Regulatory Announcement

National Bank of Canada

November 30, 2022

2022 Annual Financial Statements (Part 2)

National Bank of Canada (the "Bank") announces publication of its 2022 Annual Report, including the audited consolidated financial statements for the years ended 31 October 2022 and 2021, together with the notes thereto and independent auditor's report thereon (the "2022 Financial Statements"). The 2022 Financial Statements have been uploaded to the National Storage Mechanism and will shortly be available at https://data.fca.org.uk/#/nsm/nationalstoragemechanism and are available on the Bank's website as part of the 2022 Annual Report at https://www.nbc.ca/en/about-us/investors/investor-relations/annual-reports-proxy-circulars-aif.html.

To view the full PDF of the 2022 Financial Statements, the 2022 Annual Report and the 2022 Annual CEO and CFO Certifications, please click on the following links:

http://www.rns-pdf.londonstockexchange.com/rns/1278I_1-2022-11-30.pdf

Note 8 - Financial Assets Transferred But Not Derecognized

In the normal course of its business, the Bank enters into transactions in which it transfers financial assets such as securities or loans directly to third parties, in particular structured entities. According to the terms of some of those transactions, the Bank retains substantially all of the risks and rewards related to those financial assets. The risks include credit risk, interest rate risk, foreign exchange risk, prepayment risk, and other price risks, whereas the rewards include the income streams associated with the financial assets. As such, those financial assets are not derecognized and the transactions are treated as collateralized or secured borrowings. The nature of those transactions is described below.

Securities Sold Under Repurchase Agreements and Securities Loaned

When securities are sold under repurchase agreements and securities loaned under securities lending agreements, the Bank transfers financial assets to third parties in accordance with the standard terms for such transactions. These third parties may have an unlimited right to resell or repledge the financial assets received. If cash collateral is received, the Bank records the cash along with an obligation to return the cash, which is included in Obligations related to securities sold under repurchase agreements and securities loaned on the Consolidated Balance Sheet. Where securities are received as collateral, the Bank does not record the collateral on the Consolidated Balance Sheet.

Financial Assets Transferred to Structured Entities

Under the Canada Mortgage Bond (CMB) program, the Bank sells securities backed by insured residential mortgages and other securities to Canada Housing Trust (CHT), which finances the purchase through the issuance of insured mortgage bonds. Third-party CMB investors have legal recourse only to the transferred assets. The cash received for these transferred assets is treated as a secured borrowing, and a corresponding liability is recorded in Liabilities related to transferred receivables on the Consolidated Balance Sheet.

The following table provides additional information about the nature of the transferred financial assets that do not qualify for derecognition and the associated liabilities.

As at October 31		2022	2021

Carrying value of financial assets transferred but not derecognized
	Securities⁽¹⁾	76,551	68,296
	Residential mortgages	24,102	22,413
		100,653	90,709

Carrying value of associated liabilities⁽²⁾		56,555	40,779

Fair value of financial assets transferred but not derecognized
	Securities⁽¹⁾	76,551	68,296
	Residential mortgages	22,954	22,249
		99,505	90,545

Fair value of associated liabilities⁽²⁾		55,767	40,731

(1) The amount related to the securities loaned is the maximum amount of Bank securities that can be lent. For obligations related to securities sold under repurchase agreements, the amount includes the Bank's own financial assets as well as those of third parties and excludes covered bonds issued by the Bank.

(2) Associated liabilities include liabilities related to transferred receivables and obligations related to securities sold under repurchase agreements before the offsetting impact of $3,606 million as at October 31, 2022 ($3,367 million as at October 31, 2021) excluding repurchase agreements guaranteed by covered bonds issued by the Bank. Liabilities related to securities loaned are not included, as the Bank can lend its own financial assets and those of third parties. The carrying value and fair value of liabilities related to securities loaned stood at $8,843 million before the offsetting impact of $2,043 million as at October 31, 2022 ($7,993 million before the offsetting impact of $4,333 million as at October 31, 2021).

The following table specifies the nature of the transactions related to financial assets transferred but not derecognized.

As at October 31		2022	2021
Carrying value of financial assets transferred but not derecognized
	Securities backed by insured residential mortgages and other securities sold to CHT	25,468	24,034
	Securities sold under repurchase agreements	33,880	17,553
	Securities loaned	41,305	49,122
		100,653	90,709

Note 9 - Investments in Associates and Joint Ventures

As at October 31			2022	2021
		Business segment	Carrying value	Carrying value

Listed associate
	TMX Group Limited⁽¹⁾	Other	96	184

Unlisted associates			44	41
			140	225

(1) The Bank exercises significant influence over TMX Group Limited (TMX) mainly through its equity interest, debt financing, and presence on TMX's board of directors. As at October 31, 2022, the Bank's ownership interest in TMX was 2.5% (5.2% as at October 31, 2021), and the fair value of this investment based on quoted prices in active markets was $178 million ($390 million as at October 31, 2021).

As at October 31, 2022 and 2021, there were no significant restrictions limiting the ability of associates to transfer funds to the Bank in the form of dividends or to repay any loans or advances. Furthermore, the Bank has not made any specific commitment or contracted any contingent liability with respect to associates.

TMX Group Limited

TMX is a Canadian corporation that directly or indirectly controls a number of entities that operate stock exchanges and clearing houses and provide clearing and settlement services. During the year ended October 31, 2022, TMX paid $7 million in dividends to the Bank ($12 million for the year ended October 31, 2021). The following table provides summarized financial information on TMX.

As at October 31 or for the year ended October 31⁽¹⁾		2022	2021

Balance sheet
	Current assets	56,811	36,077
	Non-current assets	5,671	5,387
	Current liabilities	56,382	35,817
	Non-current liabilities	1,992	1,971

Income statement
	Total revenues	1,095	948
	Net income	559	322
	Other comprehensive income	(49)	(1)
	Comprehensive income	510	321

(1) The balance sheet amounts are the balances reported in the unaudited financial statements as at September 30, 2022 and 2021, i.e., the most recent available, and the income statement amounts are based on the cumulative balances for the 12-month periods ended September 30, 2022 and 2021.

The table below provides summarized financial information related to the Bank's proportionate share in all unlisted associates that are not individually significant.

(1) The amounts are based on the cumulative balances for the 12-month periods ended September 30, 2022 and 2021.

Note 10 - Premises and Equipment

		Owned assets held							Right-of-use assets	Total
		Land	Head office building under construction⁽¹⁾	Buildings	Computer equipment	Equipment and furniture	Leasehold improvements	Total	Real estate

Cost
As at October 31, 2020		71	120	71	340	112	331	1,045	698	1,743
	Additions and modifications	-	128	6	44	13	32	223	48	271
	Disposals	-	-	(3)	(3)	(2)	(4)	(12)		(12)
	Impairment losses	-	-	-	-	-	-	-	(5)	(5)
	Fully depreciated assets			(6)	(124)	(10)	(18)	(158)	(3)	(161)
	Impact of foreign currency translation	-	-	-	(2)	(3)	(3)	(8)	(6)	(14)
As at October 31, 2021		71	248	68	255	110	338	1,090	732	1,822
	Additions and modifications	3	183	2	53	14	46	301	69	370
	Disposals	-	-	(7)	-	(3)	(2)	(12)		(12)
	Fully depreciated assets			(7)	(38)	(7)	(10)	(62)	(8)	(70)
	Impact of foreign currency translation	-	-	-	6	3	5	14	12	26
As at October 31, 2022		74	431	56	276	117	377	1,331	805	2,136

Accumulated amortization
As at October 31, 2020				54	230	56	149	489	99	588
	Depreciation for the year			2	48	12	30	92	103	195
	Disposals			(3)	(3)	(2)	(4)	(12)		(12)
	Impairment losses			-	-	-	-	-	(1)	(1)
	Fully depreciated assets			(6)	(124)	(10)	(18)	(158)	(3)	(161)
	Impact of foreign currency translation			-	(1)	(1)	(1)	(3)	-	(3)
As at October 31, 2021				47	150	55	156	408	198	606
	Depreciation for the year			2	48	15	32	97	105	202
	Disposals			(4)	-	(3)	(2)	(9)		(9)
	Fully depreciated assets			(7)	(38)	(7)	(10)	(62)	(8)	(70)
	Impact of foreign currency translation			-	2	1	3	6	4	10
As at October 31, 2022				38	162	61	179	440	299	739

Carrying value as at October 31, 2021		71	248	21	105	55	182	682	534	1,216
Carrying value as at October 31, 2022		74	431	18	114	56	198	891	506	1,397

(1) As at October 31, 2022, contractual commitments related to the head office building under construction stood at $197 million, covering a period up to 2023.

Assets Leased Under Operating Leases

The Bank is a lessor under operating lease agreements for certain buildings. These leases have terms varying from one year to five years and do not contain any bargain purchase options or contingent rent.

The following table breaks down the future minimum payments receivable under these operating leases. These amounts include sublease revenues of $6 million related to real estate right-of-use assets.

		As at October 31, 2022

1 year or less		2
Over 1 year to 2 years		2
Over 2 years to 3 years		1
Over 3 years to 4 years		1
Over 4 years to 5 years		1
Over 5 years		-
		7

Note 10 - Premises and Equipment (cont.)

Leases Recognized in the Consolidated Statement of Income

		As at October 31, 2022

Interest expense		16
Expense for leases of low-value assets⁽¹⁾		9
Expense relating to variable lease payments		94
Income from leasing and subleasing⁽²⁾		4

(1) The expense relates to lease payments for low-value assets that are part of the exemptions permitted by the practical expedients of IFRS 16.

(2) This amount includes variable lease payments of $2 million.

For the year ended October 31, 2022, the cash outflows for leases amounted to $218 million (2021: $214 million).

Note 11 - Goodwill and Intangible Assets

Goodwill

The following table presents changes in the carrying amounts of goodwill by cash-generating unit (CGU) and by business segment for the years ended October 31, 2022 and 2021.

		Personal and Commercial⁽¹⁾	Wealth Management				Financial Markets⁽¹⁾	USSF&I			Other	Total
			Third-Party Solutions⁽¹⁾	Securities Brokerage⁽¹⁾	Managed Solutions⁽¹⁾	Total		Credigy Ltd.⁽¹⁾	Advanced Bank of Asia Limited⁽¹⁾	Total	Flinks Technology Inc.⁽¹⁾

Balance as at October 31, 2020		54	256	434	269	959	235	33	133	166	-	1,414
	Acquisition of Flinks⁽²⁾										101	101
	Impact of foreign currency translation	-	-	-	-	-	-	(2)	(9)	(11)	-	(11)
Balance as at October 31, 2021		54	256	434	269	959	235	31	124	155	101	1,504
	Impact of foreign currency translation	-	-	-	-	-	-	3	12	15	-	15
Balance as at October 31, 2022		54	256	434	269	959	235	34	136	170	101	1,519

(1) Constitutes a CGU.

(2) On September 8, 2021, the Bank finalized the acquisition of Flinks. For additional information, see Note 31 to these consolidated financial statements.

Goodwill Impairment Testing and Significant Assumptions

For impairment testing purposes, goodwill resulting from a business combination must be allocated, as of the acquisition date, to a CGU or group of CGUs expected to benefit from the synergies of the business combination. Goodwill is tested for impairment annually or more frequently if events or circumstances indicate that the recoverable value of the CGU or group of CGUs may have fallen below its carrying amount.

Goodwill was tested for impairment during the years ended October 31, 2022 and 2021, and no impairment loss was recognized.

The recoverable value of a CGU or group of CGUs is based on the value in use that is calculated based on discounted pre-tax cash flows. Future pre-tax cash flows are estimated based on a five-year period, which is the reference period used for the most recent financial forecasts approved by management. Cash flows beyond that period are extrapolated using a long-term growth rate.

The discount rate used for each CGU or group of CGUs is calculated using the cost of debt financing and the cost related to the Bank's equity. This rate corresponds to the Bank's weighted average cost of capital and reflects the risk specific to the CGU. The long-term growth rate used in calculating discounted cash flow estimates is based on the forecasted growth rate plus a risk premium. The rate is constant over the entire five-year period for which the cash flows were determined. Growth rates are determined, among other factors, based on past growth rates, economic trends, inflation, competition and the impact of the Bank's strategic initiatives. As at October 31, 2022, for each CGU or CGU group, the discount rate used was 12.9% (13.2% as at October 31, 2021), and the long-term growth rate varied between 2% and 5%, depending on the CGU, as at October 31, 2022 and 2021.

Estimating a CGU's value in use requires significant judgment regarding the inputs used in applying the discounted cash flow method. The Bank conducts sensitivity analyses by varying the after-tax discount rate upward by 1% and the terminal growth rates downward by 1%. Such sensitivity analyses demonstrate that a reasonable change in assumptions would not result in a CGU's carrying value exceeding its value in use.

Intangible Assets

		Indefinite useful life				Finite useful life			Total
		Management contracts⁽¹⁾	Trademark	Total	Internally- generated software⁽²⁾	Other software	Other intangible assets	Total

Cost
As at October 31, 2020		161	11	172	1,922	169	69	2,160	2,332
	Impact of an accounting policy change as at November 1, 2020⁽³⁾				(192)			(192)	(192)
	Acquisitions	-	-	-	354	20	-	374	374
	Impact of an accounting policy change for the fiscal year⁽³⁾				(75)			(75)	(75)
	Impairment losses⁽⁴⁾	(1)	(2)	(3)	(9)	-	-	(9)	(12)
	Fully amortized intangible assets				(92)	(69)	(5)	(166)	(166)
As at October 31, 2021		160	9	169	1,908	120	64	2,092	2,261
	Acquisitions	-	-	-	346	28	-	374	374
	Impairment losses⁽⁴⁾	(1)	(1)	(2)	(7)	-	(2)	(9)	(11)
	Fully amortized intangible assets				(138)	(21)	(2)	(161)	(161)
	Impact of foreign currency translation	-	-	-	-	1	-	1	1
As at October 31, 2022		159	8	167	2,109	128	60	2,297	2,464

Accumulated amortization
As at October 31, 2020					724	125	49	898	898
	Impact of an accounting policy change as at November 1, 2020⁽³⁾				(6)			(6)	(6)
	Amortization for the fiscal year				260	19	7	286	286
	Impact of an accounting policy change for the fiscal year⁽³⁾				(25)			(25)	(25)
	Fully amortized intangible assets				(92)	(69)	(5)	(166)	(166)
As at October 31, 2021					861	75	51	987	987
	Amortization for the fiscal year				253	20	6	279	279
	Impairment losses⁽⁴⁾				(2)	-	(1)	(3)	(3)
	Fully amortized intangible assets				(138)	(21)	(2)	(161)	(161)
	Impact of foreign currency translation				-	2	-	2	2
As at October 31, 2022					974	76	54	1,104	1,104

Carrying value as at October 31, 2021		160	9	169	1,047	45	13	1,105	1,274
Carrying value as at October 31, 2022		159	8	167	1,135	52	6	1,193	1,360

(1) For annual impairment testing purposes, management contracts are allocated to the Managed Solutions CGU.

(2) The remaining amortization period for significant internally-generated software is four years.

(3) Certain amounts have been adjusted to reflect an accounting policy change applicable to cloud computing arrangements. For additional information, see Note 1 to these consolidated financial statements.

(4) During the year ended October 31, 2022, the Bank recorded $2 million in impairment losses resulting from the impairment test carried out on indefinite-life intangible assets ($3 million during the year ended October 31, 2021) as well as an amount of $5 million related to internally-generated software for which the Bank has decided to cease its use or development ($9 million during the year ended October 31, 2021). These impairment losses were recognized in the Non-interest expenses - Technology item of the Consolidated Statement of Income and reported in the Other heading of segment results.

Note 12 - Other Assets

As at October 31	2022	2021⁽¹⁾

Receivables, prepaid expenses and other items	2,591	1,228
Interest and dividends receivable	1,057	696
Due from clients, dealers and brokers	842	988
Defined benefit asset (Note 23)	498	691
Deferred tax assets (Notes 1 and 24)	389	416
Current tax assets	471	445
Reinsurance assets	6	28
Insurance assets	104	38
	5,958	4,530

(1) Certain amounts have been adjusted to reflect an accounting policy change applicable to cloud computing arrangements. For additional information, see Note 1 to these consolidated financial statements.

Note 13 - Deposits

As at October 31			2022		2021
	On demand⁽¹⁾	After notice⁽²⁾	Fixed term⁽³⁾	Total	Total

Personal	5,539	36,576	36,696	78,811	70,076
Business and government	60,579	32,061	91,590	184,230	167,870
Deposit-taking institutions	1,557	199	1,597	3,353	2,992
	67,675	68,836	129,883	266,394	240,938

(1) Demand deposits are deposits for which the Bank does not have the right to require 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, as described below, and a $13.9 billion amount of deposits as at October 31, 2022 ($11.9 billion as at October 31, 2021) 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.

Covered Bonds

NBC Covered Bond Guarantor (Legislative) Limited Partnership

In December 2013, the Bank established the covered bond legislative program under which covered bonds are issued. It therefore created NBC Covered Bond Guarantor (Legislative) Limited Partnership (the Guarantor) to guarantee payment of the principal and interest owed to the bondholders. The Bank sold uninsured residential mortgages to the Guarantor and granted it loans to facilitate the acquisition of these assets. During the year ended October 31, 2022, an amount of 1.0 billion euros and US$1.0 billion in covered bonds reached maturity, and the Bank issued 1.3 billion euros, US$1.5 billion, and 750 million pounds sterling in covered bonds (US$470 million, 1.0 billion euros, and 250 million pounds sterling in covered bonds reached maturity, and the Bank issued 1.25 billion euros in covered bonds during the year ended October 31, 2021). The covered bonds totalled $10.4 billion as at October 31, 2022 ($8.8 billion as at October 31, 2021). For additional information, see Note 27 to these consolidated financial statements.

The Bank has limited access to the assets owned by this structured entity according to the terms of the agreements that apply to this transaction. The assets owned by this entity totalled $18.2 billion as at October 31, 2022 ($16.0 billion as at October 31, 2021), of which $17.9 billion ($15.7 billion as at October 31, 2021) is presented in Residential mortgage loans on the Bank's Consolidated Balance Sheet.

Note 14 - Other Liabilities

As at October 31	2022	2021

Accounts payable and accrued expenses	2,582	2,469
Subsidiaries' debts to third parties	156	437
Interest and dividends payable	1,063	552
Lease liabilities	552	575
Due to clients, dealers and brokers	730	735
Defined benefit liability (Note 23)	111	143
Allowances for credit losses - Off-balance-sheet commitments (Note 7)	162	162
Deferred tax liabilities (Note 24)	14	10
Current tax liabilities	67	478
Insurance liabilities	10	11
Other items^(1)(2)(3)	914	729
	6,361	6,301

(1) As at October 31, 2022, Other items included $11 million in litigation provisions ($12 million as at October 31, 2021).

(2) As at October 31, 2022, Other items included $33 million in provisions for onerous contracts ($33 million as at October 31, 2021).

(3) As at October 31, 2022, Other items included the financial liability resulting from put options written to non-controlling interests of Flinks for an amount of $33 million ($25 million as at October 31, 2021).

Note 15 - Subordinated Debt

The subordinated debt represents direct unsecured obligations, in the form of notes and debentures, to the Bank's debt holders. The rights of the Bank's note and debenture holders are subordinate to the claims of depositors and certain other creditors. Approval from OSFI is required before the Bank can redeem its subordinated notes and debentures in whole or in part.

On August 31, 2022, the Bank redeemed debentures denominated in a foreign currency and maturing on February 28, 2087 in an amount of US$7 million at their nominal value plus accrued interest.

On July 25, 2022, the Bank issued medium-term notes for an amount of $750 million, bearing interest at 5.426% and maturing on August 16, 2032. The interest on these notes will be payable semi-annually at 5.426% per annum until August 16, 2027 and, thereafter, at a floating rate equal to the Canadian Overnight Repo Rate (CORRA) compounded daily plus 2.32% and payable quarterly. With the prior approval of OSFI, the Bank may, at its option, redeem these notes as of August 16, 2027, in whole or in part, at their nominal value plus accrued and unpaid interest. Since the medium-term notes satisfy the non-viability contingent capital requirements, they qualify for the purposes of calculating regulatory capital under Basel III.

As at October 31			2022	2021
Maturity date	Interest rate	Redemption date

February 2028⁽¹⁾	3.183%⁽²⁾	February 1, 2023⁽³⁾	750	750
August 2032⁽¹⁾	5.426%⁽⁴⁾	August 16, 2027⁽³⁾	750	-
February 2087	Variable	Redeemable at the Bank's option since February 28, 1993	-	9
			1,500	759
Fair value hedge adjustment⁽⁵⁾			2	10
Unamortized issuance costs⁽⁶⁾			(3)	(1)
Total			1,499	768

(1) These notes contain non-viability contingent capital (NVCC) provisions and qualify for the purposes of calculating regulatory capital under Basel III. In the case of a trigger event as defined by OSFI, each note will be automatically and immediately converted, on a full and permanent basis, without the consent of the holder, into a specified number of common shares of the Bank as determined using an automatic conversion formula with a multiplier of 1.5 and a conversion price based on the greater of: (i) a floor price of $5.00; (ii) the current market price of common shares, which represents the volume weighted average price of common shares for the ten trading days ending on the trading day preceding the date of the trigger event. If the common shares are not listed on an exchange when this price is being established, the price will be the fair value reasonably determined by the Bank's Board. The number of shares issued is determined by dividing the par value of the note (plus accrued and unpaid interest on such note) by the conversion price and then applying the multiplier.

(2) Bearing interest at a rate of 3.183%, payable semi-annually until February 1, 2023, and thereafter bearing interest at a floating rate equal to three-month CDOR plus 0.72%, payable quarterly.

(3) With the prior approval of OSFI, the Bank may, at its option, redeem these notes in whole or in part, at their nominal value plus accrued and unpaid interest.

(4) Bearing interest at a rate of 5.426%, payable semi-annually until August 16, 2027, and thereafter bearing interest at a floating rate equal to CORRA compounded daily plus 2.32%, payable quarterly.

(5) The fair value hedge adjustment represents the impact of the hedging transactions applied to hedge changes in the fair value of subordinated debt caused by interest rate fluctuations.

(6) The unamortized costs related to the issuance of the subordinated debt represent the initial cost, net of accumulated amortization, calculated using the effective interest rate method.

Note 16 - Derivative Financial Instruments

Derivative financial instruments are financial contracts whose value is derived from an underlying interest rate, exchange rate, equity price, commodity price, credit spread, or index.

The main types of derivative financial instruments used are presented below.

Forwards and Futures

Forwards and futures are contractual obligations to buy or sell a specified amount of currency, interest rate, commodity, or financial instrument on a specified future date at a specified price. Forwards are tailor-made agreements transacted in the over-the-counter market. Futures are traded on organized exchanges and are subject to cash margining calculated daily by clearing houses.

Swaps

Swaps are over-the-counter contracts in which two parties agree to exchange cash flows. The Bank uses the following types of swap contracts:

· Cross-currency swaps are transactions in which counterparties exchange fixed-rate interest payments and principal payments in different currencies.

· Interest rate swaps are transactions in which counterparties exchange fixed- and floating-rate interest payments based on the notional principal value in the same currency.

· Commodity swaps are transactions in which counterparties exchange fixed- and floating-rate payments based on the notional principal value of a commodity.

· Equity swaps are transactions in which counterparties agree to exchange the return on one equity or group of equities for a payment based on an interest rate benchmark.

· Credit default swaps are transactions in which one of the parties agrees to pay returns to the other party so that the latter can make a payment if a credit event occurs.

Options

Options are agreements between two parties in which the writer of the option grants the buyer the right, but not the obligation, to buy or sell, either at a specified date or dates or at any time prior to a predetermined expiry date, a specific amount of currency, commodity, or financial instrument at an agreed-upon price upon the sale of the option. The writer receives a premium for the sale of this instrument.

Notional Amounts⁽¹⁾

As at October 31		2022							2021
		Term to maturity					Contracts held for trading purposes	Contracts designated as hedges
		3 months or less	Over 3 months to 12 months	Over 1 year to 5 years	Over 5 years	Total contracts	Contracts held for trading purposes	Contracts designated as hedges	Total contracts
Interest rate contracts
OTC contracts
Forward rate agreements
	Not settled by central counterparties	7,873	632	-	-	8,505	8,505	-	6,058
	Settled by central counterparties	-	-	-	-	-	-	-	495
Swaps
	Not settled by central counterparties	4,665	10,513	56,972	49,234	121,384	119,504	1,880	119,380
	Settled by central counterparties	314,872	168,685	316,246	121,854	921,657	868,393	53,264	690,197
Options purchased		150	513	3,961	1,295	5,919	5,824	95	4,833
Options written		652	1,804	5,167	1,387	9,010	8,116	894	6,471
		328,212	182,147	382,346	173,770	1,066,475	1,010,342	56,133	827,434
Exchange-traded contracts
Futures
	Long positions	10,758	12,115	5,599	-	28,472	28,472	-	56,893
	Short positions	42,455	15,160	4,590	-	62,205	62,205	-	49,631
Options purchased		3,000	-	-	-	3,000	3,000	-	15,974
Options written		1,362	-	-	-	1,362	1,362	-	8,882
		57,575	27,275	10,189	-	95,039	95,039	-	131,380
Foreign exchange contracts
OTC contracts
Forwards		58,344	14,829	8,412	587	82,172	82,172	-	78,401
Swaps		301,820	82,772	98,472	32,620	515,684	502,392	13,292	447,547
Options purchased		12,875	17,441	4,515	-	34,831	34,831	-	17,295
Options written		13,351	23,013	3,113	-	39,477	39,477	-	18,924
		386,390	138,055	114,512	33,207	672,164	658,872	13,292	562,167
Exchange-traded contracts
Futures
	Long positions	72	-	-	-	72	72	-	54
	Short positions	42	13	-	-	55	55	-	83
		114	13	-	-	127	127	-	137
Equity, commodity and
	credit derivative contracts⁽²⁾
OTC contracts
Forwards		-	3	3,471	261	3,735	3,735	-	4,288
Swaps
	Not settled by central counterparties	20,331	19,572	17,298	8,368	65,569	65,433	136	80,067
	Settled by central counterparties	310	258	3,250	815	4,633	4,633	-	3,713
Options purchased		549	404	869	-	1,822	1,822	-	1,625
Options written		443	240	1,425	263	2,371	2,371	-	1,966
		21,633	20,477	26,313	9,707	78,130	77,994	136	91,659
Exchange-traded contracts
Futures
	Long positions	3,650	697	403	39	4,789	4,789	-	7,173
	Short positions	10,121	2,686	645	-	13,452	13,452	-	13,659
Options purchased		6,255	1,906	981	-	9,142	9,142	-	23,110
Options written		6,332	2,866	2,292	-	11,490	11,490	-	24,522
		26,358	8,155	4,321	39	38,873	38,873	-	68,464
		820,282	376,122	537,681	216,723	1,950,808	1,881,247	69,561	1,681,241

(1) Notional amounts are not presented in assets or liabilities on the Consolidated Balance Sheet. They represent the reference amount of the contract to which a rate or price is applied to determine the amount of cash flows to be exchanged.

(2) Includes precious metal contracts.

Note 16 - Derivative Financial Instruments (cont.)

Credit Risk

Credit risk on derivative financial instruments is the risk of financial loss that the Bank will have to assume if a counterparty fails to honour its contractual obligations. Credit risk related to derivative financial instruments is subject to the same credit approval, credit limit, and credit monitoring standards as those applied to the Bank's other credit transactions. Consequently, the Bank evaluates the creditworthiness of counterparties and manages the size of the portfolios as well as the diversification and maturity profiles of these financial instruments.

The Bank limits the credit risk of over-the-counter contracts by dealing with creditworthy counterparties and entering into contracts that provide for the exchange of collateral between parties where the fair value of the outstanding transactions exceeds an agreed threshold. The Bank also negotiates master netting agreements that provide for the simultaneous close-out and settling of all transactions with a given counterparty on a net basis in the event of default, insolvency, or bankruptcy. However, overall exposure to credit risk, reduced through master netting agreements, may change substantially after the balance sheet date because it is affected by all transactions subject to a contract as well as by changes in the market rates of the underlying instruments.

The Bank also uses financial intermediaries to have access to established clearing houses in order to minimize the settlement risk arising from financial derivative transactions. In some cases, the Bank has direct access to clearing houses for settling derivative financial instruments. In addition, certain derivative financial instruments traded over the counter are settled directly or indirectly by central counterparties.

In the case of exchange-traded contracts, exposure to credit risk is limited because these transactions are standardized contracts executed on established exchanges, each of which is associated with a well-capitalized clearing house that assumes the obligations of both counterparties and guarantees their performance obligations. All exchange-traded contracts are subject to initial margins and daily settlement.

Terms Used

Replacement Cost

Replacement cost is the Bank's maximum credit risk associated with derivative financial instruments as at the Consolidated Balance Sheet date. This amount is the positive fair value of all derivative financial instruments, before all master netting agreements and collateral held.

Credit Risk Equivalent

The credit risk equivalent amount is the total replacement cost plus an amount representing the potential future credit risk exposure, as outlined in OSFI's Capital Adequacy Requirements Guideline.

Risk-Weighted Amount

The risk-weighted amount is determined by applying the OSFI guidance to the credit risk equivalent.

Credit Risk Exposure of the Derivative Financial Instrument Portfolio

As at October 31	2022			2021
	Replacement cost	Credit risk equivalent⁽¹⁾	Risk- weighted amount⁽¹⁾	Replacement cost	Credit risk equivalent⁽¹⁾	Risk- weighted amount⁽¹⁾
Interest rate contracts	5,490	2,639	508	1,975	3,239	814
Foreign exchange contracts	8,775	5,926	1,847	6,453	4,361	1,405
Equity, commodity and credit derivative contracts	4,282	6,569	1,797	8,056	12,113	3,316
	18,547	15,134	4,152	16,484	19,713	5,535
Impact of master netting agreements	(9,583)			(9,398)
	8,964	15,134	4,152	7,086	19,713	5,535

(1) The amounts are presented net of the Impact of master netting agreements.

Credit Risk Exposure of the Derivative Financial Instrument Portfolio by Counterparty

As at October 31	2022		2021
	Replacement cost	Credit risk equivalent	Replacement cost	Credit risk equivalent
OECD⁽¹⁾ member-country governments	1,342	2,700	771	2,604
Banks of OECD member countries	589	3,292	714	3,492
Other	7,033	9,142	5,601	13,617
	8,964	15,134	7,086	19,713

(1) Organisation for Economic Co-operation and Development.

Fair Value of Derivative Financial Instruments

As at October 31		2022			2021
		Positive	Negative	Net	Positive	Negative	Net

Contracts held for trading purposes
Interest rate contracts
	Forwards	125	85	40	30	54	(24)
	Swaps	3,267	3,620	(353)	909	1,316	(407)
	Options	168	166	2	74	68	6
		3,560	3,871	(311)	1,013	1,438	(425)
Foreign exchange contracts
	Forwards	1,426	919	507	2,190	2,365	(175)
	Swaps	6,461	7,140	(679)	4,026	3,601	425
	Options	707	597	110	234	250	(16)
		8,594	8,656	(62)	6,450	6,216	234
Equity, commodity and credit derivative contracts
	Forwards	911	314	597	1,369	886	483
	Swaps	1,926	3,717	(1,791)	2,375	5,198	(2,823)
	Options	1,440	1,793	(353)	4,305	4,922	(617)
		4,277	5,824	(1,547)	8,049	11,006	(2,957)
Total - Contracts held for trading purposes		16,431	18,351	(1,920)	15,512	18,660	(3,148)

Contracts designated as hedges
Interest rate contracts
	Swaps	1,930	1,137	793	962	268	694
	Options	-	35	(35)	-	207	(207)
		1,930	1,172	758	962	475	487
Foreign exchange contracts
	Swaps	182	109	73	3	232	(229)
	Options	-	-	-	-	-	-
		182	109	73	3	232	(229)
Equity, commodity and credit derivative contracts
	Swaps	4	-	4	7	-	7
	Options	-	-	-	-	-	-
		4	-	4	7	-	7
Total - Contracts designated as hedges		2,116	1,281	835	972	707	265
	Designated as fair value hedges	1,186	586	600	644	272	372
	Designated as cash flow hedges	930	695	235	328	435	(107)
	Designated as a hedge of a net investment in a
	foreign operation	-	-	-	-	-	-
Total fair value		18,547	19,632	(1,085)	16,484	19,367	(2,883)
Impact of master netting agreements		(9,583)	(9,583)	-	(9,398)	(9,398)	-
		8,964	10,049	(1,085)	7,086	9,969	(2,883)

Note 17 - Hedging Activities

The Bank's market risk exposure, risk management objectives, policies and procedures, and risk measurement methods are presented in the Risk Management section of the MD&A for the year ended October 31, 2022.

The Bank has elected, as permitted under IFRS 9, to continue applying the hedge accounting requirements of IAS 39. Some of the tables present information on currencies, specifically, the U.S. dollar (USD), the Australian dollar (AUD), the Canadian dollar (CAD), the Hong Kong dollar (HKD), the euro (EUR), and the pound sterling (GBP).

Note 17 - Hedging Activities (cont.)

The following table shows the notional amounts and the weighted average rates by term to maturity of the designated derivative instruments and their fair value by type of hedging relationship.

As at October 31													2022											2021
				Term to maturity												Total		Fair value			Total		Fair value
				1 year or less			Over 1 year to 2 years			Over 2 years to 5 years			Over 5 years			Total		Assets	Liabilities		Total		Assets	Liabilities
Fair value hedges
Interest rate risk
	Interest rate swaps																	1,176	527				642	63
		Notional amount - LIBOR reform⁽¹⁾		-			-			509			903			1,412					2,025
		Notional amount - CDOR reform⁽²⁾		-			815			8,246			1,669			10,730					-
		Notional amount - Other		1,053			1,860			5,770			1,464			10,147					16,572
		Average fixed interest rate - Pay fixed		1.6	%		1.0	%		1.7	%		2.2	%		1.7	%				1.2	%
		Average fixed interest rate - Receive fixed		0.9	%		3.3	%		1.1	%		2.7	%		2.0	%				2.0	%

	Cross-currency swaps																	10	24				2	2
		Notional amount - LIBOR reform⁽¹⁾		-			-			-			32			32					22
		Notional amount - Other		120			-			-			40			160					110
		Average USD-AUD exchange rate		-			-			-		$	0.7381		$	0.7381				$	0.7351
		Average CAD-HKD exchange rate	$	0.1621			-			-			-		$	0.1621				$	0.1621
		Average USD-EUR exchange rate		-			-			-		$	1.0513		$	1.0513					-

	Options																	-	35				-	207
		Notional amount - LIBOR reform⁽¹⁾		-			-			-			409			409					372
		Notional amount - CDOR reform⁽²⁾		-			-			-			30			30					-
		Notional amount - Other		52			-			74			424			550					541
		Average fixed interest rate - Purchased		(0.8)	%		-			(1.3)	%		-			(1.2)	%				(0.8)	%
		Average fixed interest rate - Written		2.9	%		-			-			2.8	%		2.8	%				2.8	%
				1,225			2,675			14,599			4,971			23,470		1,186	586		19,642		644	272
Cash flow hedges
Interest rate risk
	Interest rate swaps																	754	610				320	205
		Notional amount - CDOR reform⁽²⁾		-			526			8,414			3,460			12,400					-
		Notional amount - Other		13,702			2,909			2,790			1,054			20,455					31,223
		Average fixed interest rate - Pay fixed		1.8	%		1.9	%		1.7	%		2.6	%		1.9	%				1.6	%
		Average fixed interest rate - Receive fixed		2.1	%		0.7	%		1.5	%		2.2	%		1.9	%				0.6	%

	Cross-currency swaps																	172	85				1	230
		Notional amount - LIBOR reform⁽¹⁾		2,014			1,010			2,020			673			5,717					13,324
		Notional amount - CDOR reform⁽²⁾		-			399			2,357			1,132			3,888					-
		Notional amount - Other		2,238			1,120			127			-			3,485					3,512
		Average CAD-USD exchange rate	$	1.3179		$	1.3069		$	1.2749		$	1.2907		$	1.2972				$	1.2945
		Average USD-EUR exchange rate	$	1.1397		$	1.1534		$	1.1995		$	1.1889		$	1.1691				$	1.1587
		Average USD-GBP exchange rate		-			-		$	1.2375			-		$	1.2375					-

Equity price risk
	Equity swaps
		Notional amount - CDOR reform⁽²⁾		136			-			-			-			136		4	-		131		7	-
		Average price	$	86.36			-			-			-		$	86.36				$	97.54
				18,090			5,964			15,708			6,319			46,081		930	695		48,190		328	435
Hedges of net investments
	in foreign operations⁽³⁾
Foreign exchange risk
	Cross-currency swaps
		Notional amount		10			-			-			-			10		-	-		5		-	-
		Average CAD-USD exchange rate	$	1.3802			-			-			-		$	1.3802				$	1.2378
		Average USD-HKD exchange rate	$	0.1275			-			-			-		$	0.1275					-
				10			-			-			-			10		-	-		5		-	-
				19,325			8,639			30,307			11,290			69,561		2,116	1,281		67,837		972	707

(1) Includes only contracts that reference USD LIBOR and that mature after June 30, 2023.

(2) Includes only contracts that reference CDOR and that mature after June 28, 2024.

(3) As at October 31, 2022, the Bank also designated $1,410 million in foreign currency deposits denominated in U.S. dollars as net investment hedging instruments ($1,313 million as at October 31, 2021).

Fair Value Hedges

Fair value hedge transactions consist of using derivative financial instruments (interest rate swaps and options) to hedge changes in the fair value of a financial asset or financial liability caused by interest rate fluctuations. Changes in the fair values of derivative financial instruments used as hedging instruments offset changes in the fair value of the hedged items. The Bank applies this strategy mainly to portfolios of securities measured at fair value through other comprehensive income, fixed-rate mortgage loans, fixed-rate deposits, liabilities related to transferred receivables, and subordinated debt.

In addition, when a fixed-rate asset or liability is denominated in a foreign currency, the Bank sometimes uses cross-currency swaps to hedge the associated foreign exchange risk. The Bank may designate a cross-currency swap to exchange the fixed-rate foreign currency for the functional currency at a floating rate in a single hedging relationship addressing both interest rate risk and foreign exchange risk. In certain cases, given that interest rate risk and foreign exchange risk are hedged in a single hedging relationship, the information below does not distinguish between interest rate risk and the combination of interest rate risk and foreign exchange risk as two separate risk categories. The Bank applies this strategy mainly to foreign currency fixed-rate deposits.

Regression analysis is used to test hedge effectiveness and determine the hedge ratio. For fair value hedges, the main source of potential hedge ineffectiveness is a circumstance where the critical terms of the hedging instrument and the hedged item are not closely aligned.

The following tables show amounts related to hedged items as well as the results of the fair value hedges.

		As at October 31, 2022		Year ended October 31, 2022
	Carrying value of hedged items	Cumulative hedge adjustments from active hedges	Cumulative adjustments from discontinued hedges	Gains (losses) on the hedged items for ineffectiveness measurement⁽¹⁾	Gains (losses) on the hedging instruments for ineffectiveness measurement⁽¹⁾	Hedge ineffectiveness⁽¹⁾

Securities at fair value through other comprehensive income	6,805	(529)	(53)	(588)	589	1
Mortgages	6,488	(332)	(231)	(415)	453	38
Deposits	5,803	(595)	9	682	(677)	5
Liabilities related to transferred receivables	682	(3)	68	3	(3)	-
Subordinated debt	2	-	2	-	-	-
				(318)	362	44

		As at October 31, 2021		Year ended October 31, 2021
	Carrying value of hedged items	Cumulative hedge adjustments from active hedges	Cumulative adjustments from discontinued hedges	Gains (losses) on the hedged items for ineffectiveness measurement⁽¹⁾	Gains (losses) on the hedging instruments for ineffectiveness measurement⁽¹⁾	Hedge ineffectiveness⁽¹⁾

Securities at fair value through other comprehensive income	7,471	(183)	27	(309)	310	1
Mortgages	7,609	(192)	(17)	(222)	234	12
Deposits	3,190	42	70	121	(123)	(2)
Liabilities related to transferred receivables	105	-	105	23	(23)	-
Subordinated debt	10	-	10	-	-	-
				(387)	398	11

(1) Amounts are presented on a pre-tax basis.

Note 17 - Hedging Activities (cont.)

Cash Flow Hedges

Cash flow hedge transactions consist of using interest rate swaps to hedge the risk of changes in future cash flows caused by floating-rate assets or liabilities. In addition, the Bank sometimes uses cross-currency swaps to hedge the foreign exchange risk caused by assets or liabilities denominated in foreign currencies. In certain cases, given that interest rate risk and foreign exchange risk are hedged in a single hedging relationship, the information below does not distinguish between interest rate risk and the combination of interest rate risk and foreign exchange risk as two separate risk categories. The Bank applies this strategy mainly to its loan, personal credit line, acceptance, and deposit portfolios as well as liabilities related to transferred receivables.

The Bank also uses total return swaps to hedge the risk of changes in future cash flows related to the Restricted Stock Unit (RSU) Plan. Some of these swaps are designated as part of a cash flow hedge against a portion of the unrecognized obligation of the RSU Plan. In cash flow hedges, the derivative financial instruments used as hedging instruments reduce the variability of the future cash flows related to the hedged items.

Regression analysis is used to assess hedge effectiveness and to determine the hedge ratio. For cash flow hedges, the main source of potential hedge ineffectiveness is a circumstance where the critical terms of the hedging instrument and the hedged item are not closely aligned.

The following tables show the amounts related to hedged items as well as the results of the cash flow hedges.

			As at October 31, 2022				Year ended October 31, 2022
			Accumulated other comprehensive income from active hedges	Accumulated other comprehensive income from discontinued hedges	Gains (losses) on hedged items for ineffectiveness measurement⁽¹⁾	Gains (losses) on hedging instruments for ineffectiveness measurement⁽¹⁾	Hedge ineffectiveness⁽¹⁾	Unrealized gains (losses) included in Other comprehensive income as the effective portion of the hedging instrument⁽¹⁾	Losses (gains) reclassified to Net interest income⁽¹⁾

Interest rate risk
	Loans		(169)	(241)	357	(356)	-	(356)	33
	Deposits		28	10	257	(253)	-	62	-
	Acceptances		210	115	(253)	255	2	253	23
	Liabilities related to transferred
		receivables	64	27	(54)	55	1	54	(11)
			133	(89)	307	(299)	3	13	45
Equity price risk
	Other liabilities		-	-	47	(47)	-	(47)	-
			133	(89)	354	(346)	3	(34)	45

			As at October 31, 2021				Year ended October 31, 2021
			Accumulated other comprehensive income from active hedges	Accumulated other comprehensive income from discontinued hedges	Gains (losses) on hedged items for ineffectiveness measurement⁽¹⁾	Gains (losses) on hedging instruments for ineffectiveness measurement⁽¹⁾	Hedge ineffectiveness⁽¹⁾	Unrealized gains (losses) included in Other comprehensive income as the effective portion of the hedging instrument⁽¹⁾	Losses (gains) reclassified to Net interest income⁽¹⁾

Interest rate risk
	Loans		(76)	(10)	87	(85)	-	(84)	(2)
	Deposits		(15)	(8)	488	(487)	-	163	(5)
	Acceptances		161	(113)	(208)	214	6	208	46
	Liabilities related to transferred
		receivables	48	-	(54)	56	2	54	-
			118	(131)	313	(302)	8	341	39
Equity price risk
	Other liabilities		47	-	(35)	35	-	39	(4)
			165	(131)	278	(267)	8	380	35

(1) Amounts are presented on a pre-tax basis.

Hedges of Net Investments in Foreign Operations

The Bank's structural foreign exchange risk arises from investments in foreign operations denominated in currencies other than the Canadian dollar. The Bank measures this risk by assessing the impact of foreign currency fluctuations and hedges it using derivative and non-derivative financial instruments (cross-currency swaps and deposits). In a hedge of a net investment in a foreign operation (net investment hedge), the financial instruments used offset the foreign exchange gains and losses on the investments. When non-derivative financial instruments are designated as foreign exchange risk hedges, only the changes in fair value that are attributable to foreign exchange risk are taken into account when assessing and calculating the effectiveness of the hedge.

Assessing the effectiveness of net investment hedges consists of comparing changes in the carrying value of the deposits or the fair value of the derivative attributable to exchange rate fluctuations with changes in the net investment in a foreign operation attributable to exchange rate fluctuations. Inasmuch as the notional amount of the hedging instruments and the hedged net investments are aligned, no ineffectiveness is expected.

The following tables present the amounts related to hedged items as well as the results of the net investment hedges.

As at October 31, 2022

Year ended October 31, 2022

Accumulated other comprehensive income from active hedges

Accumulated other comprehensive income from discontinued hedges

Gains (losses) on hedged items for ineffectiveness measurement⁽¹⁾

Gains (losses) on hedging instruments for ineffectiveness measurement⁽¹⁾

Hedge ineffectiveness⁽¹⁾

Unrealized gains (losses) included in Other comprehensive income as the effective portion of the hedging instrument⁽¹⁾

Losses (gains) reclassified to the Non-interest income item⁽¹⁾

Net investments in foreign

operations denominated in:

USD

(276)

166

(166)

As at October 31, 2021

Year ended October 31, 2021

Accumulated other comprehensive income from active hedges

Accumulated other comprehensive income from discontinued hedges

Gains (losses) on hedged items for ineffectiveness measurement⁽¹⁾

Gains (losses) on hedging instruments for ineffectiveness measurement⁽¹⁾

Hedge ineffectiveness⁽¹⁾

Unrealized gains (losses) included in Other comprehensive income as the effective portion of the hedging instrument⁽¹⁾

Losses (gains) reclassified to the Non-interest income item⁽¹⁾

Net investments in foreign

operations denominated in:

USD

(120)

(119)

119

(1) Amounts are presented on a pre-tax basis.

Note 17 - Hedging Activities (cont.)

Reconciliation of Equity Components

The following table presents a reconciliation by risk category of Accumulated other comprehensive income attributable to hedge accounting.

As at October 31			2022		2021
			Net gains (losses) on cash flow hedges	Net foreign currency translation adjustments	Net gains (losses) on cash flow hedges	Net foreign currency translation adjustments

Balance at beginning			23	(129)	(283)	61

Hedges of net investments in foreign operations⁽¹⁾
	Gains (losses) included as the effective portion			(166)		119
	Losses (gains) reclassified to Non-interest income			-		-
	Net foreign currency translation gains (losses) on investments in foreign operations			458		(286)

Cash flow hedges⁽¹⁾
	Gains (losses) included as the effective portion
		Interest rate risk	13		341
		Equity price risk	(47)		39
	Losses (gains) reclassified to Net interest income
		Interest rate risk	45		39
		Equity price risk	-		(4)

Other comprehensive income attributable to non-controlling interests			-	-	-	13
Income taxes			(3)	41	(109)	(36)
Balance at end			31	204	23	(129)

(1) Amounts are presented on a pre-tax basis.

Note 18 - Share Capital and Other Equity Instruments

Authorized

Common Shares

An unlimited number of shares without par value.

First Preferred Shares

An unlimited number of shares, without par value, issuable for a maximum aggregate consideration of $5 billion.

First Preferred Shares and Other Equity Instruments

As at October 31, 2022

Redemption and

conversion date⁽¹⁾⁽²⁾

Redemption

price per

share or LRCN ($)⁽¹⁾

Convertible into

preferred shares⁽²⁾

Dividend per share ($) or interest rate per LRCN⁽³⁾

Reset premium of the dividend rate or interest rate

First preferred shares

issued and outstanding

Series 30⁽⁴⁾

May 15, 2024

⁽⁵⁾⁽⁶⁾

25.00

Series 31

0.25156

⁽⁷⁾

2.40

Series 32⁽⁴⁾

February 15, 2025

⁽⁵⁾⁽⁶⁾

25.00

Series 33

0.23994

⁽⁷⁾

2.25

Series 38⁽⁴⁾

November 15, 2022

⁽⁵⁾⁽⁶⁾

25.00

Series 39

0.27813

⁽⁸⁾

3.43

Series 40⁽⁴⁾

May 15, 2023

⁽⁵⁾⁽⁶⁾

25.00

Series 41

0.28750

⁽⁸⁾

2.58

Series 42⁽⁴⁾

November 15, 2023

⁽⁵⁾⁽⁶⁾

25.00

Series 43

0.30938

⁽⁸⁾

2.77

Other equity instruments

issued and outstanding

Limited Recourse Capital Notes (LRCN)

Series 1 (LRCN - Series 1)^(9)(10)

October 15, 2025

⁽⁵⁾

1,000.00

Series 44

⁽⁹⁾

4.30

%⁽¹¹⁾

3.943

Series 2 (LRCN - Series 2)^(9)(10)

July 15, 2026

⁽⁵⁾

1,000.00

Series 45

⁽⁹⁾

4.05

%⁽¹¹⁾

3.045

Series 3 (LRCN - Series 3)^(9)(10)

October 16, 2027

⁽⁵⁾

1,000.00

Series 46

⁽⁹⁾

7.50

%⁽¹¹⁾

4.281

First preferred shares

authorized but not issued

Series 31⁽⁴⁾

May 15, 2024

⁽⁵⁾

25.00

⁽¹²⁾

n.a.

Floating rate

⁽¹³⁾

2.40

Series 33⁽⁴⁾

February 15, 2025

⁽⁵⁾

25.00

⁽¹²⁾

n.a.

Floating rate

⁽¹³⁾

2.25

Series 39⁽⁴⁾

November 15, 2022

⁽⁵⁾

25.50

⁽¹⁴⁾

n.a.

Floating rate

⁽¹³⁾

3.43

Series 41⁽⁴⁾

May 15, 2023

⁽⁵⁾

25.50

⁽¹⁴⁾

n.a.

Floating rate

⁽¹³⁾

2.58

Series 43⁽⁴⁾

November 15, 2023

⁽⁵⁾

25.50

⁽¹⁴⁾

n.a.

Floating rate

⁽¹³⁾

2.77

n.a. Not applicable

(1) Redeemable in cash at the Bank's option, in whole or in part, subject to the provisions of the Bank Act (Canada) and to OSFI approval. For the preferred shares, the redemption prices are increased by all the declared and unpaid dividends on the preferred shares to the date fixed for redemption. In the case of LRCN, the redemption prices are increased by interest accrued and unpaid up to the redemption date.

(2) Convertible at the option of the holders of first preferred shares issued and outstanding, subject to certain conditions.

(3) The dividends are non-cumulative and payable quarterly, whereas interest on the LRCN is payable semi-annually.

(4) Upon the occurrence of a trigger event, as defined by OSFI, each outstanding preferred share will be automatically and immediately converted, on a full and permanent basis, without the consent of the holder, into a number of Bank common shares determined pursuant to an automatic conversion formula. This conversion will be calculated by dividing the value of the preferred shares, i.e., $25.00 per share, plus all declared and unpaid dividends as at the date of the trigger event, by the value of the common shares. The value of the common shares will be the greater of a $5.00 floor price or the current market price of the common shares. Current market price means the volume weighted average trading price of common shares for the ten consecutive trading days ending on the trading day preceding the date of the trigger event. If the common shares are not listed on an exchange when this price is being established, the price will be the fair value reasonably determined by the Bank's Board.

(5) For the preferred shares, redeemable at the date fixed for redemption and on the same date every five years thereafter. In the case of LRCN, the redemption occurs automatically upon the redemption of the preferred shares issued by the Bank in conjunction with the LRCN and held in a limited recourse trust. The preferred shares issued and held in a limited recourse trust are redeemable for a period of one month from the date fixed for redemption and on the same dates every five years thereafter.

(6) Convertible on the date fixed for conversion and on the same date every five years thereafter, subject to certain conditions.

(7) The dividend amount is set for the five-year period commencing on May 16, 2019 for Series 30 and on February 16, 2020 for Series 32 and ending on the redemption date. Thereafter, these shares carry a non-cumulative quarterly fixed dividend in an amount per share determined by multiplying the rate of interest equal to the sum of the five-year Government of Canada bond yield on the applicable fixed-rate calculation date by $25.00, plus the reset premium.

(8) The dividend amount is set for the initial period ending on the date fixed for redemption. Thereafter, these shares carry a non-cumulative quarterly fixed dividend in an amount per share determined by multiplying the rate of interest equal to the sum of the five-year Government of Canada bond yield on the applicable fixed-rate calculation date by $25.00, plus the reset premium.

Note 18 - Share Capital and Other Equity Instruments (cont.)

(9) The LRCN - Series 1, LRCN - Series 2 and LRCN - Series 3 are notes for which recourse is limited to the assets held by an independent trustee in a consolidated limited recourse trust. The trust assets consist of Series 44, Series 45 and Series 46 preferred shares issued by the Bank in conjunction with the LRCN - Series 1, LRCN - Series 2 and LRCN - Series 3. In the event of (i) non-payment of interest on any of the interest payment dates, (ii) non-payment of the redemption amount upon redemption of the LRCN, (iii) non-payment of the principal amount upon maturity of the LRCN, or (iv) an event of default in respect of the LRCN, the noteholders will have recourse only to the assets of the trust, and each noteholder will be entitled to its pro rata share of the assets of the trust. In such circumstances, delivery of the assets of the trust will eliminate all of the Bank's obligations with respect to the LRCN. The LRCN - Series 1, LRCN - Series 2 and LRCN - Series 3 are redeemable at maturity or earlier to the extent that the Bank redeems the Series 44, Series 45 and Series 46 preferred shares from the date fixed for redemption, and subject to OSFI's consent and approval.

(10) The Series 44, Series 45 and Series 46 preferred shares issued by the Bank in conjunction with the LRCN - Series 1, LRCN - Series 2 and LRCN - Series 3 are held by a consolidated limited recourse trust on the Bank's balance sheet and are therefore eliminated for financial reporting purposes. Upon the occurrence of a trigger event, as defined by OSFI; (i) each LRCN will be automatically redeemed and the redemption price will be covered by delivery of the trust's assets that consist of Series 44, Series 45 and Series 46 preferred shares; (ii) each outstanding preferred share will be automatically and immediately converted on a full and permanent basis, without the consent of the holder, into a number of Bank common shares determined pursuant to an automatic conversion formula. This conversion will be calculated by dividing the value of the preferred shares, i.e., $1,000 per share, plus all accrued and unpaid interest as at the date of the trigger event, by the value of the common shares. The value of the common shares will be the greater of a $5.00 floor price or the current market price of the common shares. Current market price means the volume weighted average trading price of common shares for the ten consecutive trading days ending on the trading day preceding the date of the trigger event. If the common shares are not listed on an exchange when this price is being established, the price will be the fair value reasonably determined by the Bank's Board.

(11) The interest rate is set for the initial period ending on the date fixed for redemption. Every five years thereafter until November 15, 2075 for the LRCN - Series 1, until August 15, 2076 for the LRCN - Series 2 and until November 16, 2077 for the LRCN - Series 3, the interest rate on the notes will be adjusted and will be an annual interest rate equal to the five-year Government of Canada bond yield on the applicable interest rate calculation date, plus the interest rate reset premium.

(12) As of the date fixed for redemption, and every five years thereafter, the redemption price will be $25.00 per share.

(13) The dividend period begins as of the date fixed for redemption. The amount of the floating quarterly non-cumulative dividend is determined by multiplying by $25.00 the rate of interest equal to the sum of the 90-day Government of Canada treasury bill yield on the floating rate calculation date, plus the reset premium.

(14) As of the date fixed for redemption, the redemption price will be $25.50 per share. Thereafter, on the same date every five years, the redemption price will be $25.00 per share.

Second Preferred Shares

15 million shares without par value, issuable for a maximum aggregate consideration of $300 million. As at October 31, 2022, no shares had been issued or traded.

Shares and Other Equity Instruments Outstanding

As at October 31		2022		2021
		Number of shares or LRCN	Shares or LRCN $	Number of shares or LRCN	Shares or LRCN $
		Number of shares or LRCN	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	-	-
		1,500,000	1,500	1,000,000	1,000
Preferred shares and other equity instruments		67,500,000	3,150	67,000,000	2,650

Common shares at beginning of year		337,912,283	3,160	335,997,660	3,057
Issued pursuant to the Stock Option Plan		1,193,663	61	1,930,033	104
Repurchase of common shares for cancellation		(2,500,000)	(24)	-	-
Impact of shares purchased or sold for trading⁽¹⁾		(18,295)	(1)	(14,432)	(1)
Other		(5,527)	-	(978)	-
Common shares at end of year		336,582,124	3,196	337,912,283	3,160

(1) As at October 31, 2022, a total of 5,250 shares were sold short for trading, representing a negligible amount (as at October 31, 2021, a total of 13,045 shares were sold short for trading, representing $1 million).

Dividends Declared and Distributions on Other Equity Instruments

Year ended October 31		2022		2021
		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	14	1.0063	14	1.0063
	Series 32	12	0.9598	12	0.9598
	Series 34	-	-	11	0.7000
	Series 36	-	-	16	1.0125
	Series 38	18	1.1125	18	1.1125
	Series 40	14	1.1500	14	1.1500
	Series 42	14	1.2375	14	1.2375
		72		99
Other equity instruments
	LRCN - Series 1⁽¹⁾	21		21
	LRCN - Series 2⁽²⁾	20		11
	LRCN - Series 3⁽³⁾	6		-
		47		32
Preferred shares and other equity instruments		119		131
Common shares		1,206	3.5800	958	2.8400
		1,325		1,089

(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.

Issuances of Other Equity Instruments

On September 8, 2022, the Bank issued $500 million of LRCN - Series 3 for which recourse of the noteholders is limited to the assets held by an independent trustee in a consolidated limited recourse trust. The trust's assets consist of $500 million of Series 46 first preferred shares issued by the Bank in conjunction with the LRCN - Series 3. The LRCN - Series 3 sell for $1,000 each and bear interest at a fixed rate of 7.50% per annum until November 16, 2027 exclusively and, thereafter, at an annual rate equal to the five-year Government of Canada bond yield plus 4.281% until November 16, 2077. The LRCN - Series 3 mature on November 16, 2082.

On April 21, 2021, the Bank had issued $500 million of LRCN - Series 2 for which recourse of the noteholders is limited to the assets held by an independent trustee in a consolidated limited recourse trust. The trust's assets consist of $500 million of Series 45 first preferred shares issued by the Bank in conjunction with the LRCN - Series 2. The LRCN - Series 2 sell for $1,000 each and bear interest at a fixed rate of 4.05% per annum until August 15, 2026 exclusively and, thereafter, at an annual rate equal to the five-year Government of Canada bond yield plus 3.045% until August 15, 2076. The LRCN - Series 2 mature on August 15, 2081.

In the event of (i) non-payment of interest on any of the interest payment dates, (ii) non-payment of the redemption amount upon redemption of the LRCN, (iii) non-payment of the principal amount upon maturity of the LRCN, or (iv) an event of default in respect of the notes, the noteholders will have recourse only to the assets of the trust, and each noteholder will be entitled to its pro rata share of the assets of the trust. In such circumstances, delivery of the trust's assets will eliminate all of the Bank's obligations with respect to the LRCN. The LRCN - Series 2 and LRCN - Series 3 are redeemable at maturity or earlier to the extent that the Bank redeems the Series 45 and Series 46 preferred shares on certain redemption dates specified in the terms and conditions of said preferred shares, and subject to OSFI's consent and approval.

Given that the LRCN - Series 2 and LRCN - Series 3 satisfy the non-viability contingent capital requirements, they qualify for the purposes of calculating regulatory capital under Basel III.

Redemptions of Preferred Shares

On August 16, 2021, i.e., the first business day after the August 15, 2021 redemption date, the Bank redeemed all the issued and outstanding Non-Cumulative 5-Year Rate-Reset Series 36 First Preferred Shares. Pursuant to the share conditions, the redemption price was $25.00 per share plus the periodic dividend declared and unpaid. The Bank redeemed 16,000,000 Series 36 preferred shares for a total amount of $400 million, which reduced Preferred share capital.

On May 17, 2021, i.e., the first business day after the May 15, 2021 redemption date, the Bank redeemed all the issued and outstanding Non-Cumulative 5-Year Rate-Reset Series 34 First Preferred Shares. Pursuant to the share conditions, the redemption price was $25.00 per share plus the periodic dividend declared and unpaid. The Bank redeemed 16,000,000 Series 34 preferred shares for a total amount of $400 million, which reduced Preferred share capital.

Note 18 - Share Capital and Other Equity Instruments (cont.)

Repurchases of Common Shares

On December 10, 2021, the Bank began a normal course issuer bid to repurchase for cancellation up to 7,000,000 common shares (representing approximately 2% of its outstanding common shares) over the 12-month period ending no later than December 9, 2022. Any repurchase through the Toronto Stock Exchange will be done at market price. 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 year ended October 31, 2022, the Bank repurchased 2,500,000 common shares for $245 million, which reduced Common share capital by $24 million and Retained earnings by $221 million.

Reserved Common Shares

As at October 31, 2022 and 2021, there were 15,507,568 common shares reserved under the Dividend Reinvestment and Share Purchase Plan. As at October 31, 2022, there were 21,742,009 common shares (22,935,672 as at October 31, 2021) reserved under the Stock Option Plan.

Restriction on the Payment of Dividends

The Bank is prohibited from declaring dividends on its common or preferred shares if there are reasonable grounds for believing that the Bank would, by so doing, be in contravention of the regulations of the Bank Act (Canada) or OSFI's capital adequacy and liquidity guidelines. In addition, the ability to pay common share dividends is restricted by the terms of the outstanding preferred shares pursuant to which the Bank may not pay dividends on its common shares without the approval of the holders of the outstanding preferred shares, unless all preferred share dividends have been declared and paid or set aside for payment.

Dividend Reinvestment and Share Purchase Plan

The 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. Common shares subscribed by participants are purchased on their behalf in the secondary market through the Bank's transfer agent, Computershare Trust Company of Canada, at a price equal to the average purchase price of the common shares during the three business days immediately following the dividend payment date.

Note 19 - Non-Controlling Interests

(1) As at October 31, 2022, the non-controlling interest in Flinks stood at 14.1% (14.1% as at October 31, 2021). For additional information, see Note 31 to these consolidated financial statements.

Note 20 - Capital Disclosure

Capital Management Objectives, Policies and Procedures

Capital management has a dual role of ensuring a competitive return to the Bank's shareholders while maintaining a solid capital foundation that covers the risks inherent to the Bank's business, supports its business segments, and protects its clients.

The Bank's capital management policy defines the guiding principles as well as the roles and responsibilities regarding its internal capital adequacy assessment process. This process is a key tool in establishing the Bank's capital strategy and is subject to quarterly reviews and periodic amendments.

Capital Management

Capital ratios are obtained by dividing capital (as defined by OSFI's Capital Adequacy Requirements Guideline) by risk-weighted assets and are expressed as percentages. Risk-weighted assets are calculated in accordance with the rules established by OSFI for on- and off-balance-sheet risks. Credit, market, and operational risks are factored into the risk-weighted assets calculation for regulatory purposes. The definition adopted by the Basel Committee on Banking Supervision (BCBS) distinguishes between three types of capital. Common Equity Tier 1 (CET1) capital consists of common shareholders' equity less goodwill, intangible assets, and other CET1 capital deductions. Additional Tier 1 (AT1) capital consists of eligible non-cumulative preferred shares, limited recourse capital notes, and other AT1 capital adjustments. The sum of CET1 and AT1 capital forms what is known as Tier 1 capital. Tier 2 capital consists of the eligible portion of subordinated debt and certain allowances for credit losses. Total regulatory capital is the sum of Tier 1 and Tier 2 capital.

The Bank and all other major Canadian banks have to maintain the following minimum capital ratios established by OSFI: a CET1 capital ratio of at least 10.5%, a Tier 1 capital ratio of at least 12.0%, and a Total capital ratio of at least 14.0%. All of these ratios include a capital conservation buffer of 2.5% established by the BCBS and OSFI as well as a 1.0% surcharge applicable solely to Domestic Systemically Important Banks (D-SIBs) and a 2.5% domestic stability buffer. The domestic stability buffer, which can vary from 0% to 2.5% of risk-weighted assets, consists exclusively of CET1 capital. A D-SIB that fails to meet this buffer requirement will not be subject to automatic constraints to reduce capital distributions but will have to provide a remediation plan to OSFI. On June 22, 2022, OSFI confirmed that the domestic stability buffer was being maintained at 2.5%. Banks also have to meet the capital floor that sets the regulatory capital level according to the Basel II Standardized Approach. If the capital requirement under Basel III is less than 70% of the capital requirements as calculated under Basel II, the difference is added to risk-weighted assets. Lastly, OSFI requires Canadian banks to meet a Basel III leverage ratio of at least 3.0%. The leverage ratio is a measure independent of risk that is calculated by dividing the amount of Tier 1 capital by total exposure. Total exposure is defined as the sum of on-balance-sheet assets (including derivative exposures and securities financing transaction exposures) and off-balance-sheet items. The assets deducted from Tier 1 capital are also deducted from total exposure.

Since November 1, 2021, OSFI has also been requiring D-SIBs to maintain a risk-based total loss-absorbing capacity (TLAC) ratio of at least 24.0% (including the domestic stability buffer) of risk-weighted assets and a TLAC leverage ratio of at least 6.75%. The purpose of TLAC is to ensure that a D-SIB has sufficient loss-absorbing capacity to support its recapitalization in the unlikely event it becomes non-viable.

During the years ended October 31, 2022 and 2021, the Bank was in compliance with all of OSFI's regulatory capital, leverage, and TLAC requirements.

Note 20 - Capital Disclosure (cont.)

Regulatory Capital⁽¹⁾, Leverage Ratio⁽¹⁾ and TLAC⁽²⁾

As at October 31				2022				2021
		Adjusted⁽³⁾				Adjusted⁽³⁾

Capital
	CET1	14,763		14,818		12,866		12,973
	Tier 1	17,906		17,961		15,515		15,622
	Total	19,727		19,727		16,643		16,643

Risk-weighted assets		116,840		116,840		104,358		104,358
Total exposure		401,780		401,780		351,160		351,160

Capital ratios
	CET1	12.6	%	12.7	%	12.3	%	12.4	%
	Tier 1	15.3	%	15.4	%	14.9	%	15.0	%
	Total	16.9	%	16.9	%	15.9	%	15.9	%

Leverage ratio		4.5	%	4.5	%	4.4	%	4.4	%
Available TLAC⁽²⁾		32,351		32,351		27,492		27,492
TLAC ratio⁽²⁾		27.7	%	27.7	%	26.3	%	26.3	%
TLAC leverage ratio⁽²⁾		8.1	%	8.1	%	7.8	%	7.8	%

(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.

(3) Adjusted amounts are calculated in accordance with the Basel III rules, as set out in OSFI's Capital Adequacy Requirements Guideline, and exclude the transitional measure for provisioning expected credit losses. For additional information, see the section entitled COVID-19 Relief Measures Still in Effect as at October 31, 2022 on page 58 of the MD&A.

Note 21 - Trading Activity Revenues

Trading activity revenues consist of the net interest income and the non-interest income related to trading activities.

Net interest income comprises dividends related to financial assets and liabilities associated with trading activities, net of interest expenses and interest income related to the financing of these financial assets and liabilities.

Non-interest income consists of realized and unrealized gains and losses as well as interest income on securities measured at fair value through profit or loss, income from held-for-trading derivative financial instruments, changes in the fair value of loans at fair value through profit or loss, changes in the fair value of financial instruments designated at fair value through profit or loss, certain commission income as well as other income related to trading activities, and any applicable transaction costs.

Year ended October 31	2022	2021

Net interest income	682	777
Non-interest income
Trading revenues (losses)	543	268
Other revenues	5	14
	548	282
	1,230	1,059

Note 22 - Share-Based Payments

The compensation expense information provided below excludes the impact of hedging.

Stock Option Plan

The Bank's Stock Option Plan is for officers and other designated persons of the Bank and its subsidiaries. Under this plan, options are awarded annually and provide participants with the right to purchase common shares at an exercise price equal to the closing price of the Bank's common share on the Toronto Stock Exchange on the day preceding the award. The options vest evenly over a four-year period and expire ten years from the award date or, in certain circumstances set out in the plan, within specified time limits. The Stock Option Plan contains provisions for retiring employees that allow the participant's rights to continue vesting in accordance with the stated terms of the award agreement. The maximum number of common shares that may be issued under the Stock Option Plan was 21,742,009 as at October 31, 2022 (22,935,672 as at October 31, 2021). The number of common shares reserved for a participant may not exceed 5% of the total number of Bank shares issued and outstanding.

As at October 31	2022			2021
	Number of options	Weighted average exercise price		Number of options	Weighted average exercise price

Stock Option Plan
Outstanding at beginning	11,348,680	$	57.93	11,425,403	$	53.96
Awarded	1,771,588	$	96.35	2,043,196	$	71.55
Exercised	(1,193,663)	$	45.73	(1,930,033)	$	47.96
Cancelled⁽¹⁾	(64,856)	$	76.10	(189,886)	$	67.02
Outstanding at end	11,861,749	$	64.80	11,348,680	$	57.93
Exercisable at end	7,344,536	$	55.50	6,737,850	$	50.81

(1) Includes 27,714 expired options during the year ended October 31, 2022 (35,342 expired options during the year ended October 31, 2021).

Exercise price	Options outstanding	Options exercisable	Expiry date

$38.36	470,324	470,324	December 2022
$44.96	697,207	697,207	December 2023
$47.93	963,282	963,282	December 2024
$42.17	790,312	790,312	December 2025
$54.69	868,437	868,437	December 2026
$64.14	1,240,493	1,240,493	December 2027
$58.79	1,577,166	1,108,204	December 2028
$71.86	1,566,934	746,474	December 2029
$71.55	1,933,226	459,803	December 2030
$96.35	1,754,368	-	December 2031
	11,861,749	7,344,536

During the year ended October 31, 2022, the Bank awarded 1,771,588 stock options (2,043,196 stock options during the year ended October 31, 2021) with an average fair value of $13.24 per option ($8.24 for the year ended October 31, 2021).

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

Year ended October 31	2022	2021

Risk-free interest rate	1.79%	1.02%
Expected life of options	7 years	7 years
Expected volatility	22.68%	22.59%
Expected dividend yield	3.88%	4.24%

Note 22 - Share-Based Payments (cont.)

The expected life of the options is based on historical data and is not necessarily representative of how the options will be exercised in the future. Expected volatility is extrapolated from the implied volatility of the Bank's share price and observable market inputs, which are not necessarily representative of actual results. The expected dividend yield represents the annualized dividend divided by the Bank's share price at the award date. The risk-free interest rate is based on the Canadian dollar swap curve at the award date. The exercise price is equal to the Bank's share price at the award date. No other market parameter has been included in the fair value measurement of the options.

For the year ended October 31, 2022, a $17 million compensation expense related to this plan was recognized in the Consolidated Statement of Income ($11 million for the year ended October 31, 2021).

Stock Appreciation Rights (SAR) Plan

The SAR Plan is for officers and other designated persons of the Bank and its subsidiaries. Under this plan, participants receive, upon exercising the right, a cash amount equal to the difference between the closing price of the Bank's common share on the Toronto Stock Exchange on the day preceding the exercise date and the closing price on the day preceding the award date. SARs vest evenly over a four-year period and expire ten years after the award date or, in certain circumstances set out in the plan, within specified time limits. The SAR Plan contains provisions for retiring employees that allow the participant's rights to continue vesting in accordance with the stated terms of the award agreement. For the year ended October 31, 2022, a compensation expense in a negligible amount related to this plan was recognized in the Consolidated Statement of Income ($7 million for the year ended October 31, 2021).

As at October 31	2022			2021
	Number of SARs	Weighted average exercise price		Number of SARs	Weighted average exercise price

SAR Plan⁽¹⁾
Outstanding at beginning	266,075	$	57.61	292,896	$	53.66
Awarded	21,464	$	96.35	30,504	$	71.55
Exercised	(79,698)	$	59.89	(57,325)	$	44.88
Outstanding at end	207,841	$	60.73	266,075	$	57.61
Exercisable at end	130,319	$	51.31	164,225	$	51.43

(1) No SARs cancelled or expired during the years ended October 31, 2022 and 2021.

Exercise price	SARs outstanding	SARs exercisable	Expiry date

$38.36	7,904	7,904	December 2022
$44.96	21,136	21,136	December 2023
$47.93	28,824	28,824	December 2024
$42.17	19,748	19,748	December 2025
$54.69	16,320	16,320	December 2026
$64.14	16,236	16,236	December 2027
$58.79	24,195	12,453	December 2028
$71.86	29,136	7,698	December 2029
$71.55	22,878	-	December 2030
$96.35	21,464	-	December 2031
	207,841	130,319

Deferred Stock Unit (DSU) Plans

The DSU Plans are for officers and other designated persons of the Bank and its subsidiaries as well as for directors. These plans allow the Bank to tie a portion of the value of the compensation of participants to the future value of the Bank's common shares. A DSU is a right that has a value equal to the closing price of a common share of the Bank on the Toronto Stock Exchange on the day preceding the award. DSUs generally vest evenly over four years. Additional DSUs are credited to the accounts of participants in an amount equal to the dividends declared on Bank common shares and vest evenly over the same period as the reference DSUs. DSUs may be cashed only when participants retire or leave the Bank or, for directors, when their term ends. The DSU Plans contain provisions for retiring employees whereby participants may continue vesting units in accordance with the stated terms of the award agreement.

During the year ended October 31, 2022, the Bank awarded 39,227 DSUs at a weighted average price of $97.10 (55,545 DSUs at a weighted average price of $75.55 for the year ended October 31, 2021). A total of 551,539 DSUs were outstanding as at October 31, 2022 (514,841 DSUs as at October 31, 2021). For the year ended October 31, 2022, a $1 million compensation expense related to these plans was recognized in the Consolidated Statement of Income ($23 million for the year ended October 31, 2021).

Restricted Stock Unit (RSU) Plan

The RSU Plan is for certain officers and other designated persons of the Bank and its subsidiaries. The objective of this plan is to ensure that the compensation of certain officers and other designated persons is competitive and to foster retention. An RSU represents a right that has a value equal to the average closing price of the Bank's common share, as published by the Toronto Stock Exchange, over the ten trading days preceding the sixth business day in December. RSUs generally vest evenly over three years, although some RSUs vest on the sixth business day of December of the third year following the award date, i.e., the date on which all RSUs expire. Additional RSUs are credited to the accounts of participants in an amount equal to the dividends declared on the Bank's common shares and vest over the same period as the reference RSUs. The RSU Plan contains provisions for retiring employees whereby participants may continue vesting units in accordance with the stated terms of the award agreement.

During the year ended October 31, 2022, the Bank awarded 1,895,489 RSUs at a weighted average price of $99.59 (1,960,326 RSUs at a weighted average price of $72.76 for the year ended October 31, 2021). As at October 31, 2022, a total of 4,203,383 RSUs were outstanding (4,398,019 RSUs as at October 31, 2021). For the year ended October 31, 2022, a $172 million compensation expense related to this plan was recognized in the Consolidated Statement of Income ($256 million for the year ended October 31, 2021).

Performance Stock Unit (PSU) Plan

The PSU Plan is for officers and other designated persons of the Bank. The objective of this plan is to tie a portion of the value of the compensation of these officers and other designated persons to the future value of the Bank's common shares. A PSU represents a right that has a value equal to the average closing price of the Bank's common share, as published by the Toronto Stock Exchange, over the ten trading days preceding the sixth business day in December, adjusted upward or downward according to performance criteria, which is based on the Bank's total shareholder return (TSR) growth index over three years compared to the average TSR growth index of the comparator group composed of Canadian banks over three years. PSUs vest on the sixth business day of December of the third year following the award date, i.e., the date on which all PSUs expire. Additional PSUs are credited to the accounts of participants in an amount equal to the dividends declared on the Bank's common shares and vest over the same period as the reference PSUs. The PSU Plan contains provisions for retiring employees whereby participants may continue vesting units in accordance with the stated terms of the award agreement.

During the year ended October 31, 2022, the Bank awarded 238,082 PSUs at a weighted average price of $99.59 (235,949 PSUs at a weighted average price of $72.76 for the year ended October 31, 2021). As at October 31, 2022, a total of 739,359 PSUs were outstanding (794,440 PSUs as at October 31, 2021). For the year ended October 31, 2022, a $30 million compensation expense related to this plan was recognized in the Consolidated Statement of Income ($42 million for the year ended October 31, 2021).

Deferred Compensation Plan

This plan is exclusively for key employees of the Wealth Management segment. The purpose of this plan is to foster the retention of key employees and promote revenue growth and continuous profitability improvement within the Wealth Management segment. Under this plan, participants can defer a portion of their annual compensation, and the Bank may pay a contribution to key employees when certain financial objectives are met. Amounts awarded by the Bank and the compensation deferred by participants are invested in, among other items, Bank common share units. These share units represent a right that has a value equal to the closing price of the Bank's common share on the Toronto Stock Exchange on the award date. Additional units are credited to the accounts of participants in an amount equal to the dividends declared on the Bank's common shares. Share units representing the amounts awarded by the Bank vest evenly over four years. When a participant retires, or in certain cases when the participant's employment ceases, the participant receives a cash amount representing the value of the vested share units.

During the year ended October 31, 2022, the Bank awarded 129,464 share units at a weighted average price of $94.87 (124,981 share units at a weighted average price of $80.23 for the year ended October 31, 2021). As at October 31, 2022, a total of 2,036,524 share units were outstanding (2,038,003 share units as at October 31, 2021). For the year ended October 31, 2022, a $19 million reversal of the compensation expense related to this plan was recognized in the Consolidated Statement of Income (compensation expense of $83 million for the year ended October 31, 2021).

Employee Share Ownership Plan

Under the Bank's Employee Share Ownership Plan, employees who meet the eligibility criteria can contribute up to 8% of their annual gross salary by way of payroll deductions. The Bank matches 25% of the employee contribution up to a maximum of $1,500 per annum. Bank contributions vest to the employee after one year of uninterrupted participation in the plan. Subsequent contributions vest immediately. The Bank's contributions, amounting to $15 million for the year ended October 31, 2022 ($14 million for the year ended October 31, 2021), were recognized when paid in the Compensation and employee benefits item of the Consolidated Statement of Income. As at October 31, 2022, a total of 6,304,689 common shares were held for this plan (6,149,769 common shares as at October 31, 2021).

Plan shares are purchased on the open market and are considered to be outstanding for earnings per share calculations. Dividends paid on the Bank's common shares held for the Employee Share Ownership Plan are used to purchase other common shares on the open market.

Plan Liabilities and Intrinsic Value

Total liabilities arising from the Bank's share-based compensation plans amounted to $716 million as at October 31, 2022 ($816 million as at October 31, 2021). The intrinsic value of these liabilities that had vested as at October 31, 2022 was $359 million ($364 million as at October 31, 2021).

Note 23 - 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 employees. The defined benefit component of the pension plans provides benefits based on years of plan participation and average earnings at retirement. The other post-employment benefits include post-employment medical, dental, and life insurance coverage. Since September 19, 2022, the Bank has been offering a new defined contribution component that is available to all new employees upon hiring as well as to current participants of the defined benefit component. Therefore, as of that date, the defined benefit component is no longer offered to new employees. For the defined contribution component, the Bank's base contribution equals a percentage of annual salary and the Bank's additional contribution varies according to the employee's contributions, and the sum of the employee's age and years of continuous service. The defined benefit component of the pension plans is funded, whereas the defined contribution component and the other post-employment benefit plans are not funded. The fair value of the defined benefit component and the present value of the defined benefit obligations were measured as at October 31.

The Bank's most significant pension plan is the Employee Pension Plan of the National Bank of Canada; it is registered with OSFI and the Canada Revenue Agency and subject to the Pension Benefits Standards Act, 1985 and the Income Tax Act.

The defined benefit component of the pension plans and the other post-employment benefit plans exposes the Bank to specific risks such as investment performance, changes to the discount rate used to calculate the obligation, the longevity of plan participants, and future inflation. While management believes that the assumptions used in the actuarial valuation process are reasonable, there remains a degree of risk and uncertainty that may cause future results to differ significantly from these assumptions, which could give rise to gains or losses.

According to the Bank's governance rules, the policies and risk management related to the defined benefit component of the pension plans are overseen at different levels by the pension committees, the Bank's management, and the Board's Human Resources Committee. The defined benefit component of the pension plans are examined on an ongoing basis in order to monitor the funding and investment policies, the financial status of the plans, and the Bank's funding requirements.

The Bank's funding policy for the defined benefit component of the pension plans is to make at least the minimum annual contributions required by pension regulators.

For funded plans, the Bank determines whether an economic benefit exists in the form of potential reductions in future contributions and in the form of refunds from the plan surplus, where permitted by applicable regulations and plan provisions.

Defined Benefit Obligation, Assets of the Plans, and Funded Status

As at October 31
			Pension plans - Defined benefit component		Other post-employment benefit plans
			2022	2021	2022	2021

Defined benefit obligation
Balance at beginning			4,745	5,027	143	156
	Current service cost		129	146	1	1
	Interest cost		171	149	5	4
	Remeasurements
		Actuarial (gains) losses arising from changes in demographic assumptions	55	9	1	1
		Actuarial (gains) losses arising from changes in financial assumptions	(1,063)	(538)	(24)	(14)
		Actuarial (gains) losses arising from experience adjustments	95	107	(6)	4
	Employee contributions		65	58
	Benefits paid		(226)	(213)	(9)	(9)
Balance at end			3,971	4,745	111	143

Plan assets
Fair value at beginning			5,436	5,153
	Interest income		191	148
	Administration cost		(3)	(4)
	Remeasurements
		Return on plan assets (excluding interest income)	(1,113)	214
	Bank contributions⁽¹⁾		119	80
	Employee contributions		65	58
	Benefits paid		(226)	(213)
Fair value at end			4,469	5,436
Defined benefit asset (liability) at end			498	691	(111)	(143)

(1) For fiscal 2023, the Bank expects to pay an employer contribution of $123 million to the defined benefit component of the pension plans.

Defined Benefit Asset (Liability)

As at October 31
	Pension plans - Defined benefit component		Other post-employment benefit plans
	2022	2021	2022	2021

Defined benefit asset included in Other assets	498	691
Defined benefit liability included in Other liabilities	-	-	(111)	(143)
	498	691	(111)	(143)

Cost for Pension Plans and Other Post-Employment Benefit Plans

Year ended October 31
		Pension plans		Other post-employment benefit plans
		2022	2021	2022	2021

Current service cost⁽¹⁾		129	146	1	1
Interest expense (income), net		(20)	1	5	4
Administration costs		3	4
Expense recognized in Net income		112	151	6	5
Remeasurements⁽²⁾
	Actuarial (gains) losses on the defined benefit obligation	(913)	(422)	(29)	(9)
	Return on plan assets⁽³⁾	1,113	(214)
Remeasurements recognized in Other comprehensive income		200	(636)	(29)	(9)
		312	(485)	(23)	(4)

(1) For the year ended October 31, 2022, the amount of the contributions made by the Bank to the defined contribution component of the pension plans was not significant.

(2) 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.

(3) Excludes interest income.

Allocation of the Fair Value of the Assets of the Defined

Benefit Component of the Pensions Plans

As at October 31			2022			2021
			Quoted in an active market⁽¹⁾	Not quoted in an active market	Total	Quoted in an active market⁽¹⁾	Not quoted in an active market	Total

Asset classes
	Cash and cash equivalents		-	273	273	-	171	171
	Equity securities		988	1,150	2,138	1,290	935	2,225
	Debt securities
		Canadian government	114	-	114	175	-	175
		Canadian provincial and municipal governments	-	1,769	1,769	-	1,593	1,593
		Other issuers	-	264	264	-	1,248	1,248
	Other		-	(89)	(89)	-	24	24
			1,102	3,367	4,469	1,465	3,971	5,436

(1) Unadjusted quoted prices in active markets for identical assets that the Bank can access at the measurement date.

The Bank's investment strategy for plan assets considers several factors, including the time horizon of pension plan obligations and investment risk. For each plan, an allocation range per asset class is defined using a mix of equity and debt securities to optimize the risk-return profile of plan assets and minimize asset/liability mismatching.

The assets of the pension plans may include investment securities issued by the Bank. As at October 31, 2022 and 2021, the assets of the pension plans do not include any securities issued by the Bank.

For fiscal 2022, the Bank and its related entities received $21 million ($15 million in fiscal 2021) in fees from the pension plans for related management, administration and custodial services.

Note 23 - Employee Benefits - Pension Plans and Other Post-Employment Benefit Plans (cont.)

Allocation of the Defined Benefit Obligation by the Status of the Participants in the Defined Benefit Component of the Pension Plans

As at October 31
		Pension plans - Defined benefit component				Other post-employment benefit plans
		2022		2021		2022		2021

Active employees		41	%	42	%	7	%	13	%
Retirees		53	%	51	%	93	%	87	%
Participants with deferred vested benefits		6	%	7	%
		100	%	100	%	100	%	100	%
Weighted average duration of the
	defined benefit obligation (in years)	14		16		10		12

Significant Actuarial Assumptions (Weighted Average)

Discount Rate

The discount rate assumption is based on an interest rate curve that represents the yields on corporate AA bonds. Short-term maturities are obtained using a curve based on observed data from corporate AA bonds. Long-term maturities are obtained using a curve based on actual data and extrapolated data.

To measure the obligation related to the defined benefit component of the pension plans and related to the other post-employment benefit plans, the vested benefits that the Bank expects to pay in each future period are discounted to the measurement date using the spot rate associated with each of the respective periods based on the yield curve derived using the above methodology. The sum of discounted benefit amounts represents the defined benefit obligation. An average discount rate that replicates this obligation is then computed.

To better reflect current service cost, a separate discount rate was determined to account for the timing of future benefit payments associated with the additional year of service to be earned by the plan's active participants. Since these benefits are, on average, being paid at a later date than the benefits already earned by participants as a whole (i.e., longer duration), this method results in the use of a generally higher discount rate for calculating current service cost than that used to measure obligations where the yield curve is positively sloped. The methodology used to determine this discount rate is the same as the one used to establish the discount rate for measuring the obligation.

Other Assumptions

For measurement purposes, the estimated annual growth rate for health care costs was 4.77% as at October 31, 2022 (4.52% as at October 31, 2021). Based on the assumption retained, this rate is expected to increase to 5.42% in 2025, then remain at 5.30% from 2026 to 2030, then decrease gradually to 4.05% in 2040 and remain steady thereafter.

Mortality assumptions are a determining factor when measuring the defined benefit obligation. Determining the expected benefit payout period is based on best estimate assumptions regarding mortality. Mortality tables are reviewed at least once a year, and the assumptions made are in accordance with accepted actuarial practice. New results regarding the plans are reviewed and used in calculating best estimates of future mortality.

As at October 31
				Pension plans - Defined benefit component				Other post-employment benefit plans
				2022		2021		2022		2021

Defined benefit obligation
	Discount rate			5.45	%	3.55	%	5.45	%	3.55	%
	Rate of compensation increase			3.00	%	3.00	%	3.00	%	3.00	%
	Health care cost trend rate							4.77	%	4.52	%
	Life expectancy (in years) at 65 for a participant currently at
		Age 65
			Men	22.4		21.4		22.4		21.4
			Women	24.7		23.7		24.7		23.7
		Age 45
			Men	23.4		22.4		23.4		22.4
			Women	25.6		24.7		25.6		24.7


Year ended October 31
				Pension plans - Defined benefit component				Other post-employment benefit plans
				2022		2021		2022		2021

Pension plan expense
	Discount rate - Current service			3.70	%	3.10	%	3.70	%	3.10	%
	Discount rate - Interest expense (income), net			3.55	%	2.90	%	3.55	%	2.90	%
	Rate of compensation increase			3.00	%	3.00	%	3.00	%	3.00	%
	Health care cost trend rate							4.52	%	4.64	%
	Life expectancy (in years) at 65 for a participant currently at
		Age 65
			Men	21.4		21.3		21.4		21.3
			Women	23.7		23.7		23.7		23.7
		Age 45
			Men	22.4		22.4		22.4		22.4
			Women	24.7		24.6		24.7		24.6

Sensitivity of Significant Assumptions for 2022

The following table shows the potential impacts of changes to key assumptions on the defined benefit obligation of the pension plans and other post-employment benefit plans as at October 31, 2022. These impacts are hypothetical and should be interpreted with caution, as changes in each significant assumption may not be linear. The Bank has decided to adjust the table by varying the discount rate by 1.00% instead of the 0.25% used in the previous fiscal year to reflect the current economic environment.

As at October 31, 2022
	Pension plans - Defined benefit component	Other post-employment benefit plans
	Change in the obligation	Change in the obligation

Impact of a 1.00% increase in the discount rate	(401)	(11)
Impact of a 1.00% decrease in the discount rate	513	13
Impact of a 0.25% increase in the rate of compensation increase	23
Impact of a 0.25% decrease in the rate of compensation increase	(25)
Impact of a 1.00% increase in the health care cost trend rate		5
Impact of a 1.00% decrease in the health care cost trend rate		(4)
Impact of an increase in the age of participants by one year	(82)	(1)
Impact of a decrease in the age of participants by one year	76	1

Projected Benefit Payments

Year ended October 31
	Pension plans - Defined benefit component	Other post-employment benefit plans

2023	235	9
2024	244	8
2025	254	8
2026	264	8
2027	272	7
2028 to 2032	1,489	36

Note 24 - Income Taxes

The Bank's income tax expense reported in the consolidated financial statements is as follows.

Year ended October 31		2022	2021⁽¹⁾

Consolidated Statement of Income
Current taxes
	Current year	803	779
	Prior period adjustments	(19)	(3)
		784	776
Deferred taxes
	Origination and reversal of temporary differences	110	96
	Prior period adjustments	-	10
		110	106
		894	882
Consolidated Statement of Changes in Equity
	Share issuance expenses, other equity instruments and other	(14)	(10)
	Impact of an accounting policy change⁽²⁾		(49)
		(14)	(59)
Consolidated Statement of Comprehensive Income
	Remeasurements of pension plans and other post-employment benefit plans	(45)	170
	Net change in cash flow hedges	3	109
	Net fair value change attributable to credit risk on financial liabilities designated at fair value through profit or loss	216	(5)
	Other	(90)	50
		84	324
Income taxes		964	1,147

(2) As at October 31, 2021, a $49 million deferred tax liability arising from an accounting policy change was reversed to Retained earnings in the Consolidated Statement of Changes in Equity. For additional information, see Note 1 to these consolidated financial statements.

The breakdown of the income tax expense is as follows.

Year ended October 31	2022	2021⁽¹⁾

Current taxes	933	916
Deferred taxes	31	231
	964	1,147

The temporary differences and tax loss carryforwards resulting in deferred tax assets and liabilities are as follows.

		As at October 31		Year ended October 31		Year ended October 31
		Consolidated Balance Sheet		Consolidated Statement of Income		Consolidated Statement of Comprehensive Income
		2022	2021⁽¹⁾	2022	2021⁽¹⁾	2022	2021

Deferred tax assets
Allowances for credit losses		235	225	10	(101)	-	-
Deferred charges		317	354	(37)	89	-	-
Defined benefit liability - Other post-employment
	benefit plans	38	47	(1)	(3)	(8)	(2)
Investments in associates		23	57	(34)	(41)	-	-
Leases liabilities		118	132	(14)	(13)	-	-
Deferred revenue		62	51	11	4	-	-
Tax loss carryforwards		35	33	2	(7)	-	-
Other items⁽²⁾		32	29	1	(31)	-	-
		860	928	(62)	(103)	(8)	(2)
Deferred tax liabilities
Premises and equipment and intangible assets⁽³⁾		(312)	(299)	(13)	(16)	-	-
Defined benefit asset - Pension plans		(127)	(178)	(2)	16	53	(168)
Investments in associates		(2)	-	(2)	4	-	-
Other items⁽⁴⁾		(44)	(45)	(31)	(7)	32	(5)
		(485)	(522)	(48)	(3)	85	(173)
Net deferred tax assets (liabilities)		375	406	(110)	(106)	77	(175)

(2) As at October 31, 2022, the Consolidated Balance Sheet included a $2 million deferred tax asset related to share issuance costs ($1 million as at October 31, 2021) reported in Retained earnings on the Consolidated Statement of Changes in Equity.

(3) As at October 31, 2021, a $62 million deferred tax liability arising from an accounting policy change was reversed, of which $49 million was to Retained earnings in the Consolidated Statement of Changes in Equity and $13 million to Income taxes in the Consolidated Statement of Income. For additional information, see Note 1 to these consolidated financial statements.

(4) As at October 31, 2021, the Consolidated Balance Sheet included a $6 million deferred tax liability related to intangible assets acquired during the Flinks acquisition that had no impact on the Consolidated Statement of Comprehensive Income. For additional information, see Note 31 to these consolidated financial statements.

Net deferred tax assets are included in Other assets and net deferred tax liabilities are included in Other liabilities.

As at October 31	2022	2021⁽¹⁾

Deferred tax assets	389	416
Deferred tax liabilities	(14)	(10)
	375	406

Note 24 - Income Taxes (cont.)

According to forecasts, which are based on information available as at October 31, 2022, the Bank believes that the results of future operations will likely generate sufficient taxable income to utilize all the deferred tax assets before they expire.

As at October 31, 2022, the total amount of temporary differences, unused tax loss carryforwards, and unused tax credits for which no deferred tax asset has been recognized was $561 million ($424 million as at October 31, 2021).

As at October 31, 2022, the total amount of temporary differences related to investments in subsidiaries, associates, and joint ventures for which no deferred tax liability has been recognized was $5,636 million ($4,383 million as at October 31, 2021).

The following table provides a reconciliation of the Bank's income tax rate.

Year ended October 31		2022		2021⁽¹⁾
		$	%	$	%

Income before income taxes		4,277	100.0	4,022	100.0
Income taxes at Canadian statutory income tax rate		1,133	26.5	1,066	26.5
Reduction in income tax rate due to
	Tax-exempt income from securities	(191)	(4.5)	(151)	(3.8)
	Non-taxable portion of capital gains	(1)	-	-	-
	Tax rates of subsidiaries, foreign entities and associates	(71)	(1.7)	(51)	(1.3)
	Other items	24	0.6	18	0.5
		(239)	(5.6)	(184)	(4.6)
Income taxes reported in the Consolidated Statement of Income and
	effective income tax rate	894	20.9	882	21.9

Notice of Assessment

In September 2022, the Bank was reassessed by the Canada Revenue Agency (CRA) for additional income tax and interest of approximately $150 million (including estimated provincial tax and interest) in respect of certain Canadian dividends received by the Bank during the 2017 taxation year.

In prior fiscal years, the Bank had been reassessed for additional income tax and interest of approximately $725 million (including provincial tax and interest) in respect of certain Canadian dividends received by the Bank during the 2012-2016 taxation years.

In the reassessments, the CRA alleges that the dividends were received as part of a "dividend rental arrangement".

The CRA may issue reassessments to the Bank for taxation years subsequent to 2017 in regard to 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 October 31, 2022.

Proposed Legislation

On November 4, 2022, the Government of Canada introduced Bill C-32 - An Act to implement certain provisions of the fall economic statement table 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 budget of April 7, 2022. These tax measures include the Canada Recovery Dividend (CRD), which is a one-time 15% tax on the fiscal 2021 and 2020 average taxable income above $1 billion, and also include a 1.5% increase in the statutory tax rate. The amount of CRD for the Bank is estimated at $32 million. Since these tax measures were not substantively enacted at the reporting date, no amount has been recognized in the Bank's consolidated financial statements as at October 31, 2022.

Note 25 - 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.

Year ended October 31		2022	2021⁽¹⁾

Basic earnings per share
Net income attributable to the Bank's shareholders and holders of other equity instruments		3,384	3,140
Dividends on preferred shares and distributions on other equity instruments		107	123
Net income attributable to common shareholders		3,277	3,017
Weighted average basic number of common shares outstanding (thousands)		337,099	337,212
Basic earnings per share (dollars)		9.72	8.95

Diluted earnings per share
Net income attributable to common shareholders		3,277	3,017
Weighted average basic number of common shares outstanding (thousands)		337,099	337,212
Adjustment to average number of common shares (thousands)
	Stock options⁽²⁾	3,738	3,649
Weighted average diluted number of common shares outstanding (thousands)		340,837	340,861
Diluted earnings per share (dollars)		9.61	8.85

(2) For the year ended October 31, 2022, the calculation of diluted earnings per share excluded an average number of 1,575,093 options outstanding with a weighted average exercise price of $96.35, given that the exercise price of these options was greater than the average price of the Bank's common shares. For the year ended October 31, 2021, given that 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 26 - Guarantees, Commitments and Contingent Liabilities

Guarantees

The maximum potential amount of future payments represents the maximum risk of loss if there were a total default by the guaranteed parties, without consideration of recoveries under recourse provisions or insurance policies or from collateral held or pledged. The maximum potential amount of future payments under significant guarantees issued by the Bank is presented in the following table.

As at October 31	2022	2021

Letters of guarantee⁽¹⁾	6,618	6,083
Backstop liquidity, credit enhancement facilities and other⁽¹⁾	8,707	7,264
Securities lending	180	-

(1) For additional information on allowances for credit losses related to off-balance-sheet commitments, see Note 7 to these consolidated financial statements.

Letters of Guarantee

In the normal course of business, the Bank issues letters of guarantee. These letters of guarantee represent irrevocable commitments that the Bank will make payments in the event that a client cannot meet its obligations to third parties. The Bank's policy for requiring collateral security with respect to letters of guarantee is similar to that for loans. Generally, the term of these letters of guarantee is less than two years.

Backstop Liquidity and Credit Enhancement Facilities

Facilities to Multi-Seller Conduits

The Bank administers multi-seller conduits that purchase financial assets from clients and finance those purchases by issuing asset-backed commercial paper. The Bank provides backstop liquidity facilities to these multi-seller conduits. As at October 31, 2022, the notional amount of the global-style backstop liquidity facilities totalled $3.2 billion ($2.8 billion as at October 31, 2021), representing the total amount of commercial paper outstanding.

These backstop liquidity facilities can be drawn if the conduits are unable to access the commercial paper market, even if there is no general market disruption. These facilities have terms of less than one year and can be periodically renewed. The terms and conditions of these backstop liquidity facilities do not require the Bank to advance money to the conduits if the conduits are insolvent or involved in bankruptcy proceedings or to fund non-performing assets beyond the amount of the available credit enhancements. The backstop liquidity facilities provided by the Bank have not been drawn to date.

Note 26 - Guarantees, Commitments and Contingent Liabilities (cont.)

The Bank also provides credit enhancement facilities to these multi-seller conduits. These facilities have terms of less than one year and are automatically renewable unless the Bank sends a non-renewal notice. As at October 31, 2022 and 2021, the committed notional value for these facilities was $30 million. To date, the credit enhancement facilities provided by the Bank have not been drawn.

The maximum risk of loss for the Bank cannot exceed the total amount of commercial paper outstanding, i.e., $3.2 billion as at October 31, 2022 ($2.8 billion as at October 31, 2021). As at October 31, 2022, the Bank held $35 million ($22 million as at October 31, 2021) of this commercial paper and, consequently, the maximum potential amount of future payments, taking into account the credit enhancement facilities, was $3.2 billion ($2.7 billion as at October 31, 2021).

CDCC Overnight Liquidity Facility

Canadian Derivatives Clearing Corporation (CDCC) acts as a central clearing counterparty for multiple financial instrument transactions in Canada. Certain fixed-income clearing members of CDCC have provided an equally shared committed and uncommitted global overnight liquidity facility for the purpose of supporting CDCC in its clearing activities of securities purchased under reverse repurchase agreements or sold under repurchase agreements. The objective of this facility is to maintain sufficient liquidity in the event of a clearing member's default. As a fixed-income clearing member providing support to CDCC, the Bank provides a liquidity facility. As at October 31, 2022, the notional amount of the overnight uncommitted liquidity facility amounted to $5.6 billion ($4.5 billion as at October 31, 2021). As at October 31, 2022 and 2021, no amount had been drawn.

Securities Lending

Under securities lending agreements that the Bank has entered into with certain clients who have entrusted it with the safekeeping of their securities, the Bank lends the securities to third parties and indemnifies its clients in the event of loss. To protect itself against any contingent loss, the Bank obtains, as security from the borrower, a cash amount or extremely liquid marketable securities with a fair value greater than that of the securities loaned. No amount has been recognized on the Consolidated Balance Sheet with respect to potential indemnities resulting from securities lending agreements.

Other Indemnification Agreements

In the normal course of business, including securitization transactions and discontinuances of businesses and operations, the Bank enters into numerous contractual agreements under which it undertakes to compensate the counterparty for costs incurred as a result of litigation, changes in laws and regulations (including tax legislation), claims with respect to past performance, incorrect representations or the non-performance of certain restrictive covenants. The Bank also undertakes to indemnify any person acting as a director or officer or performing a similar function within the Bank or one of its subsidiaries or another entity, at the request of the Bank, for all expenses incurred by that person in proceedings or investigations to which he or she is party in that capacity. Moreover, as a member of a securities transfer network and pursuant to the membership agreement and the regulations governing the operation of the network, the Bank granted collateral in favour of the Bank of Canada to guarantee any obligation of the Bank towards the Bank of Canada that could result from the Bank's participation in the securities transfer network. The durations of the indemnification agreements vary according to circumstance; as at October 31, 2022 and 2021, given the nature of the agreements, the Bank is unable to make a reasonable estimate of the maximum potential liability it could be required to pay to counterparties. No amount related to these agreements has been recognized on the Consolidated Balance Sheet.

Commitments

Credit Instruments

In the normal course of business, the Bank enters into various off-balance-sheet commitments. The credit instruments used to meet the financing needs of its clients represent the maximum amount of additional credit that the Bank could be obligated to extend if the commitments were fully drawn.

As at October 31	2022	2021

Letters of guarantee⁽¹⁾	6,618	6,083
Documentary letters of credit⁽²⁾	161	160
Credit card receivables⁽³⁾	9,337	9,081
Commitments to extend credit⁽³⁾	82,117	77,983

(1) See the Letters of Guarantee item on page 215.

(2) Documentary letters of credit are documents issued by the Bank and used in international trade to enable a third party to present a payment request to the Bank for up to an amount established under specific terms and conditions; these instruments are collateralized by the delivery of the goods to which they are related.

(3) Credit card receivables and commitments to extend credit represent unused portions of authorizations to extend credit, under certain conditions, in the form of loans or bankers' acceptances.

Financial Assets Received as Collateral

As at October 31, 2022, the fair value of financial assets received as collateral that the Bank was authorized to sell or repledge was $92.3 billion ($74.1 billion as at October 31, 2021). These financial assets received as collateral consist of securities related to securities financing and derivative transactions as well as securities purchased under reverse repurchase agreements and securities borrowed.

Other Commitments

The Bank acts as an investor in investment banking activities whereby it enters into agreements to finance external private equity funds and investments in equity and debt securities at market value at the time the agreements are signed. In connection with these activities, the Bank had commitments to invest up to $102 million as at October 31, 2022 ($124 million as at October 31, 2021). In addition, through one of its subsidiaries, the Bank purchases retail loans originated by other financial institutions at market value at the time of purchase. As at October 31, 2022, the Bank had commitments to purchase loans of up to $60 million ($77 million as at October 31, 2021).

Pledged Assets

In the normal course of business, the Bank pledges securities and other assets as collateral. A breakdown of encumbered assets pledged as collateral is provided in the following table. These transactions are concluded in accordance with standard terms and conditions.

As at October 31		2022	2021

Assets pledged to
	Bank of Canada	325	502
	Direct clearing organizations⁽¹⁾	1,634	4,158
Assets pledged in relation to
	Derivative financial instrument transactions	5,368	6,339
	Borrowing, securities lending and securities sold under reverse repurchase agreements	68,458	72,038
	Securitization transactions	26,361	25,173
	Covered bonds⁽²⁾	11,590	9,542
	Other	159	4
Total		113,895	117,756

(1) Includes assets pledged as collateral for activities in the systemically important payment system (designated as Lynx) as at October 31, 2022 and 2021.

(2) The Bank has a covered bond program. For additional information, see Notes 13 and 27 to these consolidated financial statements.

Contingent Liabilities

Litigation

In the normal course of business, the Bank and its subsidiaries are involved in various claims relating, among other matters, to loan portfolios, investment portfolios, and supplier agreements, including court proceedings, investigations or claims of a regulatory nature, class actions, or other legal remedies of varied natures.

More specifically, the Bank is involved as a defendant in class actions instituted by consumers contesting, inter alia, certain transaction fees or who wish to avail themselves of certain legislative provisions relating to consumer protection. The recent developments in the main legal proceeding involving the Bank are as follows:

Defrance

On January 21, 2019, the Quebec Superior Court authorized a class action against the National Bank and several other Canadian financial institutions. The originating application was served to the Bank on April 23, 2019. The class action was initiated on behalf of consumers residing in Quebec. The plaintiffs allege that non-sufficient funds charges, billed by all of the defendants when a payment order is refused due to non-sufficient funds, are illegal and prohibited by the Consumer Protection Act. The plaintiffs are claiming, in the form of damages, the repayment of these charges as well as punitive damages.

It is impossible to determine the outcome of the claims instituted or which may be instituted against the Bank and its subsidiaries. The Bank estimates, based on the information at its disposal, that while the amount of contingent liabilities pertaining to these claims, taken individually or in the aggregate, could have a material impact on the Bank's consolidated results of operations for a particular period, it would not have a material adverse impact on the Bank's consolidated financial position.

Note 27 - Structured Entities

A structured entity is an entity created to accomplish a narrow and well-defined objective and is designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate solely to administrative tasks and the relevant activities are directed by means of contractual arrangements. Structured entities are assessed for consolidation in accordance with the accounting treatment described in Note 1 to these consolidated financial statements. The Bank's maximum exposure to loss resulting from its interests in these structured entities consists primarily of the investments in these entities, the fair value of derivative financial instrument contracts entered into with them, and the backstop liquidity and credit enhancement facilities granted to certain structured entities.

In the normal course of business, the Bank may enter into financing transactions with third-party structured entities, including commercial loans, reverse repurchase agreements, prime brokerage margin lending, and similar collateralized lending transactions. While such transactions expose the Bank to the counterparty credit risk of the structured entities, this exposure is mitigated by the collateral related to these transactions. The Bank typically has neither power nor significant variable returns resulting from financing transactions with structured entities and does not consolidate such entities. Financing transactions with third-party-sponsored structured entities are included in the Bank's consolidated financial statements and are not included in the table accompanying this note on page 219.

Non-Consolidated Structured Entities

Multi-Seller Conduits

The Bank administers multi-seller conduits that purchase financial assets from clients and finance those purchases by issuing commercial paper backed by the assets acquired. Clients use these multi-seller conduits to diversify their funding sources and reduce borrowing costs, while continuing to manage the financial assets and providing some amount of first-loss protection. Notes issued by the conduits and held by third parties provide additional credit loss protection. The Bank acts as a financial agent and provides these conduits with administrative and transaction structuring services as well as backstop liquidity and credit enhancement facilities under the commercial paper program. These facilities are presented and described in Note 26. The Bank has concluded derivative financial instrument contracts with these conduits, the fair value of which is presented on the Bank's Consolidated Balance Sheet. Although the Bank has the ability to direct the relevant activities of these conduits, it cannot use its power to affect the amount of the returns it obtains, as it acts as an agent. Consequently, the Bank does not control these conduits and does not consolidate them.

Investment Funds

The Bank enters into derivative or other financial instrument contracts with third parties to provide them with the desired exposure to certain investment funds. The Bank economically hedges the risks related to these derivatives by investing in those investment funds. The Bank can also hold economic interests in certain investment funds as part of its investing activities. In addition, the Bank is sponsor and investment manager of mutual funds in which it has insignificant or no interest. The Bank does not control the funds where its holdings are not significant given that, in these circumstances, the Bank either acts only as an agent or does not have any power over the relevant activities. In both cases, it does not have significant exposure to the variable returns of the funds. Therefore, the Bank does not consolidate these funds.

Private Investments

As part of its investment banking operations, the Bank invests in several limited liability partnerships and other incorporated entities. These investment companies in turn invest in operating companies with a view to reselling these investments at a profit over the medium or long term. The Bank does not intervene in the operations of these entities; its only role is that of an investor. Consequently, it does not control these companies and does not consolidate them.

Third-Party Structured Entities

The Bank has invested in third-party structured entities, some of which are asset-backed. The underlying assets consist of residential mortgages, consumer loans, equipment loans, leases, and securities. The Bank does not have the ability to direct the relevant activities of these structured entities and has no exposure to their variable returns, other than the right to receive interest income and dividend income from its investments. Consequently, the Bank does not control these structured entities and does not consolidate them.

The following table presents the carrying amounts of the assets and liabilities relating to the Bank's interests in non-consolidated structured entities, the Bank's maximum exposure to loss from these interests, as well as the total assets of these structured entities. The structured entity Canada Housing Trust is not presented. For additional information, see Note 8 to these consolidated financial statements.

			As at October 31, 2022
		Multi-seller conduits⁽¹⁾	Investment funds⁽²⁾	Private investments⁽³⁾	Third-party structured entities⁽⁴⁾

Assets on the Consolidated Balance Sheet
	Securities at fair value through profit or loss	35	335	77	-
	Securities at amortized cost	-	-	-	5,163
	Derivative financial instruments	-	-	-	38
		35	335	77	5,201
As at October 31, 2021		22	197	54	2,942

Liabilities on the Consolidated Balance Sheet
	Derivative financial instruments	(71)	-	-	(91)
		(71)	-	-	(91)
As at October 31, 2021		(12)	-	-	(8)

Maximum exposure to loss
	Securities	35	335	77	5,201
	Liquidity, credit enhancement facilities and commitments	3,155	-	-	468
		3,190	335	77	5,669
As at October 31, 2021		2,754	197	54	3,896

Total assets of the structured entities		3,183	1,772	535	11,197
As at October 31, 2021		2,782	1,791	400	16,883

(1) The main underlying assets, located in Canada, are residential mortgages, automobile loans, automobile inventory financings, and other receivables. As at October 31, 2022, the notional committed amount of the global-style liquidity facilities totalled $3.2 billion ($2.8 billion as at October 31, 2021), representing the total amount of commercial paper outstanding. The Bank also provides series-wide credit enhancement facilities for a notional committed amount of $30 million ($30 million as at October 31, 2021). The maximum exposure to loss cannot exceed the amount of commercial paper outstanding. As at October 31, 2022, the Bank held $35 million in commercial paper ($22 million as at October 31, 2021) and, consequently, the maximum potential amount of future payments as at October 31, 2022 was limited to $3.2 billion ($2.7 billion as at October 31, 2021), which represents the undrawn liquidity and credit enhancement facilities.

(2) The underlying assets are various financial instruments and are presented on a net asset basis. Certain investment funds are in a trading portfolio.

(3) The underlying assets are private investments. The amount of total assets of the structured entities corresponds to the amount for the most recent available period.

(4) The underlying assets are residential mortgages, consumer loans, equipment loans, leases, and securities.

Consolidated Structured Entities

Securitization Entity for the Bank's Credit Card Receivables

In April 2015, the Bank set up Canadian Credit Card Trust II (CCCT II) to continue its credit card securitization program on a revolving basis and to use the entity for capital management and funding purposes.

The Bank provides first-loss protection against the losses, since it retains the excess spread from the portfolio of sold receivables. The excess spread represents the residual net interest income after all the expenses related to this structure have been paid. The Bank also provides second-loss protection as it holds subordinated notes issued by CCCT II. In addition, the Bank acts as an administrative agent and servicer and as such is responsible for the daily administration and management of CCCT II's credit card receivables. The Bank therefore has the ability to direct the relevant activities of CCCT II and can exercise its power to affect the amount of returns it obtains. Consequently, the Bank controls CCCT II and consolidates it.

Multi-Seller Conduit

The Bank administers a multi-seller conduit that purchases various financial assets from clients and finances those purchases by issuing debt securities (including commercial paper) backed by the assets acquired. The clients use this multi-seller conduit to diversify their funding sources and reduce borrowing costs, while continuing to manage the financial assets and providing some amount of first-loss protection. The Bank holds the sole note issued by the conduit and has concluded a derivative financial instrument contract with the conduit. The Bank controls the relevant activities of this conduit through its involvement as a financial agent, agent for administrative and transaction structuring services as well as investor in the conduit's sole note. The Bank's functions and investment in the conduit confer to it decision-making power over the composition of assets acquired by the conduit and the selection of the seller as well as some exposure to the conduit's variable returns. Therefore, the Bank consolidates this conduit.

Note 27 - Structured Entities (cont.)

Investment Funds

Covered Bonds

NBC Covered Bond Guarantor (Legislative) Limited Partnership

In December 2013, the Bank established the covered bond legislative program under which covered bonds are issued. It therefore created NBC Covered Bond Guarantor (Legislative) Limited Partnership (the Guarantor) to guarantee payment of the principal and interest owed to the bondholders. The Bank sold uninsured residential mortgages to the Guarantor and granted it loans to facilitate the acquisition of these assets. The Bank acts as manager of the partnership and has decision-making authority over its relevant activities in accordance with the contractual terms governing the covered bond legislative program. In addition, the Bank is able, in accordance with the contractual terms governing the covered bond legislative program, to affect the variable returns of the partnership, which are directly related to the return on the mortgage loan portfolio and the interest on the loans from the Bank. Consequently, the Bank controls the partnership and consolidates it.

Third-Party Structured Entities

In 2018, the Bank, through one of its subsidiaries, provided financing to a third-party structured entity in exchange for a 100% interest in a loan portfolio, the sole asset held by that entity. The Bank controls and therefore consolidates the structured entity, as it has the ability to direct the entity's relevant activities through its involvement in the decision-making process. The Bank is also exposed to the entity's variable returns.

The following table presents the Bank's investments and other assets in the consolidated structured entities as well as the total assets of these entities.

As at October 31	2022		2021
	Investments and other assets	Total assets⁽¹⁾	Investments and other assets	Total assets⁽¹⁾
	Investments and other assets	Total assets⁽¹⁾	Investments and other assets	Total assets⁽¹⁾

Consolidated structured entities
Securitization entity for the Bank's credit card receivables⁽²⁾⁽³⁾	1,916	2,073	2,410	2,544
Multiseller conduit⁽⁴⁾	802	802	256	256
Investment funds⁽⁵⁾	56	56	121	121
Covered bonds⁽⁶⁾	17,900	18,237	15,663	16,048
Third-party structured entities⁽⁷⁾	166	166	169	169
	20,840	21,334	18,619	19,138

(1) There are restrictions, arising essentially from regulatory requirements, corporate or securities laws, and contractual arrangements, that limit the ability of some of the Bank's consolidated structured entities to transfer funds to the Bank.

(2) The underlying assets are credit card receivables.

(3) The Bank's investment is presented net of third-party holdings.

(4) The underlying assets, located in Canada, are residential mortgages.

(5) The underlying assets are various financial instruments and are presented on a net asset basis. Certain investment funds are in a trading portfolio.

(6) The underlying assets are uninsured residential mortgage loans of the Bank. The average maturity of these underlying assets is two years. As at October 31, 2022, the total amount of transferred mortgage loans was $17.9 billion ($15.7 billion as at October 31, 2021), and the total amount of covered bonds of $10.4 billion was recognized in Deposits on the Consolidated Balance Sheet ($8.8 billion as at October 31, 2021). For additional information, see Note 13 to these consolidated financial statements.

(7) The underlying assets consist of a loan portfolio.

Note 28 - Related Party Disclosures

In the normal course of business, the Bank provides various banking services to related parties and enters into contractual agreements and other operations with related parties. The Bank considers the following to be related parties:

· its key officers and directors and members of their immediate family, i.e., spouses and children under 18 living in the same household;

· entities over which its key officers and directors and their immediate family have control or significant influence through their significant voting power;

· the Bank's associates and joint ventures;

· the Bank's pension plans (for additional information, see Note 23 to these consolidated financial statements).

According to the established definition, the Bank's key officers are those persons having authority and responsibility for planning, directing, and controlling the Bank's activities, directly or indirectly.

Related Party Transactions

As at October 31
		Key officers and directors⁽¹⁾			Related entities
			2022	2021	2022		2021

Assets
	Mortgage loans and other loans		22	21	449	⁽²⁾	143	⁽²⁾

Liabilities
	Deposits		58	115	80	⁽³⁾	126	⁽³⁾
	Other		-	-	6		38

(1) As at October 31, 2022, key officers and directors and their immediate family members were holding $68 million of the Bank's common and preferred shares ($95 million as at October 31, 2021).

(2) As at October 31, 2022, mortgage loans and other loans consisted of: (i) $1 million in loans to the Bank's associates ($1 million as at October 31, 2021) and (ii) $448 million in loans to entities over which the Bank's key officers or directors or their immediate family members exercise control or significant influence through significant voting power ($142 million as at October 31, 2021).

(3) As at October 31, 2022, deposits consisted of: (i) no amount in deposits from the Bank's associates ($1 million as at October 31, 2021) and (ii) $80 million in deposits from entities over which the Bank's key officers or directors and their immediate family members exercise control or significant influence through significant voting power ($125 million as at October 31, 2021).

The contractual agreements and other transactions with related entities as well as with directors and key officers are entered into under conditions similar to those offered to non-related third parties. These agreements did not have a significant impact on the Bank's results. The Bank also offers a deferred stock unit plan to directors who are not Bank employees. For additional information, see Notes 9, 22 and 27 to these consolidated financial statements.

Compensation of Key Officers and Directors

Year ended October 31	2022	2021

Compensation and other short-term and long-term benefits	24	23
Share-based payments	21	22

Note 28 - Related Party Disclosures (cont.)

Principal Subsidiaries of the Bank⁽¹⁾

As at October 31, 2022

Name

Business activity

Principal office address

Voting

shares⁽²⁾

Investment

at cost

Canada and United States

National Bank Acquisition Holding Inc.

Holding company

Montreal, Canada

100%

1,785

National Bank Financial Inc.

Investment dealer

Montreal, Canada

100%

NBF International Holdings Inc.

Holding company

Montreal, Canada

100%

National Bank of Canada Financial Group Inc.

Holding company

New York, NY, United States

100%

Credigy Ltd.

Holding company

Atlanta, GA, United States

100%

National Bank of Canada Financial Inc.

Investment dealer

New York, NY, United States

100%

National Bank Investments Inc.

Mutual funds dealer

Montreal, Canada

100%

441

National Bank Life Insurance Company

Insurance

Montreal, Canada

100%

Natcan Trust Company

Trustee

Montreal, Canada

100%

238

National Bank Trust Inc.

Trustee

Montreal, Canada

100%

195

National Bank Realty Inc.

Real estate

Montreal, Canada

100%

NatBC Holding Corporation

Holding company

Hollywood, FL, United States

100%

Natbank, National Association

Commercial bank

Hollywood, FL, United States

100%

Flinks Technology Inc.

Information technology

Montreal, Canada

86%

144

Other countries

Natcan Global Holdings Ltd.

Holding company

Sliema, Malta

100%

NBC Global Finance Limited

Investment services

Dublin, Ireland

100%

NBC Financial Markets Asia Limited

Investment dealer

Hong Kong, China

100%

Advanced Bank of Asia Limited

Commercial bank

Phnom Penh, Cambodia

100%

621

ATA IT Ltd.

Information technology

Bangkok, Thailand

100%

(1) Excludes consolidated structured entities. For additional information, see Note 27 to these consolidated financial statements.

(2) The Bank's percentage of voting rights in these subsidiaries.

Note 29 - Management of the Risks Associated With Financial Instruments

The Bank is exposed to credit risk, market risk, and liquidity and funding risk. The Bank's objectives, policies, and procedures for managing risk and the risk measurement methods are presented in the Risk Management section of the MD&A for the year ended October 31, 2022. Text in grey shading and tables identified with an asterisk (*) in the Risk Management section of the MD&A for the year ended October 31, 2022 are integral parts of these consolidated financial statements.

Residual Contractual Maturities of Balance Sheet Items and Off-Balance-Sheet Commitments

The following tables present balance sheet items and off-balance-sheet commitments by residual contractual maturity as at October 31, 2022 and 2021. The information gathered from this maturity analysis is a component of liquidity and funding management. However, this maturity profile does not represent how the Bank manages its interest rate risk nor its liquidity risk and funding needs. The Bank considers factors other than contractual maturity when assessing liquid assets or determining expected future cash flows.

In the normal course of business, the Bank enters into various off-balance-sheet commitments. The credit instruments used to meet the funding needs of its clients represent the maximum amount of additional credit that the Bank could be obligated to extend if the commitments were fully drawn.

The Bank also has future minimum commitments under leases for premises as well as under other contracts, mainly commitments to purchase loans and contracts for outsourced information technology services. Most of the lease commitments are related to operating leases.

									As at October 31, 2022
			1 month or less	Over 1 month to 3 months	Over 3 months to 6 months	Over 6 months to 9 months	Over 9 months to 12 months	Over 1 year to 2 years	Over 2 years to 5 years	Over 5 years	No specified maturity	Total

Assets
Cash and deposits
	with financial institutions		13,084	142	311	18	685	-	-	-	17,630	31,870

Securities
	At fair value through
		profit or loss	1,527	6,450	5,405	2,267	2,337	3,369	8,634	10,661	46,725	87,375
	At fair value through
		other comprehensive income	5	30	13	20	46	952	4,910	2,296	556	8,828
	At amortized cost		602	196	1,876	1,032	95	2,840	5,802	1,073	-	13,516
			2,134	6,676	7,294	3,319	2,478	7,161	19,346	14,030	47,281	109,719


Securities purchased under
	reverse repurchase
	agreements and
	securities borrowed		12,489	1,231	890	-	409	1,044	-	-	10,423	26,486

Loans⁽¹⁾
	Residential mortgage		1,155	1,124	1,899	2,716	2,364	8,910	53,335	8,059	567	80,129
	Personal		423	449	878	1,208	1,036	3,701	17,792	5,085	14,751	45,323
	Credit card										2,389	2,389
	Business and government		19,980	3,491	3,971	3,586	2,604	6,167	11,452	2,985	19,081	73,317
	Customers' liability under
		acceptances	5,967	554	20	-	-	-	-	-	-	6,541
	Allowances for credit losses										(955)	(955)
			27,525	5,618	6,768	7,510	6,004	18,778	82,579	16,129	35,833	206,744

Other
	Derivative financial instruments		2,046	2,804	1,853	1,190	698	1,742	5,182	3,032	-	18,547
	Investments in associates and
		joint ventures									140	140
	Premises and equipment										1,397	1,397
	Goodwill										1,519	1,519
	Intangible assets										1,360	1,360
	Other assets⁽¹⁾		2,633	527	472	161	94	502	107	86	1,376	5,958
			4,679	3,331	2,325	1,351	792	2,244	5,289	3,118	5,792	28,921
			59,911	16,998	17,588	12,198	10,368	29,227	107,214	33,277	116,959	403,740

(1) Amounts collectible on demand are considered to have no specified maturity.

Note 29 - Management of the Risks Associated With Financial Instruments (cont.)

									As at October 31, 2022
			1 month or less	Over 1 month to 3 months	Over 3 months to 6 months	Over 6 months to 9 months	Over 9 months to 12 months	Over 1 year to 2 years	Over 2 years to 5 years	Over 5 years	No specified maturity	Total

Liabilities and equity
Deposits⁽¹⁾⁽²⁾
	Personal		1,482	1,493	2,955	6,013	6,141	6,418	7,942	4,252	42,115	78,811
	Business and government		36,864	11,605	10,644	4,875	3,728	5,988	13,659	4,227	92,640	184,230
	Deposit-taking institutions		724	624	54	122	30	-	7	36	1,756	3,353
			39,070	13,722	13,653	11,010	9,899	12,406	21,608	8,515	136,511	266,394

Other
	Acceptances		5,967	554	20	-	-	-	-	-	-	6,541

	Obligations related
		to securities sold short⁽³⁾	428	394	634	74	920	1,493	3,948	6,386	7,540	21,817


	Obligations related to
		securities sold under
		repurchase agreements and
		securities loaned	16,233	5,445	1,567	3,406	-	22	-	-	6,800	33,473
	Derivative financial instruments		2,584	2,302	1,640	1,009	595	2,047	3,570	5,885	-	19,632
	Liabilities related to transferred
		receivables⁽⁴⁾	-	2,672	422	1,329	2,288	4,558	9,612	5,396	-	26,277
	Securitization - Credit card⁽⁵⁾		-	-	-	29	-	-	49	-	-	78
	Lease liabilities⁽⁵⁾		8	16	23	23	24	87	219	152	-	552
	Other liabilities - Other items⁽¹⁾⁽⁵⁾		1,076	46	99	23	39	27	42	92	4,287	5,731
			26,296	11,429	4,405	5,893	3,866	8,234	17,440	17,911	18,627	114,101

Subordinated debt			-	-	-	-	-	-	-	1,499	-	1,499

Equity											21,746	21,746
			65,366	25,151	18,058	16,903	13,765	20,640	39,048	27,925	176,884	403,740

Off-balance-sheet commitments
	Letters of guarantee and
		documentary letters of credit	180	1,451	1,338	982	1,398	1,292	138	-	-	6,779
	Credit card receivables⁽⁶⁾										9,337	9,337
	Backstop liquidity and credit
		enhancement facilities⁽⁷⁾	-	15	5,552	15	-	-	-	-	3,125	8,707
	Commitments to extend credit⁽⁸⁾		3,126	9,205	6,179	6,678	3,270	4,066	3,186	39	46,368	82,117
	Obligations related to:
		Lease commitments⁽⁹⁾	1	1	2	2	2	6	9	8	-	31
		Other contracts⁽¹⁰⁾	38	42	47	46	47	21	34	-	102	377

(1) Amounts payable upon demand or notice are considered to have no specified maturity.

(2) The Deposits item is presented in greater detail than it is on the Consolidated Balance Sheet.

(3) Amounts are disclosed according to the residual contractual maturity of the underlying security.

(4) These amounts mainly include liabilities related to the securitization of mortgage loans.

(5) The Other liabilities item is presented in greater detail than it is on the Consolidated Balance Sheet.

(6) These amounts are unconditionally revocable at the Bank's discretion at any time.

(7) In the event of payment on one of the backstop liquidity facilities, the Bank will receive as collateral government bonds in an amount up to $5.6 billion.

(8) These amounts include $44.8 billion that is unconditionally revocable at the Bank's discretion at any time.

(9) These amounts include leases for which the underlying asset is of low value and leases other than for real estate of less than one year.

(10) These amounts include $0.2 billion in contractual commitments related to the head office building under construction.

									As at October 31, 2021⁽¹⁾
			1 month or less	Over 1 month to 3 months	Over 3 months to 6 months	Over 6 months to 9 months	Over 9 months to 12 months	Over 1 year to 2 years	Over 2 years to 5 years	Over 5 years	No specified maturity	Total

Assets
Cash and deposits
	with financial institutions		7,510	334	374	146	368	-	-	-	25,147	33,879

Securities
	At fair value through
		profit or loss	1,946	1,929	1,061	702	792	3,037	6,454	9,410	59,480	84,811
	At fair value through
		other comprehensive income	1	-	1	624	63	227	4,867	3,183	617	9,583
	At amortized cost		1	181	213	425	804	3,589	5,865	832	-	11,910
			1,948	2,110	1,275	1,751	1,659	6,853	17,186	13,425	60,097	106,304


Securities purchased under
	reverse repurchase
	agreements and
	securities borrowed		1,113	1,199	59	-	371	619	-	-	4,155	7,516

Loans⁽²⁾
	Residential mortgage		702	965	1,581	2,587	2,320	8,850	48,455	6,504	578	72,542
	Personal		214	315	512	877	843	3,527	16,056	4,308	14,401	41,053
	Credit card										2,150	2,150
	Business and government		16,842	3,986	2,614	3,508	3,253	6,290	10,180	3,605	10,828	61,106
	Customers' liability under
		acceptances	6,200	618	18	-	-	-	-	-	-	6,836
	Allowances for credit losses										(998)	(998)
			23,958	5,884	4,725	6,972	6,416	18,667	74,691	14,417	26,959	182,689

Other
	Derivative financial instruments		1,868	3,678	1,019	2,190	823	1,865	2,491	2,550	-	16,484
	Investments in associates and
		joint ventures									225	225
	Premises and equipment										1,216	1,216
	Goodwill										1,504	1,504
	Intangible assets										1,274	1,274
	Other assets⁽²⁾		1,829	137	148	129	56	727	88	17	1,399	4,530
			3,697	3,815	1,167	2,319	879	2,592	2,579	2,567	5,618	25,233
			38,226	13,342	7,600	11,188	9,693	28,731	94,456	30,409	121,976	355,621

(1) Certain amounts have been adjusted to reflect an accounting policy change applicable to cloud computing arrangements. For additional information, see Note 1 to these audited consolidated financial statements.

(2) Amounts collectible on demand are considered to have no specified maturity.

Note 29 - Management of the Risks Associated With Financial Instruments (cont.)

									As at October 31, 2021
			1 month or less	Over 1 month to 3 months	Over 3 months to 6 months	Over 6 months to 9 months	Over 9 months to 12 months	Over 1 year to 2 years	Over 2 years to 5 years	Over 5 years	No specified maturity	Total

Liabilities and equity
Deposits⁽¹⁾⁽²⁾
	Personal		1,396	3,433	4,596	2,194	1,945	4,157	6,468	4,914	40,973	70,076
	Business and government		24,814	12,796	10,782	5,785	2,691	5,453	10,054	4,765	90,730	167,870
	Deposit-taking institutions		1,011	128	38	66	23	1	-	36	1,689	2,992
			27,221	16,357	15,416	8,045	4,659	9,611	16,522	9,715	133,392	240,938

Other
	Acceptances		6,200	618	18	-	-	-	-	-	-	6,836

	Obligations related
		to securities sold short⁽³⁾	186	123	182	175	22	3,099	3,743	4,797	7,939	20,266

	Obligations related to
		securities sold under
		repurchase agreements and
		securities loaned	7,330	2,668	3,633	246	-	-	-	-	3,416	17,293
	Derivative financial instruments		3,048	3,061	1,171	1,921	880	1,485	3,273	4,528	-	19,367
	Liabilities related to transferred
		receivables⁽⁴⁾	-	1,688	1,523	1,054	411	5,501	10,771	4,222	-	25,170
	Securitization - Credit card⁽⁵⁾		36	-	-	-	-	28	48	-	-	112
	Lease liabilities⁽⁵⁾		7	15	21	22	22	88	214	186	-	575
	Other liabilities - Other items⁽¹⁾⁽⁵⁾		640	477	117	125	100	41	25	75	4,014	5,614
			17,447	8,650	6,665	3,543	1,435	10,242	18,074	13,808	15,369	95,233

Subordinated debt			-	-	-	-	-	-	-	768	-	768

Equity⁽⁶⁾											18,682	18,682
			44,668	25,007	22,081	11,588	6,094	19,853	34,596	24,291	167,443	355,621

Off-balance-sheet commitments
	Letters of guarantee and
		documentary letters of credit	320	1,561	828	2,092	793	575	74	-	-	6,243
	Credit card receivables⁽⁷⁾										9,081	9,081
	Backstop liquidity and credit
		enhancement facilities⁽⁸⁾	15	-	4,502	15	-	-	-	-	2,732	7,264
	Commitments to extend credit⁽⁹⁾		2,848	9,139	6,195	6,737	3,872	3,105	3,667	48	42,372	77,983
	Obligations related to:
		Lease commitments⁽¹⁰⁾	1	1	1	1	1	1	3	3	-	12
		Other contracts⁽¹¹⁾	54	58	50	48	46	152	19	-	124	551

(1) Amounts payable upon demand or notice are considered to have no specified maturity.

(2) The Deposits item is presented in greater detail than it is on the Consolidated Balance Sheet.

(3) Amounts have been disclosed according to the residual contractual maturity of the underlying security.

(4) These amounts mainly include liabilities related to the securitization of mortgage loans.

(5) The Other liabilities item is presented in greater detail than it is on the Consolidated Balance Sheet.

(6) Certain amounts have been adjusted to reflect an accounting policy change applicable to cloud computing arrangements. For additional information, see Note 1 to these audited consolidated financial statements.

(7) These amounts are unconditionally revocable at the Bank's discretion at any time.

(8) In the event of payment on one of the backstop liquidity facilities, the Bank will receive as collateral government bonds in an amount up to $4.5 billion.

(9) These amounts include $40.8 billion that is unconditionally revocable at the Bank's discretion at any time.

(10) These amounts include leases for which the underlying asset is of low value and leases other than for real estate of less than one year.

(11) These amounts include $0.3 billion in contractual commitments related to the head office building under construction.

Note 30 - 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, 2021. This presentation reflects the fact that the loan portfolio of borrowers in the "Oil and gas" and "Pipelines" sectors as well as related activities, which had previously been reported in the Personal and Commercial segment, is now reported in the Financial Markets segment. The Bank made this change to better align the monitoring of its activities with its management structure.

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.

The segment disclosures are prepared in accordance with the accounting policies described in Note 1 to these consolidated financial statements, except for the net interest income, non-interest income, and income taxes (recovery) of the operating segments, which are presented on a taxable equivalent basis. Taxable equivalent basis is a calculation method that consists in grossing up certain tax-exempt income by the amount of income tax that would have otherwise been payable. The effect of these adjustments is reversed under the Other heading. Operations support charges are allocated to each operating segment presented in the business segment results. The Bank assesses performance based on the net income attributable to the Bank's shareholders and holders of other equity instruments. Intersegment revenues are recognized at the exchange amount.

Note 30 - Segment Disclosures (cont.)

Results by Business Segment

Year ended October 31⁽¹⁾
		Personal and Commercial		Wealth Management		Financial Markets		USSF&I		Other		Total
		2022	2021	2022	2021	2022	2021	2022	2021	2022	2021	2022	2021

Net interest income⁽²⁾		2,865	2,547	594	446	1,258	1,262	1,090	907	(536)	(379)	5,271	4,783
Non-interest income⁽²⁾⁽³⁾		1,169	1,068	1,781	1,720	1,210	956	20	94	201	306	4,381	4,144
Total revenues		4,034	3,615	2,375	2,166	2,468	2,218	1,110	1,001	(335)	(73)	9,652	8,927
Non-interest expenses		2,149	2,008	1,391	1,293	1,022	906	344	315	324	381	5,230	4,903
Income before provisions for
	credit losses and income taxes	1,885	1,607	984	873	1,446	1,312	766	686	(659)	(454)	4,422	4,024
Provisions for credit losses		97	40	3	1	(23)	(24)	66	(15)	2	-	145	2
Income before income taxes
	(recovery)	1,788	1,567	981	872	1,469	1,336	700	701	(661)	(454)	4,277	4,022
Income taxes (recovery)⁽²⁾		474	416	260	231	389	353	143	146	(372)	(264)	894	882
Net income		1,314	1,151	721	641	1,080	983	557	555	(289)	(190)	3,383	3,140
Non-controlling interests		-	-	-	-	-	-	-	-	(1)	-	(1)	-
Net income attributable to the
	Bank's shareholders and holders of other equity instruments	1,314	1,151	721	641	1,080	983	557	555	(288)	(190)	3,384	3,140
Average assets⁽⁴⁾		140,514	126,637	8,226	7,146	154,349	151,240	18,890	16,150	71,868	62,333	393,847	363,506
Total assets		146,915	135,209	8,363	7,914	157,803	141,007	21,217	17,393	69,442	54,098	403,740	355,621

(1) For the year ended October 31, 2021, certain amounts were reclassified, in particular amounts of the loan portfolio of borrowers in the "Oil and gas" and "Pipelines" sectors as well as related activities, which were transferred from the Personal and Commercial segment to the Financial Markets segment. Moreover, certain amounts have been adjusted to reflect an accounting policy change applicable to cloud computing arrangements (for additional information, see Note 1 to these consolidated financial statements).

(2) For the year ended October 31, 2022, Net interest income was grossed up by $234 million ($181 million in 2021), Non-interest income was grossed up by $48 million ($8 million in 2021), and an equivalent amount was recognized in Income taxes (recovery). The effects of these adjustments have been reversed under the Other heading.

(3) For the Other heading of segment results, for the year ended October 31, 2021, the Non-interest income item had included a $33 million gain following a remeasurement of the previously held equity interest in Flinks and a $30 million loss related to the fair value measurement of the Bank's equity interest in AfrAsia.

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

Results by Geographic Segment

Year ended October 31⁽¹⁾
	Canada		United States		Other		Total
	2022	2021	2022	2021	2022	2021	2022	2021

Net interest income	3,758	3,592	773	623	740	568	5,271	4,783
Non-interest income⁽²⁾	4,299	3,992	18	106	64	46	4,381	4,144
Total revenues	8,057	7,584	791	729	804	614	9,652	8,927
Non-interest expenses	4,760	4,478	209	203	261	222	5,230	4,903
Income before provisions for credit losses and income taxes	3,297	3,106	582	526	543	392	4,422	4,024
Provisions for credit losses	79	17	35	(41)	31	26	145	2
Income before income taxes	3,218	3,089	547	567	512	366	4,277	4,022
Income taxes	723	674	67	133	104	75	894	882
Net income	2,495	2,415	480	434	408	291	3,383	3,140
Non-controlling interests	(1)	-	-	-	-	-	(1)	-
Net income attributable to the Bank's shareholders and holders of other equity instruments	2,496	2,415	480	434	408	291	3,384	3,140
Average assets⁽³⁾	324,415	300,964	29,988	27,301	39,444	35,241	393,847	363,506
Total assets	336,215	300,833	27,986	23,834	39,539	30,954	403,740	355,621

(1) For the year ended October 31, 2021, certain amounts have been adjusted to reflect an accounting policy change applicable to cloud computing arrangements. For additional information, see Note 1 to these consolidated financial statements.

(2) For the year ended October 31, 2021, the Non-interest income item recorded in Canada included a $33 million gain following a remeasurement of the previously held equity interest in Flinks and a $30 million loss related to the fair value measurement of the Bank's equity interest in AfrAsia.

(3) Represents an average of the daily balances for the period.

Note 31 - Acquisition

Acquisition of Flinks Technology Inc.

On September 8, 2021, the Bank finalized the acquisition of Flinks Technology Inc. (Flinks), a leading fintech company specialized in financial data aggregation and distribution, in which the Bank had already been holding a 30.2% equity interest. Flinks provides services to a wide North American fintech ecosystem and offers attractive data technology solutions. The acquisition strategically positions the Bank in a high-growth market so that it can continue enhancing customer experiences and benefitting from future technology-driven innovations. At the time of acquisition, the amount of which was $73 million in cash for voting preferred shares, the Bank was holding an 82.9% equity interest in Flinks, thereby giving it control thereover. Immediately after the acquisition, the Bank made an additional $30 million investment in voting preferred shares, giving the Bank an 85.9% equity interest in Flinks. The amount of the $73 million purchase price, of the fair value of the previously held equity interest, and of the estimated value of the non-controlling interest established on the acquisition date, exceeded the fair value of the net assets acquired by $101 million. This excess amount was recorded on the Consolidated Balance Sheet as goodwill and mainly represents the future profits expected from Flinks given its favourable position in this growth market. The goodwill is not deductible for tax purposes. The previously held equity interest, accounted for as an associate, was remeasured at fair value, generating a $33 million non-taxable remeasurement gain that was reported in the Non-interest income - Other item of the Consolidated Statement of Income for the year ended October 31, 2021. With respect to the presentation of financial results according to business segment, the gain on remeasurement of the previously held equity interest as well as the financial results of Flinks are being reported in the Other heading of segment results. The financial results of Flinks have been consolidated into the Bank's financial statements since September 8, 2021.

During the measurement period ended September 8, 2022, the final measurement of Flinks's net assets and the final calculation of working capital adjustments had no significant impact on goodwill.

Note 32 - Event After the Consolidated Balance Sheet Date

Repurchase of Common Shares

On November 29, 2022, the Bank's Board of Directors approved a normal course issuer bid, beginning December 12, 2022, to repurchase for cancellation up to 7,000,000 common shares (representing approximately 2.08% of its outstanding common shares) over the 12-month period ending 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. This normal course issuer bid is subject to the approval of OSFI and the Toronto Stock Exchange (TSX).

Year ended October 31⁽¹⁾

Net income

Other comprehensive income

Comprehensive income