v3.22.2.2
Derivative financial instruments and hedging activities (Tables)
 12 Months Ended
Oct. 31, 2022
Statement [Line Items]  
Notional Amount of Derivatives by Term to Maturity (Absolute Amounts)
Notional amount of derivatives by term to maturity (absolute amounts)
(1)
 
    
As at October 31, 2022
  
   
Term to maturity
              
             
(Millions of Canadian dollars)
  
Within
1 year
    
1 through
5 years
    
Over
5 years
    
Total
    
Trading
    
Other than
Trading
  
Over-the-counter
contracts
                                                
Interest rate contracts
                                                
Forward rate agreements
  
$
763,398
 
  
$
44,188
 
  
$
353
 
  
$
807,939
 
  
$
806,576
 
  
$
1,363
 
Swaps
  
 
4,994,006
 
  
 
6,934,996
 
  
 
4,781,148
 
  
 
16,710,150
 
  
 
16,001,414
 
  
 
708,736
 
Options purchased
  
 
100,504
 
  
 
577,780
 
  
 
151,084
 
  
 
829,368
 
  
 
829,368
 
  
 
–
 
Options written
  
 
108,770
 
  
 
556,652
 
  
 
182,841
 
  
 
848,263
 
  
 
848,263
 
  
 
–
 
Foreign exchange contracts
                                                
Forward contracts
  
 
2,187,124
 
  
 
86,136
 
  
 
2,648
 
  
 
2,275,908
 
  
 
2,230,901
 
  
 
45,007
 
Cross currency swaps
  
 
87,942
 
  
 
67,345
 
  
 
82,659
 
  
 
237,946
 
  
 
233,617
 
  
 
4,329
 
Cross currency interest rate swaps
  
 
518,244
 
  
 
1,572,490
 
  
 
879,541
 
  
 
2,970,275
 
  
 
2,918,063
 
  
 
52,212
 
Options purchased
  
 
58,075
 
  
 
18,061
 
  
 
3,199
 
  
 
79,335
 
  
 
79,335
 
  
 
–
 
Options written
  
 
62,266
 
  
 
16,623
 
  
 
3,274
 
  
 
82,163
 
  
 
82,163
 
  
 
–
 
Credit derivatives
(2)
  
 
1,143
 
  
 
35,621
 
  
 
6,751
 
  
 
43,515
 
  
 
42,785
 
  
 
730
 
Other contracts
(3)
  
 
228,709
 
  
 
93,431
 
  
 
19,392
 
  
 
341,532
 
  
 
327,860
 
  
 
13,672
 
Exchange-traded contracts
                                                
Interest rate contracts
                                                
Futures – long positions
  
 
148,032
 
  
 
50,869
 
  
 
–
 
  
 
198,901
 
  
 
197,251
 
  
 
1,650
 
Futures – short positions
  
 
233,941
 
  
 
98,763
 
  
 
65
 
  
 
332,769
 
  
 
332,320
 
  
 
449
 
Options purchased
  
 
56,353
 
  
 
12,173
 
  
 
–
 
  
 
68,526
 
  
 
68,526
 
  
 
–
 
Options written
  
 
16,394
 
  
 
6,168
 
  
 
–
 
  
 
22,562
 
  
 
22,562
 
  
 
–
 
Foreign exchange contracts
                                                
Futures – long positions
  
 
164
 
  
 
–
 
  
 
–
 
  
 
164
 
  
 
164
 
  
 
–
 
Other contracts
  
 
539,103
 
  
 
89,147
 
  
 
2,094
 
  
 
630,344
 
  
 
630,344
 
  
 
–
 
 
  
$
10,104,168
 
  
$
10,260,443
 
  
$
6,115,049
 
  
$
26,479,660
 
  
$
25,651,512
 
  
$
828,148
 
 
     As at October 31, 2021  
    Term to maturity              
             
(Millions of Canadian dollars)
   Within
1 year		     1 through
5 years		     Over
5 years		     Total     Trading     Other than
Trading		  
Over-the-counter
contracts
                                                
Interest rate contracts
                                                
Forward rate agreements
   $ 866,704     $ 161,835     $ 158     $ 1,028,697     $ 1,015,263     $ 13,434  
Swaps
     3,936,638       6,559,032       4,268,243       14,763,913       14,259,757       504,156  
Options purchased
     266,798       312,149       185,547       764,494       764,494       –  
Options written
     271,000       309,540       203,665       784,205       784,205       –  
Foreign exchange contracts
                                                
Forward contracts
     1,730,712       56,335       2,491       1,789,538       1,753,075       36,463  
Cross currency swaps
     82,316       57,968       72,864       213,148       204,789       8,359  
Cross currency interest rate swaps
     439,169       1,193,669       776,062       2,408,900       2,376,225       32,675  
Options purchased
     46,060       16,097       3,059       65,216       65,216       –  
Options written
     53,342       16,122       3,060       72,524       72,524       –  
Credit derivatives
(2)
     1,027       35,759       6,125       42,911       42,428       483  
Other contracts
(3)
     218,270       98,850       20,757       337,877       325,226       12,651  
Exchange-traded contracts
                                                
Interest rate contracts
                                                
Futures – long positions
     110,285       148,262       333       258,880       256,020       2,860  
Futures – short positions
     173,039       97,364       126       270,529       270,129       400  
Options purchased
     28,071       15,250       –       43,321       43,321       –  
Options written
     22,272       1,300       –       23,572       23,572       –  
Foreign exchange contracts
                                                
Futures – long positions
     129       –       –       129       129       –  
Other contracts
     391,339       84,135       1,175       476,649       476,649       –  
 
   $   8,637,171     $   9,163,667     $   5,543,665     $   23,344,503     $   22,733,022     $   611,481  
 
(1)   The derivative notional amounts are determined using the standardized approach for measuring counterparty credit risk
(SA-CCR)
in accordance with the Capital Adequacy Requirements (CAR).
(2)   Credit derivatives with a notional value of $
1
billion (October 31, 2021 – $1 billion) are economic hedges. Trading credit derivatives comprise protection purchased of $
26
 
billion (October 31, 2021 – $25 billion) and protection sold of $
17
billion (October 31, 2021 – $17 billion).
(3)   Other contracts exclude loan
 
un
derwriting commitm
ents
 of $
6
billion (October 31, 2021 – $9 billion), which are not classified as derivatives under CAR guidelines.
Summary of Fair Value of Derivative Instruments
Fair value of derivative instruments
(1)
 
  
 
       As at
 
 
 
October 31, 2022
 
 
 
 
October 31, 2021
 
           
(Millions of Canadian dollars)
 
Positive
 
 
Negative
 
 
  
 
Positive
 
 
Negative
 
Held or issued for trading purposes
 
      
 
      
 
  
 
      
 
      
Interest rate contracts
 
      
 
      
 
  
 
      
 
      
           
Forward rate agreements
  
$
77
 
  
$
25
 
       $ 10     $ 11  
Swaps
  
 
25,690
 
  
 
21,608
 
         28,400       23,136  
Options purchased
  
 
12,056
 
  
 
–
 
         4,580       –  
Options written
  
 
–
 
  
 
12,201
 
  
 
     –       5,258  
 
  
 
37,823
 
  
 
33,834
 
  
 
     32,990       28,405  
Foreign exchange contracts
                                    
Forward contracts
  
 
37,734
 
  
 
37,631
 
         11,404       11,515  
Cross currency swaps
  
 
8,680
 
  
 
9,087
 
         4,469       4,929  
Cross currency interest rate swaps
  
 
49,758
 
  
 
38,230
 
         23,208       22,382  
Options purchased
  
 
2,623
 
  
 
–
 
         1,021       –  
Options written
  
 
–
 
  
 
2,571
 
  
 
     –       978  
 
  
 
98,795
 
  
 
87,519
 
  
 
     40,102       39,804  
Credit derivatives
  
 
388
 
  
 
125
 
         34       115  
Other contracts
  
 
18,474
 
  
 
21,084
 
  
 
     20,827       21,253  
 
  
 
155,480
 
  
 
142,562
 
  
 
     93,953       89,577  
Held or issued for other-than-trading purposes
                                    
Interest rate contracts
                                    
Swaps
  
 
2,244
 
  
 
6,880
 
  
 
     1,187       1,116  
 
  
 
2,244
 
  
 
6,880
 
  
 
     1,187       1,116  
Foreign exchange contracts
                                    
Forward contracts
  
 
268
 
  
 
237
 
         305       260  
Cross currency swaps
  
 
–
 
  
 
22
 
         32       –  
Cross currency interest rate swaps
  
 
374
 
  
 
6,677
 
  
 
     859       447  
 
  
 
642
 
  
 
6,936
 
  
 
     1,196       707  
Credit derivatives
  
 
–
 
  
 
–
           –       5  
Other contracts
  
 
313
 
  
 
273
 
  
 
     329       321  
 
  
 
3,199
 
  
 
14,089
 
  
 
     2,712       2,149  
Total gross fair values before:
  
 
158,679
 
  
 
156,651
 
         96,665       91,726  
Valuation adjustments determined on a pooled basis
  
 
(2,055
)
  
 
(975
)
         (810 )      27  
Impact of netting agreements that qualify for balance sheet offset
  
 
(2,185
)
  
 
(2,185
)
  
 
     (314 )      (314 ) 
 
  
$
   154,439
 
  
$
  153,491
 
  
 
   $ 95,541     $ 91,439  
 
(1)   The fair value reflects the impact of the election to characterize the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.
Fair Value of Derivative Instruments by Term to Maturity
Fair value of derivative instruments by term to maturity
(1)
 
  
 
        As at
 
 
 
October 31, 2022
 
 
 
 
October 31, 2021
 
(Millions of Canadian dollars)
 
  Less than
1 year
 
 
1 through
5 years
 
 
Over
5 years
 
 
Total
 
 
  
 
Less than
1 year
 
 
1 through
5 years
 
 
Over
5 years
 
 
Total
 
Derivative assets
  
$
  56,050
 
  
 
56,792
 
  
 
41,597
 
  
$
   154,439
 
       $   27,771       28,029       39,741     $   95,541  
Derivative liabilities
  
 
58,504
 
  
 
54,361
 
  
 
40,626
 
  
 
153,491
 
  
 
     26,766       27,938       36,735       91,439  
 
(1)
 
The fair value reflects the impact of the election to characterize the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.
Disclosure of detailed information about hedging items
Interest rate benchmark reform
(1)
We use interest rate contracts in fair value hedges and cash flow hedges to manage our exposure to interest rate risk of our existing and/or forecast assets and liabilities. We also use foreign denominated deposit liabilities in net investment hedges to manage the foreign exchange risk arising from our investments in foreign operations. The hedging instruments designated to manage these risks reference IBORs in multiple jurisdictions and will be affected by the Reform as the markets transition to ABRs as discussed in Note 2.
The following table presents the notional or principal amount of our hedging instruments which reference IBORs that will be affected by the Reform as discussed in Note 2. The notional or principal amounts of our hedging instruments also approximates the extent of the risk exposure we manage through hedging relationships:
 
      As at      
    
October 31, 2022
           October 31, 2021  
       
(Millions of Canadian dollars)
   
Notional/Principal
amounts
           Notional/Principal
amounts		  
Interest rate contracts
                      
USD LIBOR
   
$
40,208
 
        $ 38,730  
GBP LIBOR
   
 
–
 
          290  
CDOR
   
 
114,159
 
          76,931  
Total Return Swaps
                      
CDOR
   
 
801
 
          390  
Non-derivative
instruments
                      
USD LIBOR
   
 
237
 
  
 
      215  
 
   
$
155,405
 
  
 
    $ 116,556  
 
(1)   Excludes interest rate contracts and
non-derivative
instruments which reference rates in multi-rate jurisdictions, including EURO Interbank Offered Rate and Australian Bank Bill Swap Rate (BBSW).
Summary of Derivative-related Credit Risk
Derivative-related credit
risk
(1)
 
  
 
As at   
 
 
 
October 31, 2022
 
 
 
 
  
October 31, 2021
 
               
(Millions of Canadian dollars)
 
Replacement
cost
 
  
Credit
equivalent
amount
 
  
Risk-weighted

equivalent 
(2)
 
 
  
 
  
Replacement
cost
 
  
Credit
equivalent
amount
 
  
Risk-weighted

equivalent 
(2)
 
Over-the-counter
contracts
                          
 
      
  
      
  
      
  
      
Interest rate contracts
                          
 
      
  
      
  
      
  
      
Forward rate agreements
  
$
46
 
   
$
76
 
   
$
5
 
 
      
  
 $ 9
 
  
 $ 64
 
  
 $ 20
 
Swaps
  
 
9,699
 
   
 
21,698
 
   
 
5,187
 
 
      
  
   4,519
 
  
   16,203
 
  
   4,569
 
Options purchased
  
 
108
 
   
 
426
 
   
 
119
 
 
      
  
   113
 
  
   403
 
  
   187
 
Options written
  
 
15
 
   
 
543
 
   
 
164
 
 
      
  
   23
 
  
   415
 
  
   141
 
Foreign exchange contracts
                          
 
      
  
      
  
      
  
      
Forward contracts
  
 
8,772
 
   
 
29,565
 
   
 
5,940
 
 
      
  
   3,085
 
  
   19,097
 
  
   4,232
 
Swaps
  
 
6,072
 
   
 
22,188
 
   
 
4,556
 
 
      
  
   2,621
 
  
   16,484
 
  
   4,092
 
Options purchased
  
 
536
 
   
 
1,111
 
   
 
340
 
 
      
  
   177
 
  
   510
 
  
   145
 
Options written
  
 
28
 
   
 
313
 
   
 
86
 
 
      
  
   2
 
  
   196
 
  
   43
 
Credit derivatives
  
 
299
 
   
 
766
 
   
 
114
 
 
      
  
   913
 
  
   2,234
 
  
   213
 
Other contracts
  
 
5,196
 
   
 
20,457
 
   
 
7,520
 
 
      
  
   7,668
 
  
   26,567
 
  
   10,480
 
Exchange-traded contracts
  
 
11,098
 
   
 
19,870
 
   
 
397
 
 
 
 
 
  
   1,814
 
  
   6,218
 
  
   124
 
 
  
$
41,869
 
   
$
117,013
 
   
$
24,428
 
 
 
 
 
  
 $ 20,944
 
  
 $   88,391
 
  
 $ 24,246
 
 
(1)   The amounts presented are net of master netting agreements in accordance with CAR guidelines.
(2)   The risk-weighted balances are calculated in accordance with CAR guidelines and exclude CVA of $16
billion
 
(October 31, 2021 – $18 billion).
Summary of Replacement Cost of Derivative Instruments by Risk Rating and by Counterparty Type
Replacement cost of derivative instruments by risk rating and by counterparty type
 
 
 
 
 
As at October 31, 2022
 
 
 
Risk rating
(1)
 
 
 
 
 
Counterparty type
(2)
 
 
 
 
(Millions of Canadian dollars)
 
AAA, AA
 
 
A
 
 
BBB
 
 
BB or lower
 
 
Total
 
 
Banks
 
 
OECD
governments
 
 
Other
 
 
Total
 
Gross positive fair values
  
$
  39,001
 
  
$
  72,983
 
  
$
29,690
 
  
$
17,005
 
  
$
  158,679
 
  
$
  73,616
 
  
$
22,727
 
  
$
  62,336
 
  
$
  158,679
 
Impact of master netting agreements and applicable margins
  
 
21,552
    
 
62,614
    
 
21,818
    
 
10,826
    
 
116,810
 
  
 
71,582
    
 
22,597
    
 
22,631
    
 
116,810
 
Replacement cost (after netting agreements)
  
$
17,449
    
$
10,369
    
$
7,872
    
$
6,179
    
$
41,869
 
  
$
2,034
    
$
130
    
$
39,705
    
$
41,869
 
                                                                         
   
   
 
As at October 31, 2021
  
    Risk rating
(1)
           Counterparty type
(2)
        
                   
(Millions of Canadian dollars)
   AAA, AA     A     BBB     BB or lower     Total     Banks     OECD
governments		     Other     Total  
Gross positive fair values
   $   22,801     $   37,938     $ 16,333     $ 19,593     $   96,665     $   42,361     $ 15,964     $   38,340     $   96,665  
Impact of master netting agreements and applicable margins
     20,545       33,257       12,050       9,869       75,721       41,554       15,731       18,436       75,721  
Replacement cost (after netting agreements)
   $ 2,256     $ 4,681     $ 4,283    
$

 9,724     $ 20,944     $ 807     $ 233     $ 19,904     $ 20,944  
 
(1)   Our internal risk ratings of AAA, AA, A and BBB represent investment grade ratings and ratings of BB or lower represent
non-investment
grade ratings, as outlined in the internal ratings maps in the Credit risk section of Management’s Discussion and Analysis.
(2)   Counterparty type is defined in accordance with CAR guidelines.
Summary of Fair Values of Derivative and Non-derivative Instruments Categorized by Hedging Relationships
Derivatives and non-derivative instruments
(1)
 
        As at   
   
October 31, 2022
         October 31, 2021  
   
Designated as hedging instruments
in hedging relationships
    
Not designated
in a hedging
relationship
         Designated as hedging instruments
in hedging relationships		    
Not designated
in a hedging
relationship
  
(Millions of Canadian dollars)  
Fair value
    
Cash flow
    
Net
investment
          Fair value     Cash flow    
Net
investment
  
Assets
                                                                    
Derivative instruments
  
$
247
 
  
$
57
 
  
$
36
 
  
$
154,099
 
       $ 66     $ 9     $ 98     $ 95,368  
Liabilities
                                                                    
Derivative instruments
  
 
27
 
  
 
–
 
  
 
126
 
  
 
153,338
 
         131       20       18       91,270  
Non-derivative
instruments
  
 
–
 
  
 
–
 
  
 
25,798
 
  
 
n.a.
 
         –       –       27,157       n.a.  
 
(1)   The fair value reflects the impact of the election to characterize the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.
n.a.   not applicable
Summary of Items Designated as Hedging Instruments
The following tables present the details of the hedged items categorized by their hedging relationships:
Fair value hedges – assets and liabilities designated as hedged items

 
  
 
As at and for the year ended October 31, 2022
 
 
 
Carrying amount
 
 
Accumulated amount of fair
value adjustments on the
hedged item included in the
carrying amount
 
 
  
 
(Millions of Canadian dollars)
 
Assets
 
 
Liabilities
 
 
Assets
 
 
Liabilities
 
 
Balance sheet items:
 
Changes in fair
values used for
calculating hedge
ineffectiveness
 
Interest rate risk
 
 
 
 
 
 
             
Fixed rate assets
(1)
  
$
52,216
 
  
$
–
 
  
$
(3,285
) 
  
$
–
 
  
Securities – Investment, net of
applicable allowance; Loans – Retail;
Loans – Wholesale
  
$
(3,695
) 
Fixed rate liabilities
(1)
  
 
–
 
  
 
86,738
 
  
 
–
 
  
 
(5,924
) 
  
Deposits – Business and government;
Subordinated debentures
 
Deposits – Bank
  
 
5,742
 
 
     As at and for the year ended October 31, 2021  
    Carrying amount    
Accumulated amount of fair
value adjustments on the
hedged item included in the
carrying amount
         
             
(Millions of Canadian dollars)
   Assets     Liabilities     Assets     Liabilities     Balance sheet items:   Changes in fair
values used for
calculating hedge
ineffectiveness		  
Interest rate risk
                                            
Fixed rate assets
(1)
   $ 42,810     $ –     $ (78 )    $ –    
Securities – Investment, net of
applicable allowance; Loans – Retail;
Loans – Wholesale
   $ (1,027 ) 
Fixed rate liabilities
(1)
     –       65,355       –       (59 )    Deposits – Business and government;
Subordinated debentures		     1,842  
 
(1)   As at October 31, 2022, the accumulated amount of fair value hedge adjustments remaining in the Balance Sheet for hedged items that have ceased to be adjusted for hedging gains and losses is a loss of $486 million for fixed-rate assets and a loss of $25 million for fixed-rate liabilities (October 31, 2021 – gain of $125 million and loss of $62 million, respectively).
Cash flow and net investment hedges – assets and liabilities designated as hedged items
 
  
 
Balance sheet items:
 
Changes in fair
values used for
calculating hedge
ineffectiveness
 
 
Cash flow hedge/foreign
currency translation reserve
 
(Millions of Canadian dollars)
 
Continuing hedges
 
 
Discontinued
hedges
 
Cash flow hedges
 
  
 
      
 
      
 
      
Interest rate risk
 
  
 
      
 
      
 
      
Variable rate assets
  
Securities – Investment, net of
applicable allowance; Loans – Retail;
  
$
4,720
 
  
$
(1,777
) 
  
$
(2,668
) 
 
 
Interest bearing deposits with banks;
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset purchased under reverse
 
 
 
 
 
 
 
 
 
 
 
 
 
 
repurchase agreements and securities borrowed
 
 
 
 
 
 
 
 
 
 
 
 
Variable rate liabilities
  
Deposits – Business and government;
Deposits – Personal;
  
 
(6,895
) 
  
 
5,471
 
  
 
2,231
 
   
Obligations related to assets sold under
                        
 
repurchase agreements and securities loaned
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange risk
                            
Fixed rate assets
  
Securities – Investment, net of
applicable allowance
  
 
(17
) 
  
 
7
 
  
 
–
 
Net investment hedges
                            
Foreign exchange risk
                            
Foreign subsidiaries
  
n.a.
  
 
1,927
 
  
 
(5,936
) 
  
 
(421
) 
 
  
 
Balance sheet items:
 
Changes in fair
values used for
calculating hedge
ineffectiveness
 
 
Cash flow hedge/foreign
currency translation reserve
 
(Millions of Canadian dollars)
 
Continuing hedges
 
 
Discontinued
hedges
 
Cash flow hedges
 
  
 
      
 
      
 
      
Interest rate risk
 
  
 
      
 
      
 
      
Variable rate assets
   Securities – Investment, net of applicable allowance; Loans –
Retail		   $ 614      $ (402 )    $ 206  
Variable rate liabilities
   Deposits – Business and government;
Deposits – Personal		     (2,641 )       1,310       (399 ) 
Foreign exchange risk
                             
Fixed rate assets
   Securities – Investment, net of applicable allowance; Loans – Retail     (98 )       1       –  
Net investment hedges
                             
Foreign exchange risk
                             
Foreign subsidiaries
   n.a.     (2,331 )       (4,032 )      (421 ) 
 
n.a.   not applicable
Effectiveness of designated hedging relationships
 
    
For the year ended October 31, 2022
  
         
(Millions of Canadian dollars)
  
Change in fair value
of hedging
instrument
    
Hedge
ineffectiveness
recognized in
income
(1)
    
Changes in the value of
the hedging instrument
recognized in OCI
    
Amount reclassified
from hedge reserves
to income
  
Fair value hedges
                                
Interest rate risk
                                
Interest rate contracts – fixed rate assets
  
$
3,650
 
  
$
(45
) 
  
 
n.a.
 
  
 
n.a.
 
Interest rate contracts – fixed rate liabilities
  
 
(5,713
) 
  
 
29
 
  
 
n.a.
 
  
 
n.a.
 
Cash flow hedges
                                
Interest rate risk
                                
Interest rate contracts – variable rate assets
  
 
(4,698
) 
  
 
(36
) 
  
$
(4,432
) 
  
$
(185
) 
Interest rate contracts – variable rate liabilities
  
 
6,713
 
  
 
37
 
  
 
6,673
 
  
 
(118
) 
Foreign exchange risk
                                
Cross currency swap – fixed rate assets
  
 
17
 
  
 
–
 
  
 
23
 
  
 
17
 
Net investment hedges
                                
Foreign exchange risk
                                
Foreign currency liabilities
  
 
(1,771
) 
  
 
(3
) 
  
 
(1,768
) 
  
 
–
 
Forward contracts
  
 
(159
) 
  
 
–
 
  
 
(159
) 
  
 
(23
) 
     For the year ended October 31, 2021  
         
(Millions of Canadian dollars)
  
Change in fair value
of hedging
instrument
    
Hedge
ineffectiveness
recognized in
income
(1)
    
Changes in the value of
the hedging instrument
recognized in OCI
    
Amount reclassified
from hedge reserves
to income
  
Fair value hedges
                                
Interest rate risk
                                
Interest rate contracts – fixed rate assets
   $ 929     $ (98 )      n.a.       n.a.  
Interest rate contracts – fixed rate liabilities
     (1,802 )      40       n.a.       n.a.  
Cash flow hedges
                                
Interest rate risk
                                
Interest rate contracts – variable rate assets
     (631 )      (17 )    $ (497 )    $ 279  
Interest rate contracts – variable rate liabilities
     2,579       9       1,949       (1,024 ) 
Foreign exchange risk
                                
Cross currency swap – fixed rate assets
     98       –       98       103  
Net investment hedges
                                
Foreign exchange risk
                                
Foreign currency liabilities
     1,882       –       1,882       –  
Forward contracts
     449       –       449       1  
 
(1)   Hedge ineffectiveness recognized in income included losses of $19 million that are excluded from the assessment of hedge effectiveness and are offset by economic hedges (October 31, 2021 – $101 million).
n.a.   not applicable
Reconciliation of Components of Equity by Hedging Designation
Reconciliation of components of equity
The following table provides a reconciliation by risk category of each component of equity and an analysis of other comprehensive income relating to hedge accounting:
 
    
For the year ended October 31, 2022
         
For the year ended October 31, 2021
  
           
(Millions of Canadian dollars)
  
Cash flow hedge
reserve
    
Foreign currency
translation reserve
         
Cash flow hedge
reserve
    
Foreign currency
translation reserve
  
Balance at the beginning of the year
  
$
566
 
  
$
2,055
 
       $ (1,079 )    $ 4,632  
Cash flow hedges
                                    
Effective portion of changes in fair value:
                                    
Interest rate risk
  
 
2,241
 
                 1,452          
Foreign exchange risk
  
 
23
 
                 100          
Equity price risk
  
 
(1
) 
                 306          
Net amount reclassified to profit or loss:
                                    
Ongoing hedges:
                                    
Interest rate risk
  
 
(227
) 
                 505          
Foreign exchange risk
  
 
(17
) 
                 (105 )         
Equity price risk
  
 
(23
) 
                 (271 )         
De-designated
hedges:
                                    
Interest rate risk
  
 
530
 
                 240          
H
edge
s
of net investment in foreign operations
                                    
Foreign exchange denominated debt
          
 
(1,768
) 
                 1,882  
Forward foreign exchange contracts
          
 
(159
) 
                 449  
Foreign currency translation differences for foreign operations
          
 
5,085
 
                 (4,308 ) 
Reclassification of losses (gains) on foreign currency translation to income
          
 
(18
) 
                 (7 ) 
Reclassification of losses (gains) on net investment hedging activities to income
          
 
23
 
                 (1 ) 
Tax on movements on reserves during the period
  
 
(698
) 
  
 
470
 
  
 
     (582 )      (592 ) 
Balance at the end of the year
  
$
2,394
 
  
$
5,688
 
  
 
   $ 566     $ 2,055  
Fair value hedges [member]  
Statement [Line Items]  
Notional Amount of Derivatives by Term to Maturity and Hedging Instrument Rates
Fair value hedges
 
  
 
As at October 31, 2022
 
 
 
Notional amounts
 
 
 
 
  
Carrying amount
(1)
 
               
(Millions of Canadian dollars, except average rates)
 
Within
1 year
 
  
1 through
5 years
 
  
Over
5 years
 
  
Total
 
 
  
 
  
Assets
 
  
Liabilities
 
Interest rate risk
 
      
  
      
  
      
  
      
 
      
  
      
  
      
Interest rate contracts
 
      
  
      
  
      
  
      
 
      
  
      
  
      
Hedge of fixed rate assets
  
$
9,083
 
   
$
32,173
 
   
$
  15,516
 
   
$
56,772
 
           
$
247
 
   
$
3
 
Hedge of fixed rate liabilities
  
 
13,231
 
   
 
69,419
 
   
 
10,094
 
   
 
92,744
 
           
 
–
 
   
 
24
 
Weighted average fixed interest rate
                                                             
Hedge of fixed rate assets
  
 
1.1%
 
   
 
2.5%
 
   
 
2.8%
 
   
 
2.3%
 
                          
Hedge of fixed rate liabilities
  
 
1.9%
 
   
 
1.8%
 
   
 
2.0%
 
   
 
1.9%
 
  
 
 
 
   
 
 
 
   
 
 
 
               
    
 
  
 
  
  
 
  
  
 
  
  
 
 
  
 
  
  
 
  
  
 
 
 
As at October 31, 2021
 
 
 
Notional amounts
 
 
 
 
  
Carrying amount
(
1)
 
               
(Millions of Canadian dollars, except average rates)
 
Within
1 year
 
  
1 through
5 years
 
  
Over
5 years
 
  
Total
 
 
  
 
  
Assets
 
  
Liabilities
 
Interest rate risk
 
      
  
      
  
      
  
      
 
      
  
      
  
      
Interest rate contracts
 
      
  
      
  
      
  
      
 
      
  
      
  
      
Hedge of fixed rate assets
   $ 10,503      $ 25,008      $ 6,568      $ 42,079              $ 19      $ 116  
Hedge of fixed rate liabilities
     8,939        44,870        11,646        65,455                47        15  
Weighted average fixed interest rate
                                                             
Hedge of fixed rate assets
     0.8%        0.7%        1.9%        0.9%                            
Hedge of fixed rate liabilities
     1.5%        1.2%        1.5%        1.3%    
 
 
 
   
 
 
 
   
 
 
 
 
(1)   The carrying value reflects the impact of the election to characterize the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.
Cash flow hedges [member]  
Statement [Line Items]  
Notional Amount of Derivatives by Term to Maturity and Hedging Instrument Rates
Cash flow hedges
 
  
 
As at October 31, 2022
 
 
 
Notional amounts
 
 
 
  
Carrying amount
(1)
 
               
(Millions of Canadian dollars, except average rates)
 
Within
1 year
 
  
1 through
5 years
 
  
Over
5 years
 
  
Total
 
 
  
  
Assets
 
  
Liabilities
 
Interest rate risk
 
      
  
      
  
      
  
      
 
  
  
      
  
      
Interest rate contracts
 
      
  
      
  
      
  
      
 
  
  
      
  
      
Hedge of variable rate assets
  
$
50,436
 
   
$
74,726
 
   
$
1,023
 
   
$
  126,185
 
       
$
–
 
   
$
–
 
Hedge of variable rate liabilities
  
 
6,221
 
   
 
42,830
 
   
 
24,024
 
   
 
73,075
 
       
 
–
 
   
 
–
 
Weighted average fixed interest rate
                                                         
Hedge of variable rate assets
  
 
3.3%
 
   
 
2.8%
 
   
 
2.5%
 
   
 
3.0%
 
                      
Hedge of variable rate liabilities
  
 
2.0%
 
   
 
1.5%
 
   
 
2.0%
 
   
 
1.7%
 
  
 
   
 
 
 
   
 
 
 
Foreign exchange risk
                                                         
Cross currency swaps
  
$
–
 
   
$
314
 
   
$
–
 
   
$
314
 
       
$
32
 
   
$
–
 
Weighted average
CAD-EUR
exchange rate
  
 
n.a.
 
   
 
1.44
 
   
 
n.a.
 
   
 
1.44
 
  
 
   
 
 
 
   
 
 
 
               
    
 
  
 
  
  
 
  
  
 
  
  
 
 
  
  
  
 
  
  
 
 
 
As at October 31, 2021
 
 
 
Notional amounts
 
 
 
  
Carrying amount
(1)
 
               
(Millions of Canadian dollars, except average rates)
 
Within
1 year
 
  
1 through
5 years
 
  
Over
5 years
 
  
Total
 
 
  
  
Assets
 
  
Liabilities
 
Interest rate risk
 
      
  
      
  
      
  
      
 
  
  
      
  
      
Interest rate contracts
 
      
  
      
  
      
  
      
 
  
  
      
  
      
Hedge of variable rate assets
   $ 57,304      $ 28,707      $ 4,112      $ 90,123          $ –      $ –  
Hedge of variable rate liabilities
     16,659        55,556        13,784        85,999            –        –  
Weighted average fixed interest rate
                                                         
Hedge of variable rate assets
     0.5%        1.0%        1.2%        0.7%                        
Hedge of variable rate liabilities
     0.8%        1.2%        1.5%        1.2%    
 
   
 
 
 
   
 
 
 
Foreign exchange risk
                                                         
Cross currency swaps
   $ –      $ 183      $ –      $ 183          $ 9      $ –  
Weighted average
CAD-EUR
exchange rate
     n.a.        1.52        n.a.        1.52    
 
   
 
 
 
   
 
 
 
 
(1)
 
The carrying value reflects the impact of the election to characterize the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.
n.a.
 
not applicable
Net Investment Hedges [Member]  
Statement [Line Items]  
Notional Amount of Derivatives by Term to Maturity and Hedging Instrument Rates
Net investment hedges
 
  
 
As at October 31, 2022
 
 
 
Notional/Principal
 
 
 
  
Carrying amount
 
               
(Millions of Canadian dollars, except average rates)
 
Within
1 year
 
  
1 through
5 years
 
  
Over
5 years
 
  
Total
 
 
  
  
Assets
 
  
Liabilities
 
Foreign exchange risk
 
      
  
      
  
      
  
      
 
  
  
      
  
      
Foreign currency liabilities
  
$
5,462
 
   
$
20,851
 
   
$
1,025
 
   
$
27,338
 
       
 
n.a.
 
   
$
25,798
 
Weighted average
CAD-USD
exchange rate
  
 
1.31
 
   
 
1.28
 
   
 
1.28
 
   
 
1.29
 
                      
Weighted average
CAD-EUR
exchange rate
  
 
–
 
   
 
1.51
 
   
 
1.48
 
   
 
1.51
 
                      
Weighted average
CAD-GBP
exchange rate
  
 
–
 
   
 
1.71
 
   
 
–
 
   
 
1.71
 
                      
Forward contracts
  
$
6,089
 
   
$
–
 
   
$
–
 
   
$
6,089
 
       
$
    36
 
   
$
126
 
Weighted average
CAD-USD
exchange rate
  
 
1.34
 
   
 
n.a.
     
 
n.a.
     
 
1.34
 
                      
Weighted average
CAD-EUR
exchange rate
  
 
1.36
 
   
 
n.a.
     
 
n.a.
     
 
1.36
 
                      
Weighted average
CAD-GBP
exchange rate
  
 
1.55
 
   
 
n.a.
     
 
n.a.
     
 
1.55
 
  
 
   
 
 
 
   
 
 
 
               
    
 
  
 
  
  
 
  
  
 
  
  
 
 
  
  
  
 
  
  
 
 
 
As at October 31, 2021
 
 
 
Notional/Principal
 
 
 
  
Carrying amount
 
               
(Millions of Canadian dollars, except average rates)
 
Within
1 year
 
  
1 through
5 years
 
  
Over
5 years
 
  
Total
 
 
  
  
Assets
 
  
Liabilities
 
Foreign exchange risk
 
      
  
      
  
      
  
      
 
  
  
      
  
      
Foreign currency liabilities
   $     433      $   26,294      $   401      $   27,128            n.a.      $ 27,157  
Weighted average
CAD-USD
exchange rate
     1.32        1.29        1.30        1.29                        
Weighted average
CAD-EUR
exchange rate
     –        1.51        1.48        1.51                        
Weighted average
CAD-GBP
exchange rate
     –        1.72        –        1.72                        
Forward contracts
   $ 4,951      $ –      $ –      $ 4,951          $     98      $ 18  
Weighted average
CAD-USD
exchange rate
     1.26        n.a.        n.a.        1.26                        
Weighted average
CAD-EUR
exchange rate
     1.45        n.a.        n.a.        1.45                        
Weighted average
CAD-GBP
exchange rate
     1.73        n.a.        n.a.        1.73    
 
   
 
 
 
   
 
 
 
 
n.a.   not applicable