

For additional information, shareholders may contact National Bank's registrar and transfer agent, Computershare Trust Company of Canada, at 1‑888‑838‑1407. To participate in the plan, National Bank's beneficial or non-registered common shareholders must contact their financial institution or broker.

Dividends

Dividends paid are "eligible dividends" in accordance with the Income Tax Act (Canada).

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