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Derivative Financial Instruments (Tables)
 12 Months Ended
Oct. 31, 2021
Text Block [Abstract]  
Summary of Derivative Financial Instruments at Notional Value
 
   
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.
 
Summary of Remaining Term to Maturity of Notional Amounts of Bank's Derivative Financial Instruments
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  
 
Summary of Credit Exposure of Derivative Financial Instruments
 
   
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.
Summary of Financial Derivatives at 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.
Summary of Notional Amount of Derivatives and Carrying Amount of Deposit Liabilities
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.
 
Summary of Average Price or Rate of Hedging Instruments
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
 
  
 
n/a
 
     1.71 %      n/a       n/a  
             
Cash flow hedges
                                                
Interest rate risk – swaps
  
 
1.22
% 
  
 
n/a
 
  
 
n/a
 
     2.10 %      n/a       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
 
     n/a       1.31       n/a  
CAD-EUR
  
 
n/a
 
  
 
1.50
 
  
 
n/a
 
     n/a       1.49       n/a  
CAD-GBP
  
 
n/a
 
  
 
1.72
 
  
 
n/a
 
     n/a       1.72       n/a  
Foreign currency forwards
                                                
CAD-USD
  
 
n/a
 
  
 
1.26
 
  
 
n/a
 
     n/a       1.33       n/a  
Equity price risk – total return swaps
  
 
n/a
 
  
 
n/a
 
  
$
71.29
 
     n/a       n/a     $ 75.40  
             
Net investment hedges
                                                
Foreign currency risk – foreign currency forwards
                                                
CAD-USD
  
 
n/a
 
  
 
1.26
 
  
 
n/a
 
     n/a       1.34       n/a  
MXN-CAD
  
 
n/a
 
  
 
16.77
 
  
 
n/a
 
     n/a       16.60       n/a  
PEN-CAD
  
 
n/a
 
  
 
3.08
 
  
 
n/a
 
     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.
Summary of Items designated as Hedging Instruments, Hedged Items and Ineffectiveness for Fair Value Hedges
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.
Summary of Items designated as Hedging Instruments, Hedged Items and Ineffectiveness for Fair Value Hedges for Cash Flow Hedges and Net Investment Hedges
   
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.
Summary of Effectiveness of Cash Flow and Net Investment Hedges on Consolidated Statement of Other Comprehensive Income
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.
Schedule of Period When Cash Flows of Designated Hedged Items are Expected to Occur and Impact Consolidated Statement of Income
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)		  
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)
  
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.