Designated accounting hedges (Tables)

12 Months Ended

Oct. 31, 2018

Summary of Items Designated as Hedging Instruments

Designated hedging instruments

The following table provides a summary of financial instruments designated as hedging instruments:


$ millions, as at October 31, 2018	Notional amount of the hedging instrument ⁽¹⁾		Maturity range						Fair value of the hedging derivatives				Gains (losses) on changes in fair value used for calculating hedge ineffectiveness
$ millions, as at October 31, 2018	Notional amount of the hedging instrument ⁽¹⁾		Less than 1 year		1-5 years		Over 5 years		Assets		Liabilities
Cash flow hedges
Foreign exchange risk
Foreign exchange forwards	$	138	$	138	$	–	$	–	$	2	$	–	$	(5	)
Cross-currency interest rate swaps		18,421		13,377		5,044		–		351		234		82
Interest rate risk
Interest rate swaps		4,468		395		4,073		–		–		15		(57	)
Equity share price risk
Equity swaps		1,406		173		1,233		–		–		89		26
	$	24,433	$	14,083	$	10,350	$	–	$	353	$	338	$	46
NIFO hedges
Foreign exchange risk
Foreign exchange forwards	$	193	$	193	$	–	$	–	$	11	$	6	$	(4	)
Deposits ⁽²⁾		17,158		17,158		–		–		n/a		n/a		(388	)
	$	17,351	$	17,351	$	–	$	–	$	11	$	6	$	(392	)
Fair value hedges
Interest rate risk
Interest rate swaps	$	174,556	$	50,347	$	110,948	$	13,261	$	380	$	164	$	(36	)
Foreign exchange / interest rate risk
Cross-currency interest rate swaps		36,308		15,528		19,267		1,513		799		795		(63	)
Interest rate swaps		17,310		3,850		12,817		643		23		–		(15	)
	$	228,174	$	69,725	$	143,032	$	15,417	$	1,202	$	959	$	(114	)
	$	269,958	$	101,159	$	153,382	$	15,417	$	1,566	$	1,303	$	(460	)

(1)	For some hedge relationships, we apply a combination of derivatives to hedge the underlying exposures, therefore, the notional amounts of the derivatives generally exceed the carrying amount of the hedged items.

(2)	Notional amount represents the principal amount of deposits as at October 31, 2018.

n/a	Not applicable.

Summary of Average Rate or Price of Hedging Instruments

The following table provides the average rate or price of the hedging derivatives:

As at October 31, 2018

Average
exchange rate ⁽¹⁾

Average fixed
interest rate

Average
share price

Cash flow hedges

Foreign exchange risk

Foreign exchange forwards

USD – CAD

1.29

n/a

Cross-currency interest rate swaps

EUR – CAD

1.51

n/a

GBP – CAD

1.72

n/a

USD – CAD

1.28

n/a

Interest rate risk

Interest rate swaps

n/a

CAD

2.45

n/a

USD

2.16

n/a

Equity share price risk

Equity swaps

n/a

109.52

NIFO hedges

Foreign exchange risk

Foreign exchange forwards

AUD – CAD

0.93

n/a

HKD – CAD

0.17

n/a

JPY – CAD

0.01

n/a

Fair value hedges

Interest rate risk

Interest rate swaps

n/a

CAD

1.84

n/a

Foreign exchange / interest rate risk

Cross-currency interest rate swaps

EUR – CAD

1.49

0.10

n/a

GBP – CAD

1.60

1.06

n/a

USD – CAD

1.30

2.36

n/a

Interest rate swaps

n/a

EUR

0.05

n/a

GBP

0.78

n/a

(1)	Includes average foreign exchange rates and interest rates relating to significant hedging relationships.

n/a	Not applicable.

Summary of Notional Amounts and Carrying Value of Our Hedging Related Derivative Instruments

The following table provides the notional and carrying values of the derivatives designated as the hedging instruments in 2017:


	Derivatives notional amount		Carrying value
$ millions, as at October 31, 2017	Derivatives notional amount		Positive		Negative
Fair value hedges	$	210,019	$	1,717	$	907
Cash flow hedges		23,332		419		315
NIFO hedges		5,712		318		–
	$	239,063	$	2,454	$	1,222

Summary of Items Designated as Hedged Items

Designated hedged items

The following table provides information on designated hedged items:

Carrying amount of
the hedged item

Accumulated amount
of fair value hedge
adjustments on the
hedged item

Gains (losses) on
changes in fair
value used for
calculating hedge
ineffectiveness

$ millions, as at or for the year ended October 31, 2018

Assets

Liabilities

Assets

Liabilities

Cash flow hedges⁽¹⁾

Foreign exchange risk

Forecasted expenses

n/a

Deposits

–

13,456

n/a

(81

)

Interest rate risk

Loans

4,463

–

n/a

Equity share price risk

Share-based payment

–

1,186

n/a

(27

)

4,463

14,642

n/a

(46

)

NIFO hedges

17,351

–

n/a

392

Fair value hedges ⁽²⁾

Interest rate risk

Securities

17,046

–

(370

)

–

(338

)

Loans

61,363

–

(1,036

)

–

(626

)

Deposits

–

72,839

–

(1,205

)

907

Subordinated indebtedness

–

3,893

–

(48

)

Foreign exchange / interest rate risk

Loans

–

Deposits

–

19,844

–

(112

)

78,416

96,576

(1,404

)

(1,364

)

(1)	As at October 31, 2018, the amount remaining in AOCI related to the discontinued cash flow hedges was immaterial.

(2)	As at October 31, 2018, the accumulated fair value hedge net liability adjustment remaining on the consolidated balance sheet related to discontinued fair value hedges was $153 million.

n/a	Not applicable.

Summary of Hedge Accounting Gains (Losses) On the Consolidated Statement Of Income And Consolidated Statement Of Comprehensive Income

Hedge accounting gains (losses) on the consolidated statement of income and consolidated statement of comprehensive income


$ millions, for the year ended October 31, 2018	Beginning balance of AOCI – hedge reserve (after-tax)			Change in the value of the hedging instrument recognized in OCI (before-tax)			Amount reclassified from accumulated OCI to income (before-tax) ⁽¹⁾			Tax benefit (expense)		Ending balance of AOCI hedge reserve (after-tax)			Hedge ineffectiveness gains (losses) recognized in income
Cash flow hedges
Foreign exchange risk	$	5		$	6		$	(6	)	$	–	$	5		$	–
Interest rate risk		(3	)		(56	)		(2	)		16		(45	)		–
Equity share price risk		31			17			(27	)		1		22			(1	)
	$	33		$	(33	)	$	(35	)	$	17	$	(18	)	$	(1	)
NIFO hedges – foreign exchange risk
Hedges of net investment in foreign operations	$	(780	)	$	(392	)	$	–		$	43	$	(1,129	)	$	–

(1)	During the year ended October 31, 2018, the amount reclassified from AOCI to net income for cash flow hedges of forecasted transactions that were no longer expected to occur was nil.


$ millions, for the year ended October 31, 2018	Gains (losses) on the hedging instruments			Gains (losses) on the hedged items attributed to hedged risk		Hedge Ineffectiveness gains (losses) recognized in income
Fair value hedges
Interest rate risk	$	(36	)	$	1	$	(35	)
Foreign exchange / interest rate risk		(78	)		82		4
	$	(114	)	$	83	$	(31	)

Summary of Hedge Ineffectiveness Gains (Losses) Recognized in Consolidated Statement of Income

The following table presents hedge ineffectiveness gains (losses) recognized in the consolidated statement of income for 2017 and 2016:


$ millions, for the year ended October 31	2017			2016
Fair value hedges⁽¹⁾
Gains (losses) on hedging instruments	$	(24	)	$	(520	)
Gains (losses) on hedged items attributable to hedged risks		73			458
	$	49		$	(62	)
Cash flow hedges⁽²⁾⁽³⁾	$	–		$	–

(1)	Recognized in Net interest income.

(2)	Recognized in Non-interest income – Other and Non-interest expenses – Other.

(3)	Includes NIFO hedges.

Summary of Periods when Cash Flows Designated as Hedged

As at October 31, 2017, the cash flows designated as hedged items were expected to occur as follows:

$ millions, as at October 31, 2017

Within

1 year

1 – 3

years

3 – 8

years

Over
8 years

Net cash flows

(465

)

(921

)

–