| Summary of Bank's Significant Exposures to Financial Instruments |
The following tables show the Bank’s significant exposures to financial instruments referencing benchmark interest rates subject to the Reform that have yet to transition to ABRs. These include financial instruments referencing USD LIBOR maturing after June 30, 2023 and CDOR maturing after June 28, 2024. In the normal course of business, our derivative notional amounts may fluctuate with minimal impact to our IBOR conversion plans.
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As at |
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October 31, 2021 |
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(Millions of Canadian dollars) |
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financial liabilities (2) |
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Derivative notional (3), (4) |
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$ |
68,325 |
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$ |
1,420 |
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$ |
4,901,854 |
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9,226 |
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14,797 |
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1,307,071 |
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$ |
77,551 |
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$ |
16,217 |
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$ |
6,208,925 |
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n.a. |
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n.a. |
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$ |
206,953 |
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n.a. |
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n.a. |
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$ |
206,953 |
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$ |
77,551 |
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$ |
16,217 |
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$ |
6,415,878 |
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| (1) |
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Non-derivative assets represent the drawn outstanding balance of Loans and Customers’ liability under acceptances and the fair value of Securities. |
| (2) |
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Non-derivative liabilities represent Subordinated debentures, Deposits and Acceptances. |
| (3) |
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The notional amount for cross currency swaps between USD LIBOR and CDOR are presented separately in the Cross currency swaps section of this table. |
| (4) |
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Amounts have been updated from those previously presented to reflect the regulatory developments related to the cessation of CDOR and transition of non-USD LIBOR financial instruments. |
| (5) |
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Includes our exposure to financial instruments referencing interest rates substantially similar to CDOR. |
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| Summary of Undrawn Balances of Loan Commitments |
The following table presents the undrawn balances of loan commitments referencing benchmark interest rates subject to the Reform.
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As at |
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(Millions of Canadian dollars) |
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October 31, 2021 |
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Authorized and committed undrawn commitments |
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$ |
122,437 |
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15,644 |
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$ |
138,081 |
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| (1) |
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Includes our exposure to financial instruments referencing interest rates substantially similar to CDOR. |
| (2) |
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Undrawn commitments exclude amounts related to drawn outstanding balances, which in certain cases may exclude extension options. |
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