(a)	Notional amounts (1)

The following table provides the aggregate notional amounts of derivative financial instruments outstanding by type and segregated between those used by the Bank in its dealer capacity (Trading) and those derivatives designated in hedging relationships. The notional amounts of these contracts represent the derivatives volume outstanding and do not represent the potential gain or loss associated with the market risk or credit risk of such instruments. Credit derivatives within other derivative contracts are comprised primarily of purchased and sold credit default swap transactions. To a lesser extent, this category also includes total return swaps referenced to loans and debt securities. Other derivative contracts – other includes precious metals other than gold, and other commodities including energy and base metal derivatives.


	2021						2020
As at October 31 ($ millions)	Trading		Hedging		Total		Trading		Hedging		Total
Interest rate contracts
Exchange-traded:
Futures	$	123,348	$	–	$	123,348	$	111,065	$	–	$	111,065
Options purchased		2,562		–		2,562		2,047		–		2,047
Options written		1,000		–		1,000		–		–		–
		126,910		–		126,910		113,112		–		113,112
Over-the-counter:
Forward rate agreements		820		–		820		7,573		–		7,573
Swaps		336,144		27,875		364,019		380,118		27,987		408,105
Options purchased		38,298		–		38,298		26,167		–		26,167
Options written		40,785		–		40,785		29,343		–		29,343
		416,047		27,875		443,922		443,201		27,987		471,188
Over-the-counter (settled through central counterparties):
Forward rate agreements		219,021		–		219,021		598,653		–		598,653
Swaps		3,708,222		289,185		3,997,407		2,960,778		236,603		3,197,381
Options purchased		–		–		–		–		–		–
Options written		–		–		–		–		–		–
		3,927,243		289,185		4,216,428		3,559,431		236,603		3,796,034
Total	$	4,470,200	$	317,060	$	4,787,260	$	4,115,744	$	264,590	$	4,380,334
Foreign exchange and gold contracts
Exchange-traded:
Futures	$	15,798	$	–	$	15,798	$	9,548	$	–	$	9,548
Options purchased		–		–		–		258		–		258
Options written		–		–		–		187		–		187
		15,798		–		15,798		9,993		–		9,993
Over-the-counter:
Spot and forwards		381,737		28,642		410,379		354,235		19,114		373,349
Swaps		502,558		67,617		570,175		457,942		78,433		536,375
Options purchased		16,256		–		16,256		33,754		–		33,754
Options written		16,495		–		16,495		32,613		–		32,613
		917,046		96,259		1,013,305		878,544		97,547		976,091
Over-the-counter (settled through central counterparties):
Spot and forwards		16,627		–		16,627		27,579		–		27,579
Swaps		–		–		–		–		–		–
Options purchased		–		–		–		–		–		–
Options written		–		–		–		–		–		–
		16,627		–		16,627		27,579		–		27,579
Total	$	949,471	$	96,259	$	1,045,730	$	916,116	$	97,547	$	1,013,663
Other derivative contracts
Exchange-traded:
Equity	$	52,335	$	–	$	52,335	$	45,099	$	–	$	45,099
Credit		–		–		–		–		–		–
Commodity and other contracts		31,652		–		31,652		27,083		–		27,083
		83,987		–		83,987		72,182		–		72,182
Over-the-counter:
Equity		92,052		965		93,017		82,343		582		82,925
Credit		20,800		–		20,800		23,666		–		23,666
Commodity and other contracts		29,476		–		29,476		37,887		–		37,887
		142,328		965		143,293		143,896		582		144,478
Over-the-counter (settled through central counterparties):
Equity		–		–		–		–		–		–
Credit		6,621		–		6,621		10,485		–		10,485
Commodity and other contracts		201		–		201		234		–		234
		6,822		–		6,822		10,719		–		10,719
Total	$	233,137	$	965	$	234,102	$	226,797	$	582	$	227,379
Total notional amounts outstanding	$	5,652,808	$	414,284	$	6,067,092	$	5,258,657	$	362,719	$	5,621,376

(1)	The notional amounts represent the amount to which a rate or price is applied to determine the amount of cash flows to be exchanged.

(b)	Remaining term to maturity

The following table summarizes the remaining term to maturity of the notional amounts of the Bank’s derivative financial instruments by type:


As at October 31, 2021 ($ millions)	Within one year		One to five years		Over five years		Total
Interest rate contracts
Futures	$	68,444	$	54,787	$	117	$	123,348
Forward rate agreements		172,600		46,433		808		219,841
Swaps		1,461,005		1,989,045		911,376		4,361,426
Options purchased		22,432		15,694		2,734		40,860
Options written		17,428		14,895		9,462		41,785
		1,741,909		2,120,854		924,497		4,787,260
Foreign exchange and gold contracts
Futures		9,032		6,382		384		15,798
Spot and forwards		399,518		21,526		5,962		427,006
Swaps		116,067		287,705		166,403		570,175
Options purchased		12,215		3,976		65		16,256
Options written		14,373		2,115		7		16,495
		551,205		321,704		172,821		1,045,730
Other derivative contracts
Equity		102,031		43,146		175		145,352
Credit		15,554		7,810		4,057		27,421
Commodity and other contracts		39,966		21,182		181		61,329
		157,551		72,138		4,413		234,102
Total	$	2,450,665	$	2,514,696	$	1,101,731	$	6,067,092

As at October 31, 2020 ($ millions)	Within one year		One to five years		Over five years		Total
Interest rate contracts
Futures	$	63,381	$	47,648	$	36	$	111,065
Forward rate agreements		493,676		105,747		6,803		606,226
Swaps		1,204,974		1,617,615		782,897		3,605,486
Options purchased		9,596		17,011		1,607		28,214
Options written		5,784		15,919		7,640		29,343
		1,777,411		1,803,940		798,983		4,380,334
Foreign exchange and gold contracts
Futures		7,144		2,404		–		9,548
Spot and forwards		373,511		22,353		5,064		400,928
Swaps		111,610		256,789		167,976		536,375
Options purchased		28,329		5,615		68		34,012
Options written		29,989		2,811		–		32,800
		550,583		289,972		173,108		1,013,663
Other derivative contracts
Equity		81,897		45,083		1,044		128,024
Credit		19,910		8,965		5,276		34,151
Commodity and other contracts		48,970		15,896		338		65,204
		150,777		69,944		6,658		227,379
Total	$	2,478,771	$	2,163,856	$	978,749	$	5,621,376

(c)	Credit risk

As with other financial assets, derivative instruments are subject to credit risk. Credit risk arises from the possibility that counterparties may default on their obligations to the Bank. However, whereas the credit risk of other financial assets is represented by the principal amount net of any applicable allowance for credit losses, the credit risk associated with derivatives is normally a small fraction of the notional amount of the derivative instrument.

Derivative contracts generally expose the Bank to credit loss if changes in market rates affect a counterparty’s position unfavourably and the counterparty defaults on payment. Accordingly, exposure to credit risk of derivatives is represented by the positive fair value of the instrument.

Negotiated over-the-counter derivatives generally present greater credit exposure than exchange-traded contracts. The net change in the exchange-traded contracts is normally settled daily in cash with the exchange. Holders of these contracts look to the exchange for performance under the contract.

The Bank strives to limit credit risk by dealing with counterparties that it believes are creditworthy, and investment grade counterparties account for a significant portion of the credit risk exposure arising from the Bank’s derivative transactions as at October 31, 2021. To control credit risk associated with derivatives, the Bank uses similar credit risk management activities and procedures to the approaches used in the lending business in assessing and adjudicating exposure. The Bank utilizes a risk metric, potential future exposure (PFE) for derivatives, to measure utilization

against established credit limits to the counterparty. PFE measures the effect that changes in the market have on derivative exposures throughout the lifetime of the counterparties’ trades. Additionally, PFE considers risk mitigants such as netting and collateralization. PFE limits and utilization for derivatives counterparties are authorized and monitored by the Bank’s risk management unit.

The Bank obtains the benefit of netting by entering into master netting arrangements with counterparties (typically industry standard International Swaps and Derivatives Association (ISDA) agreements), which allow for a single net settlement of all transactions covered by that agreement in the event of a default or early termination of the transactions. In this manner, the credit risk associated with favourable contracts is eliminated by the master netting arrangement to the extent that unfavourable contracts with the same counterparty are not settled before favourable contracts.

Collateralization is typically documented by way of an ISDA Credit Support Annex (CSA), the terms of which may vary according to each party’s view of the other party’s creditworthiness. CSAs can require one party to post initial margin at the onset of each transaction. CSAs also allow for variation margin to be called if total uncollateralized mark-to-market exposure exceeds an agreed upon threshold. Such variation margin provisions can be one way (only one party will ever post collateral) or bi-lateral (either party may post collateral depending upon which party is in-the-money). The CSA will also detail the types of collateral that are acceptable to each party, and the adjustments that will be applied against each collateral type. The terms of the ISDA master netting agreements and CSAs are taken into consideration in the calculation of counterparty credit risk exposure (see also page 91 of the 2021 Annual Report).

Derivative instruments used by the Bank include credit derivatives in its investment and loan portfolios: credit protection is sold as an alternative to acquiring exposure to bond or loan assets, and bought to manage or mitigate credit exposures.

The following table summarizes the credit exposure of the Bank’s derivative financial instruments. The credit risk amount (CRA) represents the estimated replacement cost, or positive fair value, for all contracts. CRA takes into account master netting or collateral arrangements that have been made

. CRA does not reflect actual or expected losses.

The credit equivalent amount (CEA) is the exposure at default (EAD) prescribed in the Capital Adequacy Requirements (CAR) Guidelines of the Office of the Superintendent of Financial Institutions (OSFI). The risk-weighted asset is calculated by multiplying the CEA by the capital requirement (K) times 12.5, where K is a function of the probability of default (PD), loss given default (LGD), maturity and prescribed correlation factors. Other derivative contracts – other includes precious metals other than gold, and other commodities, including energy and base metal derivatives.


	2021								2020
As at October 31 ($ millions)	Notional amount		Credit risk amount (CRA) (1)		Credit equivalent amount (CEA) (1)		Risk- Weighted Assets		Notional amount		Credit risk amount (CRA) (1)		Credit equivalent amount (CEA) (1)		Risk- Weighted Assets
Interest rate contracts
Futures	$	123,348	$	–	$	18	$	1	$	111,065	$	–	$	46	$	–
Forward rate agreements		219,841		32		125		68		606,226		52		129		45
Swaps		4,361,426		3,951		4,760		1,120		3,605,486		7,418		8,343		2,610
Options purchased		40,860		70		44		10		28,214		78		46		13
Options written		41,785		–		11		3		29,343		–		21		6
		4,787,260		4,053		4,958		1,202		4,380,334		7,548		8,585		2,674
Foreign exchange and gold contracts
Futures		15,798		–		148		3		9,548		–		42		–
Spot and forwards		427,006		1,604		4,455		1,404		400,928		1,492		3,821		1,170
Swaps		570,175		1,128		7,287		1,660		536,375		775		6,313		1,680
Options purchased		16,256		351		247		118		34,012		933		467		242
Options written		16,495		–		14		2		32,800		–		18		2
		1,045,730		3,083		12,151		3,187		1,013,663		3,200		10,661		3,094
Other derivative contracts
Equity		145,352		1,423		9,707		1,340		128,024		1,098		7,091		1,004
Credit		27,421		197		304		59		34,151		270		458		116
Commodity and other contracts		61,329		4,562		6,610		1,182		65,204		868		3,629		592
		234,102		6,182		16,621		2,581		227,379		2,236		11,178		1,712
Credit Valuation Adjustment		–		–		–		3,957		–		–		–		5,330
Total derivatives	$	6,067,092	$	13,318	$	33,730	$	10,927	$	5,621,376	$	12,984	$	30,424	$	12,810
Amount settled through central counterparties (2)
Exchange-traded		226,695		–		5,200		123		195,287		–		4,194		95
Over-the-counter		4,239,877		–		849		17		3,834,332		–		872		17
	$	4,466,572	$	–	$	6,049	$	140	$	4,029,619	$	–	$	5,066	$	112

(1)	The amounts presented are net of collateral and master netting agreements at the product level. The total amounts relating to netting and collateral were $28,961 (2020 – $32,081) for CRA, and $67,487 (2020 – $66,686) for CEA.

(2)	Amounts are included under total derivatives above. Amounts include exposures settled directly through central counterparties and exposures settled through clearing members of central counterparties.

1	Regulatory haircuts prescribed by the OSFI CAR Guidelines are applied to the collateral balances of the CRA measure.

(d)	Fair value

The following table summarizes the fair value of derivatives segregated by type and segregated between trading and those derivatives designated in hedging relationships.


As at October 31 ($ millions)	2021				2021				2020
	Average fair value				Year-end fair value				Year-end fair value (1)
	Favourable		Unfavourable		Favourable		Unfavourable		Favourable		Unfavourable
Trading
Interest rate contracts
Forward rate agreements	$	58	$	3	$	69	$	3	$	138	$	–
Swaps		13,702		11,652		9,805		9,427		18,007		13,044
Options		271		233		412		195		89		80
		14,031		11,888		10,286		9,625		18,234		13,124
Foreign exchange and gold contracts
Forwards		4,430		3,931		4,823		4,154		4,048		3,448
Swaps		9,374		10,851		9,070		10,796		9,931		12,934
Options		615		503		357		259		984		752
		14,419		15,285		14,250		15,209		14,963		17,134
Other derivative contracts
Equity		3,482		3,918		3,677		5,049		2,940		2,732
Credit		239		40		245		30		480		53
Commodity and other contracts		4,875		4,208		6,921		5,789		2,677		2,995
		8,596		8,166		10,843		10,868		6,097		5,780
Trading derivatives’ market valuation	$	37,046	$	35,339	$	35,379	$	35,702	$	39,294	$	36,038
Hedging
Interest rate contracts
Swaps					$	2,839	$	3,538	$	2,783	$	3,830
Foreign exchange and gold contracts
Forwards						461		236		198		220
Swaps						3,582		2,726		2,782		2,157
					$	4,043	$	2,962	$	2,980	$	2,377
Other derivative contracts
Equity					$	41	$	1	$	8	$	2
Hedging derivatives’ market valuation					$	6,923	$	6,501	$	5,771	$	6,209
Total derivative financial instruments as per Statement of Financial Position					$	42,302	$	42,203	$	45,065	$	42,247

Less: impact of master netting and collateral (2)						28,961		28,961		32,081		32,081
Net derivative financial instruments (2)					$	13,341	$	13,242	$	12,984	$	10,166

(1)	The average fair value of trading derivatives’ market valuation for the year ended October 31, 2020 was: favourable $44,942 and unfavourable $44,332. Average fair value amounts are based on the latest 13 month-end balances.

(2)

Master netting agreement amounts are based on the capital adequacy criteria of the Basel Committee on Banking Supervision (BCBS) and OSFI. These criteria allow netting where there are legally enforceable contracts which enable net settlement in the event of a default, bankruptcy, liquidation or similar circumstances.

(e)	Hedging activities

The Bank manages interest rate risk, foreign currency risk and equity risk through hedge accounting transactions.

Interest rate risk

Single-currency interest rate swaps are used to hedge interest rate risk exposure. In fair value hedges of interest rate risk, the interest rate exposure from fixed rate assets and liabilities is converted from fixed to floating rate exposure. In cash flow hedges of interest rate risk, the interest rate exposure from floating rate assets and liabilities is converted from floating to fixed rate exposure. The Bank generally hedges interest rate risk only to the extent of benchmark interest rates. The total interest cash flows usually comprise a spread in addition to the benchmark rate.

Foreign currency risk

In fair value hedges, cross-currency interest rate swaps and single-currency interest rate swaps are used to manage foreign currency exposure in conjunction with interest rate exposure. Cross-currency interest rate swaps or a combination of cross-currency and single-currency interest rate swaps are mainly used to convert a foreign currency fixed rate exposure to a functional currency floating rate exposure. In hedges of both foreign currency and interest rate exposure, the interest rate risk is generally hedged only to the extent of the benchmark interest rate.

In cash flow hedges, cross-currency interest rate swaps, single-currency interest rate swaps, foreign currency forwards and foreign currency assets or liabilities are used to manage foreign currency exposure, or a combined foreign currency and interest rate exposure. Cross-currency interest rate swaps are used to offset the foreign currency exposure by exchanging the interest cash flows in one currency for interest cash flows in another currency. Single-currency interest rate swaps may be used in conjunction with cross-currency interest rate swaps to convert the foreign currency exposure or resulting functional currency exposure from floating to fixed. Foreign currency forwards and foreign currency denominated assets and liabilities are used to offset the exposure arising from highly probable future cash flows, including purchase considerations for business acquisitions and sale proceeds for business divestitures that are denominated in a foreign currency. In hedges of both foreign currency and interest rate exposure, the interest rate risk is generally hedged only to the extent of the benchmark interest rate.

In net investment hedges, the Bank designates foreign currency liabilities and foreign currency forwards as hedging instruments to manage foreign currency exposure. The designated non-derivative liabilities are denominated in the functional currency of the net investment, such that the foreign currency translation impact from the net investment will be offset by the foreign currency impact from the designated liabilities. The foreign currency forward contracts are structured to sell the functional currency of the net investment in return for the Bank’s functional currency.

Equity risk

Equity risk is created by the Bank’s share-based compensation plans awarded to employees. In cash flow hedges, total return swaps are mainly used to offset the equity exposure by exchanging interest payments for payments based on the returns on the underlying shares.

For all of the risks identified above, the economic relationship and hedge ratio are determined using a qualitative and quantitative assessment. This assessment incorporates comparison of critical terms of the hedged and hedging item, and regression analysis. For regression analysis, a hedging relationship is considered highly effective when all of the following criteria are met: correlation between the variables in the regression is at least 0.8 or greater; slope of the regression is within a 0.8-1.25 range; and confidence level of the slope is at least 95%.The main sources of hedge ineffectiveness include the following:

•

The use of different discount curves to value the hedged item and the hedging derivative in fair value hedges, in order to reflect the reduced credit risk of collateralized derivatives;

•

Differences in the underlying reference interest rate tenor, reset/settlement frequency and floating spread between the hedging instruments and the hedged item.

The Bank has elected to continue to apply the hedge accounting requirements of IAS 39. However, the Bank has implemented the additional hedge accounting disclosures that are required by the IFRS 9 related amendments to IFRS 7 “

Financial Instruments: Disclosures

”.

The following table summarizes the notional amounts of derivatives and carrying amounts of cash and deposit liabilities designated as hedging instruments.


	2021								2020
	Notional amounts (1)								Notional amounts (1)
	Remaining term to maturity								Remaining term to maturity
As at October 31 ($ millions)	Within one year		One to five years		Over five years		Total		Within one year		One to five years		Over five years		Total
Fair value hedges
Interest rate risk – swaps	$	21,850	$	127,350	$	14,489	$	163,689	$	41,972	$	115,479	$	14,873	$	172,324
Foreign currency/interest rate risk – swaps		–		11		–		11		–		116		107		223

Cash flow hedges
Interest rate risk – swaps		34,489		62,934		28,754		126,177		11,990		33,580		11,920		57,490
Foreign currency/interest rate risk – swaps		16,906		23,224		7,645		47,775		17,082		33,516		5,720		56,318
Foreign currency risk
Swaps		29,002		54,434		14,425		97,861		25,787		61,137		15,166		102,090
Foreign currency forwards		10,510		–		–		10,510		3,000		–		–		3,000
Cash		66		–		–		66		71		–		–		71
Equity risk – total return swaps		316		649		–		965		171		411		–		582

Net investment hedges
Foreign currency risk
Foreign currency forwards		18,132		–		–		18,132		16,114		–		–		16,114
Deposit liabilities		5,714		–		–		5,714		6,150		–		–		6,150
Total	$	136,985	$	268,602	$	65,313	$	470,900	$	122,337	$	244,239	$	47,786	$	414,362

(1)	Notional amounts relating to derivatives that are hedging multiple risks in both assets and liabilities are included in more than one category.

The following table shows the average rate or price of significant hedging instruments.

2021

2020

Average rate or price

(1)

Average rate or price

(1)

As at October 31

Fixed interest rate

FX rate

Price

Fixed interest rate

FX rate

Price

Fair value hedges

Interest rate risk – swaps

1.18

n/a

1.71

n/a

Cash flow hedges

Interest rate risk – swaps

1.22

n/a

2.10

n/a

Foreign currency/interest rate risk – swaps

CAD-USD

1.33

1.31

n/a

1.30

1.32

n/a

Foreign currency risk

Swaps

CAD-USD

n/a

1.27

n/a

1.31

n/a

CAD-EUR

n/a

1.50

n/a

1.49

n/a

CAD-GBP

n/a

1.72

n/a

1.72

n/a

Foreign currency forwards

CAD-USD

n/a

1.26

n/a

1.33

n/a

Equity price risk – total return swaps

n/a

71.29

n/a

75.40

Net investment hedges

Foreign currency risk – foreign currency forwards

CAD-USD

n/a

1.26

n/a

1.34

n/a

MXN-CAD

n/a

16.77

n/a

16.60

n/a

PEN-CAD

n/a

3.08

n/a

2.64

n/a

(1)	The average rate or price is calculated in aggregate for all of the Bank’s hedge relationships, including hedges of assets and liabilities. The majority of the Bank’s hedges have a remaining term to maturity of less than 5 years.

For fair value hedges, the following table contains information related to items designated as hedging instruments, hedged items and ineffectiveness.


	Carrying amount of the hedging instruments (1)					Hedge Ineffectiveness (2)												Accumulated amount of fair value hedge adjustment gains/ (losses) on the hedged item (4)
For the year ended October 31, 2021 ($ millions)	Assets		Liabilities			Gains/(losses) on hedging instrument used to calculate hedge ineffectiveness			Gains/ (losses) on hedged item used to calculate hedge ineffectiveness			Ineffectiveness recorded in non-interest income – other			Carrying amount of the hedged item (3)			Active hedges			Discontinued hedges
Fair value hedges
Interest rate risk – swaps	$	1,868	$	(967	)	$	1,708		$	(1,736	)	$	(28	)
Investment securities							790			(809	)		(19	)	$	16,315		$	92		$	163
Loans							2,233			(2,230	)		3			117,009			(1,339	)		5
Deposit liabilities							(1,236	)		1,224			(12	)		(60,444	)		417			(371	)
Subordinated debentures							(79	)		79			–			(4,692	)		(1	)		(71	)

Foreign currency/interest
rate risk – swaps		–		(1	)		3			(2	)		1
Investment securities							3			(2	)		1			89			–			(1	)
Total	$	1,868	$	(968	)	$	1,711		$	(1,738	)	$	(27	)	$	68,277		$	(831	)	$	(275	)

(1)	Comprises unrealized gains/losses and are recorded within derivative financial instruments in assets and liabilities, respectively in the Consolidated Statement of Financial Position.

(2)	Includes ineffectiveness related to hedges discontinued during the year ended October 31, 2021.

(3)	This represents the carrying value on the Consolidated Statement of Financial Position and comprises amortized cost before allowance for credit losses, plus fair value hedge adjustment, except for investment securities which are carried at fair value.

(4)	This represents the accumulated fair value hedge adjustment and is a component of the carrying amount of the hedged item.


	Carrying amount of the hedging instruments (1)					Hedge Ineffectiveness (2)												Accumulated amount of fair value hedge adjustment gains/ (losses) on the hedged item (4)
For the year ended October 31, 2020 ($ millions)	Assets		Liabilities			Gains/(losses) on hedging instrument used to calculate hedge ineffectiveness			Gains/ (losses) on hedged item used to calculate hedge ineffectiveness			Ineffectiveness recorded in non-interest income – other			Carrying amount of the hedged item (3)			Active hedges			Discontinued hedges
Fair value hedges
Interest rate risk – swaps	$	1,742	$	(2,456	)	$	(392	)	$	377		$	(15	)
Investment securities							(622	)		610			(12	)	$	40,785		$	1,049		$	249
Loans							(913	)		898			(15	)		71,081			994			48
Deposit liabilities							996			(985	)		11			(59,084	)		(846	)		(545	)
Subordinated debentures							147			(146	)		1			(5,638	)		(93	)		(77	)

Foreign currency/interest
rate risk – swaps		22		(1	)		(1	)		–			(1	)
Investment securities							(1	)		–			(1	)		221			1			–
Total	$	1,764		$ (2,457	)	$	(393	)	$	377		$	(16	)	$	47,365		$	1,105		$	(325	)

(1)	Comprises unrealized gains/losses and are recorded within derivative financial instruments in assets and liabilities, respectively in the Consolidated Statement of Financial Position.

(2)	Includes ineffectiveness related to hedges discontinued during the year ended October 31, 2020.

(3)	This represents the carrying value on the Consolidated Statement of Financial Position and comprises amortized cost before allowance for credit losses, plus fair value hedge adjustment, except for investment securities which are carried at fair value.

(4)	This represents the accumulated fair value hedge adjustment and is a component of the carrying amount of the hedged item.

For cash flow hedges and net investment hedges, the following table contains information related to items designated as hedging instruments, hedged items and ineffectiveness.


	Carrying amount of the hedging instruments (1)					Hedge Ineffectiveness (2)
For the year ended October 31, 2021 ($ millions)	Assets		Liabilities			Gains/(losses) on hedging instrument used to calculate hedge ineffectiveness			Gains/(losses) on hypothetical derivative used to calculate hedge ineffectiveness (3)			Ineffectiveness recorded in non-interest income – other (4)
Cash flow hedges
Interest rate risk – swaps	$	1,204	$	(2,818)		$	(1,004	)	$	(1,017	)	$	16
Foreign currency/interest rate risk – swaps		2,428		(180	)		1,352			1,378			(5	)
Foreign currency risk
Swaps		921		(2,298	)		(1,969	)		(1,973	)		1
Foreign currency forwards		25		(155	)		72			69			5
Cash		66		–			(2	)		(2	)		–
Equity risk – total return swaps		41		(1	)		330			330			–
		4,685		(5,452	)		(1,221	)		(1,215	)		17
Net investment hedges
Foreign currency risk
Foreign currency forwards		436		(81	)		841			841			–
Deposit liabilities		n/a		(5,714	)		435			435			–
		436		(5,795	)		1,276			1,276			–
Total	$	5,121	$	(11,247	)	$	55		$	61		$	17

(1)	Comprises unrealized gains/losses for derivative instruments and are recorded within derivative financial instruments in assets and liabilities, respectively in the Consolidated Statement of Financial Position.

(2)	Includes ineffectiveness related to hedges discontinued during the year ended October 31, 2021.

(3)	For cash flow hedges, hypothetical derivatives having critical terms which match those of the underlying hedged item are used to assess hedge ineffectiveness.

(4)	For cash flow hedges, ineffectiveness is only recognized in the Consolidated Statement of Income when the life-to-date cumulative change in the hedging instrument exceeds the cumulative change in the hypothetical derivative.


	Carrying amount of the hedging instruments (1)					Hedge Ineffectiveness (2)
For the year ended October 31, 2020 ($ millions)	Assets		Liabilities			Gains/(losses) on hedging instrument used to calculate hedge ineffectiveness			Gains/(losses) on hypothetical derivative used to calculate hedge ineffectiveness (3)			Ineffectiveness recorded in non-interest income – other (4)
Cash flow hedges
Interest rate risk – swaps	$	684	$	(1,575	)	$	62		$	58		$	(2	)
Foreign currency/interest rate risk – swaps		1,347		(570	)		896			908			13
Foreign currency risk
Swaps		1,770		(1,385	)		1,298			1,276			(2	)
Foreign currency forwards		17		(12	)		464			464			(1	)
Cash		71		–			4			4			–
Equity risk – total return swaps		8		(2	)		(173	)		(173	)		–
		3,897		(3,544	)		2,551			2,537			8
Net investment hedges
Foreign currency risk
Foreign currency forwards		181		(208	)		(77	)		(77	)		–
Deposit liabilities		n/a		(6,150	)		(70	)		(70	)		–
		181		(6,358	)		(147	)		(147	)		–
Total	$	4,078		$ (9,902	)		$ 2,404			$ 2,390		$	8

(1)	Comprises unrealized gains/losses for derivative instruments and are recorded within derivative financial instruments in assets and liabilities, respectively in the Consolidated Statement of Financial Position.

(2)	Includes ineffectiveness related to hedges discontinued during the year ended October 31, 2020.

(3)	For cash flow hedges, hypothetical derivatives having critical terms which match those of the underlying hedged item are used to assess hedge ineffectiveness.

(4)	For cash flow hedges, ineffectiveness is only recognized in the Consolidated Statement of Income when the life-to-date cumulative change in the hedging instrument exceeds the cumulative change in the hypothetical derivative.

For cash flow hedges and net investment hedges, the following table contains information regarding the impacts on the Consolidated Statement of Other Comprehensive Income on a pre-tax basis.


	AOCI as at November 1, 2020			Net gains/ (losses) recognized in OCI			Amount reclassified to net income as the hedged item affects net income (1)			Amount reclassified to net income for hedges of forecasted transactions that are no longer expected to occur (1)		Net gains/ (losses) included in non-financial asset/liability as a result of a hedged forecasted transaction		AOCI as at October 31, 2021			Balance in cash flow hedge reserve/unrealized foreign currency translation account as at October 31, 2021
For the year ended October 31, 2021 ($ millions)	AOCI as at November 1, 2020			Net gains/ (losses) recognized in OCI										AOCI as at October 31, 2021			Active hedges			Discontinued hedges
Cash flow hedges
Interest rate risk	$	412		$	(1,033	)	$	165		$	–	$	–	$	(456	)	$	(991	)	$	535
Foreign currency/interest rate risk		1,054			1,434			(2,497	)		–		–		(9	)		(192	)		183
Foreign currency risk		(706	)		(1,998	)		2,747			–		–		43			31			12
Equity risk		(30	)		330			(239	)		–		–		61			61			–
		730			(1,267	)		176			–		–		(361	)		(1,091	)		730
Net investment hedges
Foreign currency risk		(3,136	)		1,276			31			–		–		(1,829	)		(1,726	)		(103	)
Total	$	(2,406	)	$	9		$	207		$	–	$	–	$	(2,190	)	$	(2,817	)	$	627

(1)	Amounts reclassified from the cash flow hedge and net investment hedge reserves to net income are recorded in non-interest income-other except for amortization, which is recorded in interest income.


	AOCI as at November 1, 2019			Net gains/ (losses) recognized in OCI			Amount reclassified to net income as the hedged item affects net income (1)			Amount reclassified to net income for hedges of forecasted transactions that are no longer expected to occur (1)		Net gains/ (losses) included in non-financial asset/liability as a result of a hedged forecasted transaction		AOCI as at October 31, 2020			Balance in cash flow hedge reserve/unrealized foreign currency translation account as at October 31, 2020
For the year ended October 31, 2020 ($ millions)	AOCI as at November 1, 2019			Net gains/ (losses) recognized in OCI										AOCI as at October 31, 2020			Active hedges			Discontinued hedges
Cash flow hedges
Interest rate risk	$	463		$	64		$	(115	)	$	–	$	–	$	412		$	(457	)	$	869
Foreign currency/interest rate risk		208			883			(37	)		–		–		1,054			875			179
Foreign currency risk		99			1,769			(2,574	)		–		–		(706	)		(708	)		2
Equity risk		21			(173	)		122			–		–		(30	)		(30	)		–
		791			2,543			(2,604	)		–		–		730			(320	)		1,050
Net investment hedges
Foreign currency risk		(3,483	)		(147	)		494			–		–		(3,136	)		(3,067	)		(69	)
Total	$	(2,692	)	$	2,396		$	(2,110	)	$	–	$	–	$	(2,406	)	$	(3,387	)	$	981

(1)	Amounts reclassified from the cash flow hedge and net investment hedge reserves to net income are recorded in non-interest income-other.