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Derivative instruments
 12 Months Ended
Oct. 31, 2025
Text Block [Abstract]  
Derivative instruments
Note
 12
  
Derivative instruments
 
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
  
  
 
  
2025
 
  
  
 
  
2024
 
  
  
Assets
 
  
Liabilities
 
  
Assets
 
  
Liabilities
 
Trading
(Note 2)
   
$
34,032
 
   
$
39,237
 
    $ 33,485      $ 39,847  
ALM
(Note 2)
(1)
   
 
4,320
 
   
 
2,174
 
      2,950        807  
Total
   
$
  38,352
 
   
$
  41,411
 
    $   36,435      $   40,654  
 
(1)
Comprised of derivatives that qualify for hedge accounting under IAS 39 and derivatives used for economic hedges.
 
 
Derivatives used by CIBC
The majority of our derivative contracts are OTC transactions, which consist of: (i) contracts that are bilaterally negotiated and settled between CIBC and the counterparty to the contract; and (ii) contracts that are bilaterally negotiated and then cleared through a central counterparty (CCP). Bilaterally negotiated and settled contracts are usually traded under a standardized International Swaps and Derivatives Association (ISDA) agreement with collateral posting arrangements between CIBC and its counterparties. Terms are negotiated directly with counterparties and the contracts have industry-standard settlement mechanisms prescribed by ISDA. Centrally cleared contracts are generally bilaterally negotiated and then novated to, and cleared through, a CCP. The industry promotes the use of CCPs to clear OTC trades. The central clearing of derivative contracts generally facilitates the reduction of credit exposures due to the ability to net settle offsetting positions. Consequently, derivative contracts cleared through CCPs generally attract less capital relative to those settled with non-CCPs.
The remainder of our derivative contracts are exchange-traded derivatives, which are standardized in terms of their amounts and settlement dates, and are bought and sold on organized and regulated exchanges. These exchange-traded derivative contracts consist primarily of options and futures.
Interest rate derivatives
Forward rate agreements are OTC contracts that effectively fix a future interest rate for a period of time. A typical forward rate agreement provides that at a pre-determined future date, a cash settlement will be made between the counterparties based upon the difference between a contracted rate and a market rate to be determined in the future, calculated on a specified notional principal amount. No exchange of principal amount takes place. Certain forward rate agreements are bilaterally transacted and then novated and settled through a clearing house which acts as a CCP.
Interest rate swaps are OTC contracts in which two counterparties agree to exchange cash flows over a period of time based on rates applied to a specified notional principal amount. A typical interest rate swap would require one counterparty to pay a fixed market interest rate in exchange for a variable market interest rate determined from time to time, with both calculated on a specified notional principal amount. No exchange of principal amount takes place. Certain interest rate swaps are bilaterally transacted and then novated and settled through a clearing house which acts as a CCP.
Interest rate options are contracts in which one party (the purchaser of an option) acquires from another party (the writer of an option), in exchange for a premium, the right, but not the obligation, to either buy or sell, on a specified future date or within a specified time, a specified financial instrument at a contracted price. The underlying financial instrument has a market price which varies in response to changes in interest rates. Options are transacted in both OTC and exchange-traded markets.
Interest rate futures are standardized contracts transacted on an exchange. They are based upon an agreement to buy or sell a specified quantity of a financial instrument on a specified future date, at a contracted price. These contracts differ from forward rate agreements in that they are in standard amounts with standard settlement dates and are transacted through an exchange.
Foreign exchange derivatives
Foreign exchange forwards are OTC contracts in which one counterparty contracts with another to exchange a specified amount of one currency for a specified amount of a second currency, at a future date or range of dates.
Foreign exchange futures contracts are similar in mechanics to foreign exchange forward contracts except that they are in standard currency amounts with standard settlement dates and are transacted through an exchange.
Foreign exchange swap contracts comprise foreign exchange swaps and cross-currency interest rate swaps. Foreign exchange swaps are transactions in which a currency is simultaneously purchased in the spot market and sold for a different currency in the forward market, or vice versa. Cross-currency interest rate swaps are transactions in which counterparties exchange principal and interest flows in different currencies over a period of time. These contracts are used to manage both currency and interest rate exposures.
Credit derivatives
Credit derivatives are OTC contracts designed to transfer the credit risk in an underlying financial instrument (usually termed as a reference asset) from one counterparty to another. The most common credit derivatives are CDS and certain TRS.
CDS contracts provide protection against the decline in value of a reference asset as a result of specified credit events such as default or bankruptcy. These derivatives are similar in structure to an option whereby the purchaser pays a premium to the seller of the CDS contract in return for payment contingent on the occurrence of a credit event. The protection purchaser has recourse to the protection seller for the difference between the face value of the CDS contract and the fair value of the reference asset at the time of settlement. Neither the purchaser nor the seller under the CDS contract has recourse to the entity that issued the reference asset. Certain CDS contracts are cleared through a CCP.
In credit derivative TRS contracts, one counterparty agrees to pay or receive cash amounts based on the returns of a reference asset, including interest earned on these assets in exchange for amounts that are based on prevailing market funding rates. These cash settlements are made regardless of whether there is a credit event. Upon the occurrence of a credit event, the parties may either exchange cash payments according to the value of the defaulted assets or exchange cash based on the notional amount for physical delivery of the defaulted assets.
Equity derivatives
Equity swaps are OTC contracts in which one counterparty agrees to pay, or receive from the other, cash amounts based on changes in the value of a stock index, a basket of stocks or a single stock in exchange for amounts that are based either on prevailing market funding rates or changes in the value of a different stock index, basket of stocks or a single stock. These contracts generally include payments in respect of dividends.
Equity options give the purchaser of the option, for a premium, the right, but not the obligation, to buy from or sell to the writer of an option, an underlying stock index, basket of stocks, or a single stock at a contracted price. Options are transacted in both OTC and exchange markets.
Equity index futures are standardized contracts transacted on an exchange. They are based on an agreement to pay or receive a cash amount based on the difference between the contracted price level of an underlying stock index and its corresponding market price level at a specified future date. There is generally no actual delivery of stocks that comprise the underlying index. These contracts are in standard amounts with standard settlement dates.
Precious metal and other commodity derivatives
We also transact in other derivative products, including commodity forwards, futures, swaps and options, such as precious metal and energy-related products in both OTC and exchange markets.
 
 
Notional amounts
The notional amounts are not recorded as assets or liabilities, as they represent the face amount of the contract to which a rate or price is applied to determine the amount of cash flows to be exchanged. In most cases, notional amounts do not represent the potential gain or loss associated with market or credit risk of such instruments.
The following table presents the notional amounts of derivative instruments:
 
$ millions, as at October 31
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
2025
 
 
  
 
 
2024
 
 
 
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
  
$
11,943
 
  
$
370
 
  
$
1
 
  
$
12,314
 
  
$
12,132
 
  
$
182
 
   $ 9,420     $ 55  
Centrally cleared forward rate agreements
  
 
85,716
 
  
 
36,273
 
  
 
–
 
  
 
121,989
 
  
 
121,989
 
  
 
–
 
     88,699       –  
Swap contracts
  
 
60,103
 
  
 
173,279
 
  
 
115,227
 
  
 
348,609
 
  
 
322,574
 
  
 
26,035
 
     273,138       18,882  
Centrally cleared swap contracts
  
 
4,527,608
 
  
 
2,499,849
 
  
 
1,532,881
 
  
 
8,560,338
 
  
 
7,626,410
 
  
 
933,928
 
     4,805,504       921,539  
Purchased options
  
 
102,507
 
  
 
28,507
 
  
 
2,121
 
  
 
133,135
 
  
 
130,705
 
  
 
2,430
 
     47,772       644  
Written options
  
 
103,715
 
  
 
31,717
 
  
 
2,605
 
  
 
138,037
 
  
 
137,750
 
  
 
287
 
     54,189       43  
   
 
4,891,592
 
  
 
2,769,995
 
  
 
1,652,835
 
  
 
9,314,422
 
  
 
8,351,560
 
  
 
962,862
 
     5,278,722       941,163  
Exchange-traded
                
Futures contracts
  
 
29,936
 
  
 
5,372
 
  
 
–
 
  
 
35,308
 
  
 
35,258
 
  
 
50
 
     16,112       6  
Purchased options
  
 
1,121
 
  
 
–
 
  
 
–
 
  
 
1,121
 
  
 
1,121
 
  
 
–
 
     1,069       –  
Written options
  
 
121
 
  
 
–
 
  
 
–
 
  
 
121
 
  
 
121
 
  
 
–
 
     4,069       –  
   
 
31,178
 
  
 
5,372
 
  
 
–
 
  
 
36,550
 
  
 
36,500
 
  
 
50
 
     21,250       6  
Total interest rate derivatives
  
 
4,922,770
 
  
 
2,775,367
 
  
 
1,652,835
 
  
 
9,350,972
 
  
 
8,388,060
 
  
 
962,912
 
     5,299,972       941,169  
Foreign exchange derivatives
                
Over-the-counter
                
Forward contracts
  
 
1,107,993
 
  
 
31,812
 
  
 
1,582
 
  
 
1,141,387
 
  
 
1,126,831
 
  
 
14,556
 
     851,206       14,723  
Swap contracts
  
 
280,000
 
  
 
311,127
 
  
 
175,966
 
  
 
767,093
 
  
 
666,914
 
  
 
100,179
 
     567,930       71,540  
Purchased options
  
 
82,699
 
  
 
2,103
 
  
 
–
 
  
 
84,802
 
  
 
84,802
 
  
 
–
 
     72,180       –  
Written options
  
 
82,965
 
  
 
2,760
 
  
 
–
 
  
 
85,725
 
  
 
85,125
 
  
 
600
 
     82,384       678  
   
 
1,553,657
 
  
 
347,802
 
  
 
177,548
 
  
 
2,079,007
 
  
 
1,963,672
 
  
 
115,335
 
     1,573,700       86,941  
Exchange-traded
                
Futures contracts
  
 
60
 
  
 
–
 
  
 
–
 
  
 
60
 
  
 
60
 
  
 
–
 
     352       –  
Purchased options
  
 
541
 
  
 
–
 
  
 
–
 
  
 
541
 
  
 
541
 
  
 
–
 
     67       –  
Written options
  
 
423
 
  
 
–
 
  
 
–
 
  
 
423
 
  
 
423
 
  
 
–
 
     292       –  
   
 
1,024
 
  
 
–
 
  
 
–
 
  
 
1,024
 
  
 
1,024
 
  
 
–
 
     711       –  
Total foreign exchange derivatives
  
 
1,554,681
 
  
 
347,802
 
  
 
177,548
 
  
 
2,080,031
 
  
 
1,964,696
 
  
 
115,335
 
     1,574,411       86,941  
Credit derivatives
                
Over-the-counter
                
Credit default swap contracts – protection purchased
  
 
1,565
 
  
 
1,414
 
  
 
185
 
  
 
3,164
 
  
 
3,164
 
  
 
–
 
     2,782       19  
Centrally cleared credit default swap
contracts – protection purchased
  
 
36
 
  
 
2,836
 
  
 
2,092
 
  
 
4,964
 
  
 
4,964
 
  
 
–
 
     3,071       –  
Credit default swap contracts – protection sold
  
 
103
 
  
 
520
 
  
 
103
 
  
 
726
 
  
 
726
 
  
 
–
 
     936       –  
Centrally cleared credit default swap
contracts – protection sold
  
 
–
 
  
 
1,556
 
  
 
1,394
 
  
 
2,950
 
  
 
2,950
 
  
 
–
 
     1,743       –  
Total credit derivatives
  
 
1,704
 
  
 
6,326
 
  
 
3,774
 
  
 
11,804
 
  
 
11,804
 
  
 
–
 
     8,532       19  
Equity derivatives
                
Over-the-counter
  
 
117,883
 
  
 
62,742
 
  
 
1,282
 
  
 
181,907
 
  
 
178,673
 
  
 
3,234
 
     163,965       2,357  
Exchange-traded
  
 
78,747
 
  
 
54,757
 
  
 
984
 
  
 
134,488
 
  
 
134,488
 
  
 
–
 
     159,341       –  
Total equity derivatives
  
 
196,630
 
  
 
117,499
 
  
 
2,266
 
  
 
316,395
 
  
 
313,161
 
  
 
3,234
 
     323,306       2,357  
Precious metal and other commodity derivatives
                
Over-the-counter
  
 
57,167
 
  
 
26,283
 
  
 
949
 
  
 
84,399
 
  
 
84,396
 
  
 
3
 
     83,474       13  
Centrally cleared commodity derivatives
  
 
183
 
  
 
169
 
  
 
–
 
  
 
352
 
  
 
352
 
  
 
–
 
     336       –  
Exchange-traded
  
 
32,261
 
  
 
11,708
 
  
 
455
 
  
 
44,424
 
  
 
44,424
 
  
 
–
 
     32,094       –  
Total precious metal and other commodity derivatives
  
 
89,611
 
  
 
38,160
 
  
 
1,404
 
  
 
129,175
 
  
 
129,172
 
  
 
3
 
     115,904       13  
Total notional amount
  
$
  6,765,396
 
  
$
  3,285,154
 
  
$
  1,837,827
 
  
$
  11,888,377
 
  
$
  10,806,893
 
  
$
  1,081,484
 
   $   7,322,125     $   1,030,499  
Of which:
                
Over-the-counter
  
$
  6,622,186
 
  
$
  3,213,317
 
  
$
  1,836,388
 
  
$
  11,671,891
 
  
$
  10,590,457
 
  
$
  1,081,434
 
   $   7,108,729     $   1,030,493  
Exchange-traded
  
 
143,210
 
  
 
71,837
 
  
 
1,439
 
  
 
216,486
 
  
 
216,436
 
  
 
50
 
     213,396       6  
Risk
In the following sections, we discuss the risks related to the use of derivatives and how we manage these risks.
Market risk
Derivatives are financial instruments where
valuation
is linked to changes in interest rates, foreign exchange rates, equity, commodity, credit prices, volatilities, indices or other underlying factors. Changes in value as a result of the aforementioned risk factors are referred to as market risk.
Market risk arising from derivative trading activities is managed in order to mitigate risk in line with CIBC’s risk appetite. To manage market risk, we set market risk limits and may enter into hedging transactions.
 
 
Credit risk
Credit risk arises from the potential for a counterparty to default on its contractual obligations and the possibility that prevailing market conditions are such that a loss would occur in replacing the defaulted transaction.
We limit the credit risk of OTC derivatives through the use of ISDA master netting agreements, collateral, CCPs and other credit mitigation techniques. We clear eligible derivatives through CCPs in accordance with various global initiatives. Where feasible, we novate existing bilaterally negotiated and settled derivatives to a CCP in an effort to reduce CIBC’s credit risk exposure. We establish counterparty credit limits and limits for CCP exposures based on a counterparty’s creditworthiness and the type of trading relationship with each counterparty (underlying agreements, business volumes, product types, tenors, etc.).
We negotiate netting agreements to contain the build-up of credit exposure resulting from multiple transactions with more active counterparties. Such agreements provide for the simultaneous close-out and netting of all transactions with a counterparty, in the case of a counterparty default. A number of these agreements incorporate a Credit Support Annex, which is a bilateral security agreement that, among other things, provides for the exchange of collateral between parties in the event that one party’s exposure to the other exceeds agreed upon thresholds.
Credit risk on exchange-traded futures and options is limited, as these transactions are standardized contracts executed on established exchanges, whose CCPs assume the obligations of both counterparties. Similarly, swaps that are centrally cleared represent limited credit risk because these transactions are novated to the CCP, which assumes the obligations of the original bilateral counterparty. All exchange-traded and centrally cleared contracts are subject to initial margin and daily settlement of variation margins, designed to protect participants from losses incurred from a counterparty default.
A CVA is determined using the fair value based exposure we have on derivative contracts. We believe that we have made appropriate fair value adjustments to date. The establishment of fair value adjustments involves estimates that are based on accounting processes and judgments by management. We evaluate the adequacy of the fair value adjustments on an ongoing basis. Market and economic conditions relating to derivative counterparties may change in the future, which could result in significant future losses.
The following table summarizes our credit exposure arising from derivatives, which includes the current replacement cost, credit equivalent amount and risk-weighted amount.
For the majority of OTC derivative transactions, we use the internal model method (IMM) for the determination of the EAD, using models that simulate the underlying risk factors and reflect netting and collateral agreements. For the minority of derivative transactions where we do not have regulatory approval to use IMM, we used the standardized approach for counterparty credit risk (SA-CCR).
 
$ millions, as at October 31
 
 
  
 
 
2025
 
 
  
 
 
  
 
 
  
 
 
  
 
 
2024
 
 
 
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
 
 
Trading
 
 
ALM
 
 
Total
 
Interest rate derivatives
 
 
 
 
 
 
 
 
 
 
Over-the-counter
 
 
 
 
 
 
 
 
 
 
Forward rate agreements
  
$
3
 
  
$
6
 
  
$
9
 
  
$
32
 
  
$
15
 
   $ 2     $ 1     $ 3     $ 31     $ 15  
Swap contracts
  
 
1,311
 
  
 
95
 
  
 
1,406
 
  
 
3,921
 
  
 
1,047
 
     1,070       131       1,201       3,016       710  
Purchased options
  
 
30
 
  
 
4
 
  
 
34
 
  
 
118
 
  
 
45
 
     22       1       23       68       24  
Written options
  
 
4
 
  
 
2
 
  
 
6
 
  
 
50
 
  
 
14
 
     2       1       3       20       6  
   
 
1,348
 
  
 
107
 
  
 
1,455
 
  
 
4,121
 
  
 
1,121
 
     1,096       134       1,230       3,135       755  
Exchange-traded
  
 
1
 
  
 
–
 
  
 
1
 
  
 
80
 
  
 
3
 
     2       –       2       35       1  
Total interest rate derivatives
  
 
1,349
 
  
 
107
 
  
 
1,456
 
  
 
4,201
 
  
 
1,124
 
     1,098       134       1,232       3,170       756  
Foreign exchange derivatives
                    
Over-the-counter
                    
Forward contracts
  
 
1,658
 
  
 
72
 
  
 
1,730
 
  
 
5,954
 
  
 
2,019
 
     1,923       308       2,231       5,985       2,010  
Swap contracts
  
 
305
 
  
 
527
 
  
 
832
 
  
 
3,092
 
  
 
560
 
     326       512       838       2,818       482  
Purchased options
  
 
164
 
  
 
–
 
  
 
164
 
  
 
487
 
  
 
147
 
     183       –       183       498       171  
Written options
  
 
24
 
  
 
–
 
  
 
24
 
  
 
226
 
  
 
77
 
     19       –       19       165       52  
   
 
2,151
 
  
 
599
 
  
 
2,750
 
  
 
9,759
 
  
 
2,803
 
     2,451       820       3,271       9,466       2,715  
Exchange-traded
  
 
–
 
  
 
–
 
  
 
–
 
  
 
1,697
 
  
 
68
 
     –       –       –       499       20  
Total foreign exchange derivatives
  
 
2,151
 
  
 
599
 
  
 
2,750
 
  
 
11,456
 
  
 
2,871
 
     2,451       820       3,271       9,965       2,735  
Credit derivatives
                    
Over-the-counter
                    
Credit default swap contracts
                    
– protection purchased
  
 
2
 
  
 
–
 
  
 
2
 
  
 
164
 
  
 
16
 
     2       –       2       121       14  
– protection sold
  
 
–
 
  
 
–
 
  
 
–
 
  
 
17
 
  
 
4
 
     –       –       –       18       4  
Total credit derivatives
  
 
2
 
  
 
–
 
  
 
2
 
  
 
181
 
  
 
20
 
     2       –       2       139       18  
Equity derivatives
                    
Over-the-counter
  
 
320
 
  
 
32
 
  
 
352
 
  
 
5,841
 
  
 
1,338
 
     365       59       424       4,179       1,048  
Exchange-traded
  
 
922
 
  
 
–
 
  
 
922
 
  
 
5,073
 
  
 
155
 
     1,364       –       1,364       5,502       161  
Total equity derivatives
  
 
1,242
 
  
 
32
 
  
 
1,274
 
  
 
10,914
 
  
 
1,493
 
     1,729       59       1,788       9,681       1,209  
Precious metal and other commodity derivatives
                    
Over-the-counter
  
 
1,766
 
  
 
7
 
  
 
1,773
 
  
 
3,465
 
  
 
1,540
 
     1,165       30       1,195       2,406       956  
Exchange-traded
  
 
6
 
  
 
–
 
  
 
6
 
  
 
2,595
 
  
 
104
 
     83       –       83       1,930       77  
Total precious metal and other commodity derivatives
  
 
1,772
 
  
 
7
 
  
 
1,779
 
  
 
6,060
 
  
 
1,644
 
     1,248       30       1,278       4,336       1,033  
RWA related to non-trade exposures to central counterparties
                                  
 
534
 
                                     414  
RWA related to CVA capital charge
                                  
 
3,057
 
                                     3,381  
Total derivatives
  
$
  6,516
 
  
$
  745
 
  
$
  7,261
 
  
$
32,812
 
  
$
  10,743
 
   $   6,528     $   1,043     $   7,571     $   27,291     $   9,546  
 
(1)
Current replacement cost reflects the current mark-to-market 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.
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
  
  
 
  
  
 
  
  
 
  
2025
 
  
  
 
  
  
 
  
  
 
  
2024
 
  
  
Canada
 
  
U.S.
 
  
Other
countries
 
  
Total
 
  
Canada
 
  
U.S.
 
  
Other
countries
 
  
Total
 
Derivative instruments
  
  
  
  
  
  
  
  
By counterparty type
  
  
  
  
  
  
  
  
Financial institutions
   
$
1,072
 
   
$
1,407
 
   
$
931
 
   
$
3,410
 
    $ 1,389      $ 1,826      $ 1,102      $ 4,317  
Governments
   
 
590
 
   
 
16
 
   
 
62
 
   
 
668
 
      796        –        54        850  
Corporate
   
 
1,870
 
   
 
861
 
   
 
452
 
   
 
3,183
 
      1,524        409        471        2,404  
Total derivative instruments
   
$
  3,532
 
   
$
  2,284
 
   
$
  1,445
 
   
$
  7,261
 
    $   3,709      $   2,235      $   1,627      $   7,571