Derivative financial instruments and hedging activities

12 Months Ended

Oct. 31, 2024

Derivative financial instruments and hedging activities

Note 9 Derivative financial instruments and hedging activities

Derivative instruments are categorized as either financial or non-financial derivatives. Financial derivatives are financial contracts whose value is derived from an underlying interest rate, foreign exchange rate, credit risk, and equity or equity index. Non-financial derivatives are contracts whose value is derived from a precious metal, commodity instrument or index. The notional amount of derivatives represents the contract amount used as a reference point to calculate payments. Notional amounts are generally not exchanged by counterparties, and do not reflect our EAD.

Financial derivatives

Forwards and futures

Forward contracts are non-standardized agreements that are transacted between counterparties in the OTC market, whereas futures are standardized contracts with respect to amounts and settlement dates, and are traded on regular futures exchanges. Examples of forwards and futures are described below.

Interest rate forwards (forward rate agreements) and futures are contractual obligations to buy or sell an interest-rate sensitive financial instrument on a predetermined future date at a specified price.

Foreign exchange forwards and futures are contractual obligations to exchange one currency for another at a specified price for settlement at a predetermined future date.

Equity forwards and futures are contractual obligations to buy or sell at a fixed value (the specified price) of an equity index, a basket of stocks or a single stock at a predetermined future date.

Swaps

Swaps are OTC contracts in which two counterparties exchange a series of cash flows based on agreed upon rates applied to a notional amount. Examples of swap agreements are described below.

Interest rate swaps are agreements where two counterparties exchange a series of payments based on different interest rates applied to a notional amount in a single currency. Certain interest rate swaps are transacted and settled through clearing houses which act as central counterparties. Cross currency swaps involve the exchange of fixed payments in one currency for the receipt of fixed payments in another currency. Cross currency interest rate swaps involve the exchange of both interest and notional amounts in two different currencies.

Equity swaps are contracts in which one counterparty agrees to pay or receive from the other cash flows based on changes in the value of an equity index, a basket of stocks or a single stock.

Options

Options are contractual agreements under which the seller (writer) grants the purchaser the right, but not the obligation, either to buy (call option) or sell (put option) a security, exchange rate, interest rate, or other financial instrument or commodity at a specified price, at or by a predetermined future date. The seller (writer) of an option can also settle the contract by paying the cash settlement value of the purchaser’s right. The seller (writer) receives a premium from the purchaser for this right. The various option agreements that we enter into include but are not limited to interest rate options, foreign currency options, equity options and index options.

Credit derivatives

Credit derivatives are OTC contracts that transfer credit risk related to an underlying financial instrument (referenced asset) from one counterparty to another. Certain credit default swaps are transacted and settled through clearing houses which act as central counterparties. Credit derivatives include credit default swaps, credit default baskets and total return swaps.

Credit default swaps provide protection against the decline in the value of the referenced asset as a result of specified credit events such as default or bankruptcy. They are similar in structure to an option, whereby the purchaser pays a premium to the seller of the credit default swap in return for payment contingent on a credit event affecting the referenced asset.

Credit default baskets are similar to credit default swaps except that the underlying referenced financial instrument is a group of assets instead of a single asset.

Total return swaps are contracts where one counterparty agrees to pay or receive from the other cash amounts based on changes in the value of a referenced asset or group of assets, including any returns such as interest earned on these assets, in exchange for amounts that are based on prevailing market funding rates.

Other derivative products

Other derivative products include stable value derivatives.

Non-financial derivatives

Other contracts also include non-financial derivative products such as precious metal and commodity derivative contracts in both the OTC and exchange markets.

Derivatives issued for trading purposes

Most of our derivative transactions relate to client-driven sales and trading activities, and associated market risk hedging. Sales activities include the structuring and marketing of derivative products to clients, enabling them to modify or reduce risks. Trading involves market-making, positioning and arbitrage activities. Market-making involves quoting bid and offer prices to other market participants with the intention of generating revenue based on spread and volume. Positioning involves the active management of derivative transactions with the expectation of profiting from favourable movements in prices, rates, or indices. Arbitrage activities involve identifying and profiting from price differentials between markets and product types.

Derivatives issued for other-than-trading purposes

We also use derivatives for purposes other than trading, primarily for hedging, in conjunction with the management of interest rate, credit, equity and foreign exchange risk related to our funding, lending, investment activities and asset/liability management.

Interest rate swaps are used to manage our exposure to interest rate risk by modifying the repricing or maturity characteristics of existing and/or forecasted assets and liabilities, including funding and investment activities. Purchased options are used to hedge redeemable deposits and other options embedded in consumer products. We manage our exposure to foreign currency risk with cross currency swaps and foreign exchange forward contracts. We predominantly use credit derivatives to manage our credit exposures. We mitigate industry sector concentrations and single-name exposures related to our credit portfolio by purchasing credit derivatives to transfer credit risk to third parties.

Certain derivatives and cash instruments are specifically designated and qualify for hedge accounting. We also enter into derivative transactions to economically hedge certain exposures that do not otherwise qualify for hedge accounting, or where hedge accounting is not considered economically feasible to implement.

Notional amount of derivatives by term to maturity (absolute amounts)

(1)


	As at October 31, 2024
	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	$	1,097,367	$	672,436	$	7,017	$	1,776,820	$	1,776,820	$	–
Swaps		6,181,369		8,714,891		5,597,447		20,493,707		19,291,405		1,202,302
Options purchased		206,649		407,730		155,843		770,222		770,181		41
Options written		217,379		384,448		179,408		781,235		781,113		122
Foreign exchange contracts
Forward contracts		2,939,019		136,442		7,465		3,082,926		2,966,914		116,012
Cross currency swaps		23,204		108,912		75,843		207,959		199,481		8,478
Cross currency interest rate swaps		1,298,173		2,544,878		1,380,858		5,223,909		5,168,677		55,232
Options purchased		475,980		75,804		2,015		553,799		553,799		–
Options written		488,878		66,828		983		556,689		556,689		–
Credit derivatives (2)		4,055		135,505		118,732		258,292		257,333		959
Other contracts (3)		389,424		149,475		10,122		549,021		538,604		10,417
Exchange-traded contracts
Interest rate contracts
Futures – long positions		93,985		45,015		56		139,056		139,056		–
Futures – short positions		114,425		64,759		301		179,485		179,244		241
Options purchased		7,075		991		–		8,066		8,066		–
Options written		2,262		14		–		2,276		2,276		–
Foreign exchange contracts
Futures – long positions		1		–		–		1		1		–
Other contracts		367,023		68,132		2,574		437,729		437,729		–
	$	13,906,268	$	13,576,260	$	7,538,664	$	35,021,192	$	33,627,388	$	1,393,804


	As at October 31, 2023
	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	$	1,008,978	$	691,397	$	358	$	1,700,733	$	1,700,733	$	–
Swaps		4,220,675		6,651,849		4,418,165		15,290,689		14,169,938		1,120,751
Options purchased		162,845		420,341		166,275		749,461		749,257		204
Options written		144,138		412,239		179,532		735,909		735,562		347
Foreign exchange contracts
Forward contracts		2,336,565		106,069		4,082		2,446,716		2,363,796		82,920
Cross currency swaps		30,098		88,625		74,538		193,261		189,100		4,161
Cross currency interest rate swaps		972,658		2,055,058		1,141,295		4,169,011		4,107,125		61,886
Options purchased		244,721		73,407		2,663		320,791		320,791		–
Options written		254,534		71,039		2,305		327,878		327,878		–
Credit derivatives (2)		11,709		108,637		114,463		234,809		234,066		743
Other contracts (3)		261,528		140,225		13,088		414,841		401,373		13,468
Exchange-traded contracts
Interest rate contracts
Futures – long positions		103,195		24,283		1		127,479		126,879		600
Futures – short positions		99,792		54,817		1		154,610		154,445		165
Options purchased		12,801		3		–		12,804		12,804		–
Options written		11,206		1,468		–		12,674		12,674		–
Foreign exchange contracts
Futures – long positions		124		–		–		124		124		–
Other contracts		571,970		154,677		4,586		731,233		731,233		–
	$	10,447,537	$	11,054,134	$	6,121,352	$	27,623,023	$	26,337,778	$	1,285,245

(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, 2023 – $1 billion) are economic hedges. Trading credit derivatives comprise protection purchased of $135 billion (October 31, 2023 – $119 billion) and protection sold of $122 billion (October 31, 2023 – $115 billion).

(3)

Other contracts exclude loan underwriting commitments of $3 billion (October 31, 2023 – $2 billion), which are not classified as derivatives under CAR guidelines.

Fair value of derivative instruments

(1)


	As at
	October 31, 2024						October 31, 2023

(Millions of Canadian dollars)	Positive			Negative			Positive			Negative
Held or issued for trading purposes
Interest rate contracts
Forward rate agreements	$	147		$	68		$	76		$	24
Swaps		21,155			16,482			26,320			22,965
Options purchased		5,556			–			11,230			–
Options written		–			6,049			–			11,776
		26,858			22,599			37,626			34,765
Foreign exchange contracts
Forward contracts		26,339			23,758			22,972			22,655
Cross currency swaps		7,316			4,912			7,370			5,815
Cross currency interest rate swaps		60,105			59,733			55,268			46,550
Options purchased		2,407			–			2,623			–
Options written		–			1,800			–			1,790
		96,167			90,203			88,233			76,810
Credit derivatives		270			216			175			176
Other contracts		26,325			46,420			16,319			20,865
		149,620			159,438			142,353			132,616
Held or issued for other-than-trading purposes
Interest rate contracts
Swaps		1,215			3,100			1,907			7,436
		1,215			3,100			1,907			7,436
Foreign exchange contracts
Forward contracts		1,235			682			860			509
Cross currency swaps		207			46			–			–
Cross currency interest rate swaps		874			2,287			555			4,484
		2,316			3,015			1,415			4,993
Credit derivatives		3			2			49			–
Other contracts		79			77			71			109
		3,613			6,194			3,442			12,538
Total gross fair values before:		153,233			165,632			145,795			145,154
Valuation adjustments determined on a pooled basis		(1,053	)		(301	)		(1,801	)		(981	)
Impact of netting agreements that qualify for balance sheet offset		(1,568	)		(1,568	)		(1,544	)		(1,544	)
	$	150,612		$	163,763		$	142,450		$	142,629

(1)

The fair value reflects the impact of characterizing 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

(1)


	As at
	October 31, 2024								October 31, 2023

(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	$	54,660		48,765		47,187	$	150,612	$	46,148		52,165		44,137	$	142,450
Derivative liabilities		67,886		51,170		44,707		163,763		47,707		51,690		43,232		142,629

(1)

The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.

Interest rate benchmark reform

We use interest rate contracts in fair value hedges and cash flow hedges to manage our exposure to interest rate risk from 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 referenced IBORs in multiple jurisdictions and were affected by the Reform as the markets transitioned to ABRs as discussed in Note 2.

The notional amounts of our interest rate contracts and total return swaps which referenced IBORs and were affected by the Reform are no longer material to our financial statements (October 31, 2023 – $

115 billion and $1 billion, respectively).

Derivative-related credit risk

Credit risk from derivative transactions is generated by the potential for the counterparty to default on its contractual obligations when one or more transactions have a positive market value to us. Therefore, derivative-related credit risk is represented by the positive fair value of the instrument and is normally a small fraction of the contract’s notional amount.

We subject our derivative transactions to the same credit approval, limit and monitoring standards that we use for managing other transactions that create credit exposure. This includes evaluating the creditworthiness of counterparties, and managing the size, diversification and maturity structure of the portfolio. Credit utilization for all products is compared with established limits on a continual basis and is subject to a standard exception reporting process. We use a single internal rating system for all credit risk exposure, as outlined in the internal ratings maps in the Credit risk section of Management’s Discussion and Analysis.

Offsetting is a technique that can reduce credit exposure from derivatives and is generally facilitated through the use of master netting agreements and achieved when specific criteria are met in accordance with our accounting policy in Note 2. A master netting agreement provides for a single net settlement of all financial instruments covered by the agreement in the event of default. However, credit risk is reduced only to the extent that our financial obligations to the same counterparty can be set off against obligations of the counterparty to us. We maximize the use of master netting agreements to reduce derivative-related credit exposure. Our overall exposure to credit risk that is reduced through master netting agreements may change substantially following the reporting date as the exposure is affected by each transaction subject to the agreement as well as by changes in underlying market rates. Measurement of our credit exposure arising out of derivative transactions is reduced to reflect the effects of netting in cases where the enforceability of that netting is supported by appropriate legal analysis as documented in our trading credit risk policies.

The use of collateral is another significant credit mitigation technique for managing derivative-related counterparty credit risk. Mark-to-market provisions in our agreements with some counterparties, typically in the form of a Credit Support Annex, provide us with the right to request that the counterparty collateralize the current market value of its derivatives positions when the value exceeds a specified threshold amount.

Replacement cost and credit equivalent amounts are determined using SA-CCR in accordance with the OSFI CAR guidelines. The replacement cost represents the total fair value of all outstanding contracts in a gain position after factoring in the master netting agreements and applicable margins. The credit equivalent amount is defined as the replacement cost plus an additional amount for potential future credit exposure, scaled by a regulatory factor. The risk-weighted equivalent is determined by applying appropriate risk-weights to the credit equivalent amount, including those risk weights reflective of model approval under the internal ratings based approach.

Derivative-related credit risk

(1)


	As at
	October 31, 2024						October 31, 2023

(Millions of Canadian dollars)	Replacement cost		Credit equivalent amount		Risk-weighted equivalent (2), (3)		Replacement cost		Credit equivalent amount		Risk-weighted equivalent (2)
Over-the-counter contracts
Interest rate contracts
Forward rate agreements	$	8	$	231	$	43	$	58	$	94	$	6
Swaps		6,926		17,760		2,747		9,613		24,448		3,721
Options purchased		317		859		135		610		1,547		353
Options written		49		398		104		123		564		152
Foreign exchange contracts
Forward contracts		8,077		33,908		6,693		5,655		27,862		5,611
Swaps		3,915		21,709		2,703		4,261		21,483		4,274
Options purchased		877		2,315		587		841		1,742		383
Options written		117		476		98		95		441		109
Credit derivatives		608		2,336		191		356		1,834		219
Other contracts		1,773		20,981		4,756		1,933		16,002		4,929
Exchange-traded contracts		10,084		19,023		380		7,186		16,191		324
	$	32,751	$	119,996	$	18,437	$	30,731	$	112,208	$	20,081

(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 $18 billion (October 31, 2023 – $13 billion).

(3)

The amounts presented reflect our adoption of the revised market risk and CVA frameworks that came into effect on November 1, 2023.

Replacement cost of derivative instruments by risk rating and by counterparty type



	As at October 31, 2024
	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	$	31,561	$	77,933	$	25,206	$	18,533	$	153,233	$	75,119	$	24,655	$	53,459	$	153,233
Impact of master netting agreements and applicable margins		18,644		67,995		19,046		14,797		120,482		73,763		24,289		22,430		120,482
Replacement cost (after netting agreements)	$	12,917	$	9,938	$	6,160	$	3,736	$	32,751	$	1,356	$	366	$	31,029	$	32,751


	As at October 31, 2023
	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	$	36,224	$	70,010	$	28,956	$	10,605	$	145,795	$	69,841	$	20,268	$	55,686	$	145,795
Impact of master netting agreements and applicable margins		24,025		60,556		22,765		7,718		115,064		68,151		20,237		26,676		115,064
Replacement cost (after netting agreements)	$	12,199	$	9,454	$	6,191	$	2,887	$	30,731	$	1,690	$	31	$	29,010	$	30,731

(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.

Derivatives in hedging relationships

We apply hedge accounting to minimize volatility in earnings and capital caused by changes in interest rates or foreign exchange rates. Interest rate and currency fluctuations will either cause assets and liabilities to appreciate or depreciate in market value or cause variability in forecasted cash flows. When a hedging relationship is effective, gains, losses, revenue and expenses of the hedging instrument will offset the gains, losses, revenue and expenses of the hedged item. Refer to Note 2 for our policies on hedge accounting including presentation of hedge effectiveness and ineffectiveness amounts.

We assess and measure the effectiveness of a hedging relationship based on the change in the fair value or cash flows of the derivative hedging instrument relative to the change in the fair value or cash flows of the hedged item attributable to the hedged risk. When cash instruments are designated as hedges of foreign exchange risks, only changes in their value due to foreign exchange risk are included in the assessment and measurement of hedge effectiveness.

Potential sources of ineffectiveness can be attributed to differences between hedging instruments and hedged items:

•

Mismatches in the terms of hedged items and hedging instruments, for example the frequency and timing of when interest rates are reset and frequency of payment.

•

Difference in the discounting factors between the hedged item and the hedging instrument, taking into consideration the different reset frequency of the hedged item and hedging instrument.

•

Hedging derivatives with a non-zero fair value at inception date of the hedging relationship, resulting in mismatch in terms with the hedged item.

Below is a description of our risk management strategy for each risk exposure that we decide to hedge:

Interest rate risk

We use interest rate contracts to manage our exposure to interest rate risk by modifying the repricing characteristics of existing and/or forecasted assets and liabilities, including funding and investment activities. The swaps are designated in either a fair value hedge or a cash flow hedge. Certain swaps were affected by the Reform as the market transitioned from referencing IBORs to ABRs.

For fair value hedges, we use interest rate contracts to manage the fair value movements of our fixed rate instruments due to changes in benchmark interest. The interest rate swaps are entered into on a one-to-one basis to manage the benchmark interest rate risk, and its terms are critically matched to the specified fixed rate instruments.

We also use interest rate swaps in fair value hedges to manage interest rate risk from residential mortgage assets and funding liabilities. Our exposure from this portfolio changes with the origination of new loans, repayments of existing loans and sale of securitized mortgages. Accordingly, we have adopted dynamic hedging for that portfolio, in which the hedge relationship is rebalanced on a more frequent basis, such as on a bi-weekly or on a monthly basis.

For cash flow hedges, we use interest rate contracts to manage the exposure to cash flow variability of our variable rate instruments as a result of changes in benchmark interest rates. The variable rate instruments and forecast transactions that referenced certain IBORs were affected by the Reform. Whilst some of the interest rate swaps are entered into on a one-to-one basis to manage a specific exposure, other interest rate swaps may be entered into for managing interest rate risks of a portfolio of assets and liabilities.

Foreign exchange risk

We manage our exposure to foreign currency risk with cross currency swaps in a cash flow hedge, and foreign exchange forward contracts in a net investment hedge. Certain cash instruments may also be designated in a net investment hedge, where applicable.

For cash flow hedges, we use cross currency swaps and forward contracts to manage the cash flow variability arising from fluctuations in foreign exchange rates on our issued foreign denominated fixed rate liabilities and highly probable forecasted transactions. The maturity profile and repayment terms of these swaps are matched to those of our foreign denominated exposures to limit our cash flow volatility from changes in foreign exchange rates.

For net investment hedges, we use a combination of foreign exchange forwards and cash instruments, such as foreign denominated deposit liabilities, to manage our foreign exchange risk arising from our investments in foreign operations. Our most significant exposures include USD, GBP and Euro. When hedging net investments in foreign operations using foreign exchange forwards, only the undiscounted spot element of the foreign exchange forward is designated as the hedging instrument. Accordingly, changes in the fair value of the hedging instrument as a result of changes in forward rates and the effects of discounting are not included in the hedging effectiveness assessment. Foreign operations are only hedged to the extent of the principal of the foreign denominated deposit liabilities or notional amount of the derivative; we generally do not expect to incur significant ineffectiveness on hedges of net investments in foreign operations.

Equity price risk

We use total return swaps in cash flow hedges to mitigate the cash flow variability of the expected payment associated with our cash settled share-based compensation plan for certain key employees by exchanging interest payments for indexed RBC share price change and dividend returns.

Credit risk

We predominantly use credit derivatives to economically hedge our credit exposures. We mitigate industry sector concentrations and single-name exposures related to our credit portfolio by purchasing credit derivatives to transfer credit risk to third parties.

Derivative instruments designated in hedging relationships

(1)

The following table presents the fair values of the derivative instruments and the principal amounts of the non-derivative liabilities, categorized by their hedging relationships, as well as derivatives that are not designated in hedging relationships.


	As at
	October 31, 2024								October 31, 2023
	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		Not designated in a hedging relationship		Fair value		Cash flow		Net investment		Not designated in a hedging relationship
Assets
Derivative instruments	$	18	$	298	$	4	$	150,292	$	156	$	19	$	13	$	142,262
Liabilities
Derivative instruments		59		27		433		163,244		50		100		409		142,070
Non-derivative instruments		–		–		37,833		n.a.		–		–		25,427		n.a.

(1)

The fair value reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.

n.a.

not applicable

The following tables provide the remaining term to maturity analysis of the notional amounts and the weighted average rates of the hedging instruments and their carrying amounts by types of hedging relationships:

Fair value hedges


	As at October 31, 2024
	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	$	11,396	$	68,563	$	38,343	$	118,302	$	10	$	55
Hedge of fixed rate liabilities		32,496		71,668		17,267		121,431		8		4
Weighted average fixed interest rate
Hedge of fixed rate assets		3.8%		3.8%		3.5%		3.7%
Hedge of fixed rate liabilities		2.9%		2.8%		3.1%		2.8%


	As at October 31, 2023
	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	$	8,853	$	62,948	$	21,702	$	93,503	$	156	$	–
Hedge of fixed rate liabilities		23,592		75,130		10,236		108,958		–		50
Weighted average fixed interest rate
Hedge of fixed rate assets		4.3%		3.6%		3.2%		3.6%
Hedge of fixed rate liabilities		2.1%		2.4%		2.6%		2.3%

(1)

The carrying amount reflects the impact of characterizing the daily variation margin as settlement of the related derivative fair values as permitted by certain central counterparties.

Cash flow hedges


	As at October 31, 2024
	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	$	91,698	$	133,684	$	6,831	$	232,213	$	–	$	–
Hedge of variable rate liabilities		46,390		101,339		33,845		181,574		–		–
Weighted average fixed interest rate
Hedge of variable rate assets		4.1%		3.5%		3.5%		3.7%
Hedge of variable rate liabilities		4.1%		3.6%		2.9%		3.6%
Foreign exchange risk
Cross currency swaps
Hedge of fixed rate assets	$	–	$	936	$	–	$	936	$	9	$	21
Hedge of fixed rate liabilities		–		4,163		–		4,163		198		6
Weighted average CAD-EUR exchange rate		n.a.		1.43		n.a.		1.43
Weighted average CAD-USD exchange rate		n.a.		1.34		n.a.		1.34


	As at October 31, 2023
	Notional amounts								Carrying am o unt (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	$	63,927	$	68,470	$	1,097	$	133,494	$	–	$	–
Hedge of variable rate liabilities		16,696		63,527		32,802		113,025		–		–
Weighted average fixed interest rate
Hedge of variable rate assets		4.5%		3.4%		3.7%		4.0%
Hedge of variable rate liabilities		4.9%		3.8%		2.8%		3.7%
Foreign exchange risk
Cross currency swaps
Hedge of fixed rate assets	$	63	$	916	$	–	$	979	$	19	$	14
Weighted average CAD-EUR exchange rate		1.48		1.44		n.a.		1.45
Weighted average CAD-USD exchange rate		n.a.		1.34		n.a.		1.34

(1)

The carrying amount reflects the impact of characterizing 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


	As at October 31, 2024
	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	$	4,540	$	27,649	$	6,505	$	38,694		n.a.	$	37,833
Weighted average CAD-USD exchange rate		1.33		1.34		1.34		1.34
Weighted average CAD-EUR exchange rate		n.a.		n.a.		n.a.		n.a.
Weighted average CAD-GBP exchange rate		1.71		1.76		n.a.		1.73
Forward contracts	$	19,926	$	–	$	–	$	19,926	$	4	$	433
Weighted average CAD-USD exchange rate		1.36		n.a.		n.a.		1.36
Weighted average CAD-EUR exchange rate		1.50		n.a.		n.a.		1.50
Weighted average CAD-GBP exchange rate		1.79		n.a.		n.a.		1.79


	As at October 31, 2023
	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	$	6,061	$	14,653	$	6,413	$	27,127		n.a.	$	25,427
Weighted average CAD-USD exchange rate		1.28		1.29		1.33		1.30
Weighted average CAD-EUR exchange rate		n.a.		n.a.		n.a.		n.a.
Weighted average CAD-GBP exchange rate		n.a.		1.71		n.a.		1.71
Forward contracts	$	18,920	$	–	$	–	$	18,920	$	13	$	409
Weighted average CAD-USD exchange rate		1.36		n.a.		n.a.		1.36
Weighted average CAD-EUR exchange rate		1.45		n.a.		n.a.		1.45
Weighted average CAD-GBP exchange rate		1.68		n.a.		n.a.		1.68

n.a.

not applicable

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, 2024
	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			Consolidated Balance Sheet items:	Changes in fair values used for calculating hedge ineffectiveness
Interest rate risk
Fixed rate assets (1)	$	114,354	$	–	$	(666	)	$	–		Securities – Investment, net of applicable allowance; Loans – Retail; Loans – Wholesale	$	2,702
Fixed rate liabilities (1)		–		118,116		–			(2,312	)	Deposits – Personal; Deposits – Business and government; Subordinated debentures; Deposits – Bank		(3,963	)


	As at and for the year ended October 31, 2023
	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			Consolidated Balance Sheet items:	Changes in fair values used for calculating hedge ineffectiveness
Interest rate risk
Fixed rate assets (1)	$	86,734	$	–	$	(3,911	)	$	–		Securities – Investment, net of applicable allowance; Loans – Retail; Loans – Wholesale	$	(1,445	)
Fixed rate liabilities (1)		–		102,535		–			(6,340	)	Deposits – Business and government; Subordinated debentures; Deposits – Bank		276

(1)

As at October 31, 2024, the accumulated amount of fair value hedge adjustments remaining on our Consolidated Balance Sheets for hedged items that have ceased to be adjusted for hedging gains and losses is a loss of

$238 million for fixed rate assets and a gain of $118 million for fixed rate liabilities (October 31, 2023 – loss of $539 million and gain of $259 million, respectively).

Cash flow and net investment hedges – Assets and liabilities designated as hedged items


	As at and for the year ended October 31, 2024
		Changes in fair values used for calculating hedge ineffectiveness			Cash flow hedge/foreign currency translation reserve
(Millions of Canadian dollars)	Consolidated Balance Sheet items:				Continuing hedges			Discontinued hedges
Cash flow hedges
Interest rate risk
Variable rate assets	Securities – Investment, net of applicable allowance; Loans – Retail; Loans – Wholesale;	$	(4,415	)	$	2,645		$	(2,216	)
	Interest bearing deposits with banks; Assets purchased under reverse
	repurchase agreements and securities borrowed
Variable rate liabilities	Deposits – Business and government;		4,437			(1,801	)		4,557
	Deposits – Personal; Obligations related to assets sold under repurchase agreements and securities loaned
Foreign exchange risk
Fixed rate assets	Securities – Investment, net of applicable allowance		7			13			–
Fixed rate liabilities	Deposits – Business and government		(106	)		(52	)		–
Net investment hedges
Foreign exchange risk
Foreign subsidiaries	n.a.		710			(8,005	)		(382	)

As at and for the year ended October 31, 2023

Consolidated 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

2,248

(2,115

)

(3,126

)

applicable allowance; Loans – Retail;

Interest bearing deposits with banks;

Assets purchased under reverse

repurchase agreements and securities borrowed

Variable rate liabilities

Deposits

– Business and government;

(2,558

)

3,535

5,607

Deposits – Personal;

Obligations related to assets sold under

repurchase agreements and securities loaned

Foreign exchange risk

Fixed rate assets

Securities

– Investment, net of

applicable allowance

–

Net investment hedges

Foreign exchange risk

Foreign subsidiaries

n.a.

1,513

(7,297

)

(382

)

n.a.

not applicable

Effectiveness of designated hedging relationships


	For the year ended October 31, 2024

(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	$	(2,761	)	$	(59	)		n.a.			n.a.
Interest rate contracts – fixed rate liabilities		3,961			(2	)		n.a.			n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts – variable rate assets		4,416			15		$	2,559		$	(3,195	)
Interest rate contracts – variable rate liabilities		(4,325	)		(19	)		(2,600	)		3,872
Foreign exchange risk
Cross currency swap – fixed rate assets		(6	)		–			1			(12	)
Cross currency swap – fixed rate liabilities		107			2			70			122
Net investment hedges
Foreign exchange risk
Foreign currency liabilities		(455	)		–			(455	)		–
Forward contracts		(255	)		–			(254	)		(1	)


	For the year ended October 31, 2023

(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	$	1,385		$	(60	)		n.a.			n.a.
Interest rate contracts – fixed rate liabilities		(205	)		71			n.a.			n.a.
Cash flow hedges
Interest rate risk
Interest rate contracts – variable rate assets		(2,232	)		7		$	(3,930	)	$	(3,121	)
Interest rate contracts – variable rate liabilities		2,416			(11	)		4,498			3,045
Foreign exchange risk
Cross currency swap – fixed rate assets		(50	)		–			(44	)		(37	)
Net investment hedges
Foreign exchange risk
Foreign currency liabilities		(684	)		–			(684	)		–
Forward contracts		(828	)		–			(828	)		(191	)

(1)	Hedge ineffectiveness recognized in income included losses of $50 million that are excluded from the assessment of hedge effectiveness and are offset by economic hedges (October 31, 2023 – gains of $3 million).

n.a.	not applicable

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, 2024						For the year ended October 31, 2023

(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	$	2,756		$	6,612		$	2,394		$	5,688
Cash flow hedges
Effective portion of changes in fair value:
Interest rate risk		(40	)					568
Foreign exchange risk		71						(44	)
Equity price risk		413						(119	)
Net amount reclassified to profit or loss:
Ongoing hedges:
Interest rate risk		134						(377	)
Foreign exchange risk		(110	)					37
Equity price risk		(350	)					93
De-designated hedges:
Interest rate risk		(811	)					453
Hedges of net investment in foreign operations
Foreign exchange denominated debt					(455	)					(684	)
Forward foreign exchange contracts					(254	)					(828	)
Foreign currency translation differences for foreign operations					1,018						2,164
Reclassification of losses (gains) on foreign currency translation to income					–						(160	)
Reclassification of losses (gains) on net investment hedging activities to income					1						191
Tax on movements on reserves during the period		204			206			(249	)		241
Balance at the end of the year	$	2,267		$	7,128		$	2,756		$	6,612