Derivative instruments (Tables)

12 Months Ended

Oct. 31, 2022

As described in Note 1, in the normal course of business, we use various derivative instruments for both trading and ALM purposes. These derivatives limit, modify or give rise to varying degrees and types of risk.


$ millions, as at October 31			2022				2021
	Assets		Liabilities		Assets		Liabilities



Trading (Note 2)	$	40,101	$	46,278	$	34,647	$	30,040
ALM ( Note 2) (1)		2,934		6,062		1,265		2,061
	$	43,035	$	52,340	$	35,912	$	32,101

(1)	Comprised of derivatives that qualify for hedge accounting under IAS 39 and derivatives used for economic hedges.

Summary of Notional Amounts

he following table presents the notional amounts of derivative instruments:


$ millions, as at October 31											2022				2021
	Residual term to contractual maturity
	Less than 1 year		1 to 5 years		Over 5 years		Total notional amounts		Trading		ALM		Trading		ALM

Interest rate derivatives
Over-the-counter

Forward rate agreements	$	9,098	$	2,228	$	–	$	11,326	$	–	$	11,326	$	7,149	$	5,611
Centrally cleared forward rate agreements		95,241		16,375		–		111,616		111,616		–		100,198		–
Swap contracts		55,981		123,774		88,270		268,025		246,336		21,689		243,655		23,205
Centrally cleared swap contracts		1,964,761		1,772,589		789,361		4,526,711		3,930,263		596,448		2,998,139		460,922
Purchased options		12,219		7,142		1,089		20,450		20,160		290		13,319		344
Written options		10,428		5,757		844		17,029		16,926		103		13,912		261
		2,147,728		1,927,865		879,564		4,955,157		4,325,301		629,856		3,376,372		490,343
Exchange-traded
Futures contracts		86,893		22,622		–		109,515		109,493		22		164,644		–
Purchased options		6		–		–		6		6		–		5,251		–
Written options		1,006		–		–		1,006		1,006		–		10,251		–
		87,905		22,622		–		110,527		110,505		22		180,146		–
Total interest rate derivatives		2,235,633		1,950,487		879,564		5,065,684		4,435,806		629,878		3,556,518		490,343
Foreign exchange derivatives
Over-the-counter
Forward contracts		699,241		26,247		1,589		727,077		719,885		7,192		709,628		6,937
Swap contracts		160,500		254,614		154,073		569,187		497,830		71,357		491,884		52,247
Purchased options		23,800		1,922		13		25,735		25,734		1		19,843		88
Written options		27,484		2,320		–		29,804		29,158		646		21,887		739
		911,025		285,103		155,675		1,351,803		1,272,607		79,196		1,243,242		60,011
Exchange-traded
Futures contracts		42		–		–		42		42		–		6		–
Total foreign exchange derivatives		911,067		285,103		155,675		1,351,845		1,272,649		79,196		1,243,248		60,011
Credit derivatives
Over-the-counter
Credit default swap contracts – protection purchased		1,305		533		376		2,214		2,195		19		2,210		27
Centrally cleared credit default swap contracts – protection purchased		203		633		1,019		1,855		1,801		54		1,524		123
Credit default swap contracts – protection sold		448		458		123		1,029		1,029		–		1,304		–
Centrally cleared credit default swap contracts – protection sold		–		320		378		698		698		–		377		–
Total credit derivatives		1,956		1,944		1,896		5,796		5,723		73		5,415		150
Equity derivatives
Over-the-counter		65,407		54,616		876		120,899		119,327		1,572		83,612		1,831
Exchange-traded		79,954		28,808		724		109,486		109,486		–		93,564		–
Total equity derivatives		145,361		83,424		1,600		230,385		228,813		1,572		177,176		1,831
Precious metal and other commodity derivatives (1)
Over-the-counter		27,969		25,404		564		53,937		53,926		11		48,028		–
Centrally cleared commodity derivatives		50		6		–		56		56		–		119		–
Exchange-traded		24,255		11,813		359		36,427		36,427		–		34,783		–
Total precious metal and other commodity derivatives		52,274		37,223		923		90,420		90,409		11		82,930		–
Total notional amount of which:	$	3,346,291	$	2,358,181	$	1,039,658	$	6,744,130	$	6,033,400	$	710,730	$	5,065,287	$	552,335
Over-the-counter (2)		3,154,135		2,294,938		1,038,575		6,487,648		5,776,940		710,708		4,756,788		552,335
Exchange-traded		192,156		63,243		1,083		256,482		256,460		22		308,499		–

(1)	Certain prior year information has been revised to conform to current year presentation.

(

)

For OTC derivatives that are not centrally cleared, $

1,695.3 billion (2021:

$1,622.2 billion) are with counterparties that have two-way collateral posting arrangements, $

53.0 billion (2021: $

37.1 billion) are with counterparties that have one-way collateral posting arrangements, and $98.4 billion (

2021

: $88.4 billion) are with counterparties that have no collateral posting arrangements. Counterparties with whom we have more than insignificant OTC derivative portfolios and one-way collateral posting arrangements are either sovereign entities or supra national financial

institutions

Summary of Credit Exposure Arising from Derivatives


$ millions, as at October 31									2022										2021
	Current replacement cost (1)						Credit equivalent amount (2)		Risk- weighted amount		Current replacement cost (1)						Credit equivalent amount (2)		Risk- weighted amount
	Trading		ALM		Total		Credit equivalent amount (2)		Risk- weighted amount		Trading		ALM		Total		Credit equivalent amount (2)		Risk- weighted amount
Interest rate derivatives
Over-the-counter

Forward rate agreements	$	–	$	–	$	–	$	7	$	2	$	–	$	4	$	4	$	35	$	31
Swap contracts		939		40		979		2,223		422		2,116		141		2,257		4,182		1,360
Purchased options		21		–		21		35		16		14		2		16		26		14
Written options		–		–		–		7		3		4		–		4		8		4
		960		40		1,000		2,272		443		2,134		147		2,281		4,251		1,409
Exchange-traded		–		–		–		198		7		3		–		3		332		10
		960		40		1,000		2,470		450		2,137		147		2,284		4,583		1,419
Foreign exchange derivatives
Over-the-counter
Forward contracts		1,966		574		2,540		6,293		1,922		943		196		1,139		4,027		1,335
Swap contracts		366		394		760		2,928		721		452		389		841		2,684		751
Purchased options		325		–		325		767		267		144		14		158		156		54
Written options		29		–		29		139		46		40		–		40		50		19
		2,686		968		3,654		10,127		2,956		1,579		599		2,178		6,917		2,159
Credit derivatives
Over-the-counter
Credit default swap contracts
– protection purchased		2		–		2		164		19		3		1		4		105		16
– protection sold		–		–		–		44		11		1		–		1		18		7
		2		–		2		208		30		4		1		5		123		23
Equity derivatives
Over-the-counter		124		51		175		3,788		926		254		79		333		3,910		935
Exchange-traded		10		–		10		2,546		87		1,310		–		1,310		6,298		195
		134		51		185		6,334		1,013		1,564		79		1,643		10,208		1,130
Precious metal and other commodity derivatives (3)
Over-the-counter		3,801		–		3,801		6,051		1,655		4,147		4		4,151		6,374		1,876
Exchange-traded		12		–		12		3,060		122		17		–		17		2,559		102
		3,813		–		3,813		9,111		1,777		4,164		4		4,168		8,933		1,978
RWA related to non-trade exposures to central counterparties										366										306
RWA related to CVA charge										6,696										7,174
Total derivatives	$	7,595	$	1,059	$	8,654	$	28,250	$	13,288	$	9,448	$	830	$	10,278	$	30,764	$	14,189

(1)	Current replacement cost reflects the current mark-to-market (MTM) value of derivatives offset by eligible financial collateral, where present.

(2)

Under IMM, expected effective positive exposure (EEPE) is used

, which computes, through simulation, the expected exposures with consideration to the expected movements in underlying risk factor and netting/collateral agreements. The EAD is calculated as EEPE multiplied by the prescribed alpha factor of 1.4. The EAD under SA-CCR is calculated as the sum of replacement cost and potential future exposure, multiplied by the prescribed alpha factor of 1.4.

(3)	Certain prior year information has been revised to conform to current year presentation.

Summary of Detailed Information About Credit Risk

The following table presents the current replacement cost of derivatives by geographic region based on the location of the derivative counterparty:


$ millions, as at October 31							2022								2021
	Canada		U.S.		Other countries		Total		Canada		U.S.		Other countries		Total
Derivative instruments
By counterparty type
Financial institutions	$	1,245	$	223	$	1,151	$	2,619	$	558	$	1,693	$	1,130	$	3,381
Governments		1,016		–		35		1,051		641		1		17		659
Corporate		1,167		3,247		570		4,984		1,824		3,445		969		6,238
Total derivative instruments	$	3,428	$	3,470	$	1,756	$	8,654	$	3,023	$	5,139	$	2,116	$	10,278