Derivative financial instruments and hedging activities (Tables)

12 Months Ended

Oct. 31, 2024

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, 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.

Summary of Fair Value of Derivative Instruments

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

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.

Summary of Derivative-related Credit Risk

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.

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, 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.

Summary of Fair Values of Derivative and Non-derivative Instruments Categorized by 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

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, 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 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, 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

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, 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 [member]

Statement [Line Items]

Notional Amount of Derivatives by Term to Maturity and Hedging Instrument Rates

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 [Member]

Statement [Line Items]

Notional Amount of Derivatives by Term to Maturity and Hedging Instrument Rates

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