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Derivatives | 12 Months Ended
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Oct. 31, 2025
Disclosure of Financial Assets [Abstract] |
Derivatives | NOTE 11: DERIVATIVES (a) DERIVATIVE PRODUCT TYPES AND RISK EXPOSURES The majority of the Bank’s derivative contracts are OTC transactions that are bilaterally negotiated between the Bank and the counterparty to the contract. The remainder are exchange-traded contracts transacted through organized and regulated exchanges and consist primarily of options and futures. The Bank’s derivative transactions relate to trading and non-trading activities. The purpose of derivatives held for non-trading activities is primarily for managing interest rate, foreign exchange, and equity risk related to the Bank’s funding, lending, investment, and other structural market risk management activities. The Bank’s risk management strategy for these risks is discussed in shaded sections of the “Managing Risk” section of the MD&A. Where hedge accounting is applied, only specific or a combination of risk components are hedged, including benchmark interest rate, foreign exchange rate, and equity price components. All these risk components are observable in the relevant market environment and the change in the fair value or the variability in cash flows attributable to these risk components can be reliably measured for hedged items. The Bank also enters into derivative transactions to economically hedge certain exposures that do not otherwise qualify for hedge accounting, or where hedge accounting is not considered feasible. Where the derivatives are in hedge relationships, the main sources of ineffectiveness can be attributed to differences between hedging instruments and hedged items: ● Differences in fixed rates, when contractual coupons of the fixed rate hedged items are designated; ● CVA on the hedging derivatives; and ● Mismatch in critical terms such as tenor and timing of cash flows between hedging instruments and hedged items. To mitigate a portion of the ineffectiveness, the Bank designates the benchmark risk component of contractual cash flows of hedged items and executes hedging derivatives with high-quality counterparties. The majority of the Bank’s hedging derivatives are collateralized. Interest Rate Derivatives 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 amount. This includes interest rate swaps that are transacted and settled through a clearing house which acts as a central counterparty. 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 amount. No exchange of principal amount takes place. 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 amount. No exchange of principal amount takes place. Interest rate options are contracts in which the purchaser of an option pays the writer of the option a premium to acquire the right, but not the obligation, to buy or sell a specified financial instrument at a contracted price on a specified future date, series of future dates, or within a specified time period. The underlying financial instrument will have a market price which varies in response to changes in interest rates. In managing the Bank’s interest rate exposure, the Bank acts as both a writer and purchaser of these options. Options are transacted both OTC and through exchanges. Interest rate futures are standardized contracts transacted on an exchange, with interest bearing instruments as the underlying reference assets. These contracts differ from forward rate agreements in that they are in standard amounts with standard settlement dates and are transacted on an exchange. The Bank uses interest rate swaps to hedge its exposure to benchmark interest rate risk by modifying the repricing or maturity characteristics of existing and/or forecast assets and liabilities, including funding and investment activities. These swaps are designated in either fair value hedges against fixed rate assets/liabilities or cash flow hedges against floating rate assets/liabilities. For fair value hedges, the Bank assesses and measures the hedge effectiveness based on the change in the fair value of the derivative hedging instrument relative to the change in the fair value of the hedged item. For cash flow hedges, the Bank uses a hypothetical derivative having terms that identically match the critical terms of the hedged item as the proxy for measuring the change in cash flows of the hedged item. 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. Swap contracts comprise foreign exchange swaps and cross-currency interest rate swaps. Foreign exchange swaps are transactions in which a foreign currency is simultaneously purchased in the spot market and sold in the forward market, or vice-versa. Cross-currency interest rate swaps are transactions in which counterparties exchange principal and interest cash flows in different currencies over a period of time. These contracts are used to manage either currency or currency and interest rate risk exposures. Foreign exchange contract options are OTC or exchange-traded contracts in which the purchaser of an option pays the writer of the option a premium to purchase the right, but not the obligation, to buy or sell a specified amount of one currency at a predetermined exchange rate on or before a specified future date. Foreign exchange futures contracts are similar to foreign exchange forward contracts but differ in that they are in standard currency amounts with standard settlement dates and are transacted on an exchange. The Bank uses non-derivative instruments such as foreign currency deposit liabilities and derivative instruments such as cross-currency swaps and foreign exchange forwards to hedge its foreign currency exposure. These hedging instruments are designated in either net investment hedges or cash flow hedges. For net investment hedges, the Bank assesses and measures the hedge effectiveness based on the change in the fair value of the hedging instrument relative to the translation gains and losses on the net investment in the foreign operation. For cash flow hedges, the Bank assesses and measures the hedge effectiveness based on the change in the fair value of the hedging instrument relative to the change in the cash flows of the foreign currency denominated asset/liability attributable to foreign exchange risk, using the hypothetical derivative method. Credit Derivatives The Bank uses credit derivatives such as credit default swaps (CDS) and total return swaps to manage risks in the Bank’s corporate loan portfolio and other cash instruments, as well as managing counterparty credit risk on derivatives. Credit risk is the risk of loss if a borrower or counterparty in a transaction fails to meet its agreed payment obligations. The Bank uses credit derivatives to mitigate industry concentration and borrower-specific exposure as part of the Bank’s portfolio risk management techniques. The credit, legal, and other risks associated with these transactions are controlled through well established procedures. The Bank’s policy is to enter into these transactions with investment grade financial institutions. Credit risk to these counterparties is managed through the same approval, limit, and monitoring processes that is used for all counterparties to which the Bank has credit exposure. 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, which include contracts transacted through clearing houses, and total return swaps. In CDS contracts, the CDS purchaser acquires credit protection on a reference asset or group of assets from a writer of CDS in exchange for a premium. The purchaser may pay the agreed premium at inception or over a period of time. The credit protection compensates the purchaser for deterioration in value of the reference asset or group of assets upon the occurrence of certain credit events such as bankruptcy, or changes in specified credit rating or credit index. Settlement may be cash based or physical, requiring the delivery of the reference asset to the CDS writer. In total return swap contracts, one counterparty agrees to pay or receive from the other cash amounts based on changes in the value of a reference asset or group of assets, including any returns such as 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. Other Derivatives The Bank also transacts in equity and commodity derivatives in both exchange and OTC markets. 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. These contracts sometimes include a payment 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 both OTC and through exchanges. 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 no actual delivery of stocks that comprise the underlying index. These contracts are in standard amounts with standard settlement dates. Equity forwards are OTC contracts in which one counterparty contracts with another to buy or sell a single stock or stock index, or to settle the contract in cash based on changes in the value of a reference asset, at a future date. Commodity and other contracts include commodity forwards, futures, swaps, and options, such as precious metals and energy-related products in both OTC and exchange markets. The Bank applies hedge accounting on certain equity forwards and/or total return swaps to hedge exposure to equity price risk. These derivatives are designated as cash flow hedges. The Bank assesses and measures the hedge effectiveness based on the change in the fair value of the hedging instrument relative to the change in the cash flows of the hedged item attributable to movement in equity price, using the hypothetical derivative method. Fair Value of Derivatives (millions of Canadian dollars) October 31, 2025 October 31, 2024 Fair value as at Fair value as at balance sheet date balance sheet date Positive Negative Positive Negative Derivatives held or issued for trading purposes Interest rate contracts 1 Forward rate agreements $ 119 $ 93 $ 232 $ 48 Swaps 7,968 6,432 11,971 9,470 Options written – 1,121 – 1,118 Options purchased 1,237 – 1,210 – Total interest rate contracts 9,324 7,646 13,413 10,636 Foreign exchange contracts 1 Forward contracts 3,585 1,935 3,617 2,521 Swaps 14,776 14,845 15,456 14,304 Cross-currency interest rate swaps 24,854 23,378 24,366 22,496 Options written – 575 – 619 Options purchased 503 – 507 – Total foreign exchange contracts 43,718 40,733 43,946 39,940 Credit derivative contracts Credit default swaps – protection purchased 12 311 – 294 Credit default swaps – protection sold 32 1 5 2 Total credit derivative contracts 44 312 5 296 Other contracts Equity contracts 9,485 16,808 5,286 6,636 Commodity and other contracts 5,619 7,054 5,321 5,545 Total other contracts 15,104 23,862 10,607 12,181 Fair value – trading 68,190 72,553 67,971 63,053 Derivatives held or issued for non-trading purposes Interest rate contracts Forward rate agreements – – 8 – Swaps 1,680 2,006 2,005 2,807 Options written – – – 1 Options purchased – 2 16 – Total interest rate contracts 1,680 2,008 2,029 2,808 Foreign exchange contracts Forward contracts 35 1,129 386 494 Swaps 29 1 80 20 Cross-currency interest rate swaps 9,827 662 6,649 524 Total foreign exchange contracts 9,891 1,792 7,115 1,038 Credit derivative contracts Credit default swaps – protection purchased – 128 1 107 Total credit derivative contracts – 128 1 107 Other contracts Equity contracts 3,211 2,875 945 1,362 Total other contracts 3,211 2,875 945 1,362 Fair value – non-trading 14,782 6,803 10,090 5,315 Total fair value $ 82,972 $ 79,356 $ 78,061 $ 68,368 1 The fair values of interest rate futures and foreign exchange futures are immaterial and therefore excluded from this table. The following table distinguishes derivatives held or issued for non-trading purposes between those that have been designated in qualifying hedge accounting relationships and those which have not been designated in qualifying hedge accounting relationships as at October 31, 2025 and October 31, 2024. Fair Value of Non-Trading Derivatives 1 (millions of Canadian dollars) As at October 31, 2025 Derivative Assets Derivative Liabilities Derivatives Derivatives Derivatives in qualifying not in Derivatives in qualifying not in hedging relationships qualifying hedging relationships qualifying Fair Cash Net hedging Fair Cash Net hedging value flow investment relationships Total value flow investment relationships Total Derivatives held or issued for non-trading purposes Interest rate contracts $ 1,275 $ 199 $ – $ 206 $ 1,680 $ 300 $ 771 $ – $ 937 $ 2,008 Foreign exchange contracts – 9,651 11 229 9,891 – 1,485 286 21 1,792 Credit derivative contracts – – – – – – – – 128 128 Other contracts – 1,808 – 1,403 3,211 – 21 – 2,854 2,875 Fair value – non-trading $ 1,275 $ 11,658 $ 11 $ 1,838 $ 14,782 $ 300 $ 2,277 $ 286 $ 3,940 $ 6,803 October 31, 2024 Derivatives held or issued for non-trading purposes Interest rate contracts $ 932 $ 123 $ – $ 974 $ 2,029 $ 309 $ 1,290 $ – $ 1,209 $ 2,808 Foreign exchange contracts – 6,945 – 170 7,115 – 846 – 192 1,038 Credit derivative contracts – – – 1 1 – – – 107 107 Other contracts – 337 – 608 945 – 132 – 1,230 1,362 Fair value – non-trading $ 932 $ 7,405 $ – $ 1,753 $ 10,090 $ 309 $ 2,268 $ – $ 2,738 $ 5,315 1 Certain derivative assets qualify to be offset with certain derivative liabilities on the Consolidated Balance Sheet. Refer to Note 6 for further details. Fair Value Hedges The following table presents the effects of fair value hedges on the Consolidated Balance Sheet and the Consolidated Statement of Income. Fair Value Hedges (millions of Canadian dollars) For the years ended or as at October 31, 2025 Accumulated Accumulated Change in Change in fair amount of fair amount of fair value of hedged value of hedging Carrying value hedge value hedge items for instruments for amounts adjustments adjustments on ineffectiveness ineffectiveness Hedge for hedged on hedged de-designated measurement measurement ineffectiveness items items 1,2 hedged items Assets Interest rate risk Debt securities at amortized cost $ 2,031 $ (2,033) $ (2) $ 112,729 $ (7,849) $ (3,195) Financial assets at fair value through other comprehensive income 1,616 (1,618) (2) 93,230 472 18 Loans 517 (514) 3 31,906 (14) (5) Total assets 4,164 (4,165) (1) 237,865 (7,391) (3,182) Liabilities Interest rate risk Deposits (1,090) 1,088 (2) 165,311 (875) 27 Securitization liabilities at amortized cost (141) 141 – 8,599 169 – Subordinated notes and debentures (53) 53 – 2,825 82 (54) Total liabilities (1,284) 1,282 (2) 176,735 (624) (27) Total $ 2,880 $ (2,883) $ (3) October 31, 2024 Assets Interest rate risk Debt securities at amortized cost $ 6,856 $ (6,899) $ (43) $ 113,323 $ (10,995) $ (3,015) Financial assets at fair value through other comprehensive income 3,127 (3,146) (19) 53,253 (1,086) (71) Loans 1,789 (1,798) (9) 52,765 (328) 4 Total assets 11,772 (11,843) (71) 219,341 (12,409) (3,082) Liabilities Interest rate risk Deposits (2,291) 2,265 (26) 125,519 (3,543) (136) Securitization liabilities at amortized cost (163) 163 – 6,865 68 – Subordinated notes and debentures (50) 50 – 3,158 27 (91) Total liabilities (2,504) 2,478 (26) 135,542 (3,448) (227) Total $ 9,268 $ (9,365) $ (97) 1 The Bank has portfolios of fixed rate financial assets and liabilities whereby the principal amount changes frequently due to originations, issuances, maturities and prepayments. The interest rate risk hedges on these portfolios are rebalanced dynamically. 2 Reported balances represent adjustments to the carrying values of hedged items as included in the “Carrying amounts for hedged items” column in this table. Cash Flow Hedges and Net Investment Hedges The following table presents the effects of cash flow hedges and net investment hedges on the Bank’s Consolidated Statement of Income and the Consolidated Statement of Comprehensive Income. Cash Flow and Net Investment Hedges (millions of Canadian dollars) For the years ended October 31, 2025 Change in fair Hedging Amount reclassified Change in value value of hedging gains (losses) from accumulated Net change of hedged items instruments for recognized in other other comprehensive in other for ineffectiveness ineffectiveness Hedge comprehensive income (loss) comprehensive measurement measurement ineffectiveness income 1 to earnings 1 income (loss) 1 Cash flow hedges 2 Interest rate risk 3 $ (1,859) $ 1,860 $ 1 $ 1,619 $ (1,048) $ 2,667 Foreign exchange risk 4,5,6 (5,199) 5,201 2 4,679 4,559 120 Equity price risk (1,531) 1,542 11 1,542 1,347 195 Total cash flow hedges $ (8,589) $ 8,603 $ 14 $ 7,840 $ 4,858 $ 2,982 Net investment hedges 7 $ 1,088 $ (1,088) $ – $ (1,088) $ (799) $ (289) October 31, 2024 Cash flow hedges 2 Interest rate risk 3 $ (3,602) $ 3,606 $ 4 $ 2,128 $ (2,311) $ 4,439 Foreign exchange risk 4,5,6 (1,863) 1,867 4 1,287 2,204 (917) Equity price risk 56 (59) (3) (59) (66) 7 Total cash flow hedges $ (5,409) $ 5,414 $ 5 $ 3,356 $ (173) $ 3,529 Net investment hedges $ 457 $ (457) $ – $ (457) $ (41) $ (416) 1 Effects on OCI are presented on a pre-tax basis. 2 During the years ended October 31, 2025 and October 31, 2024, there were no instances where forecast hedged transactions failed to occur. 3 Hedged items include forecast interest cash flows on loans , deposits, and securitization liabilities. 4 For non-derivative instruments designated as hedging foreign exchange risk, fair value change is measured as the gains and losses due to spot foreign exchange movements. 5 Cross-currency swaps may be used to hedge 1) foreign exchange risk, or 2) a combination of interest rate risk and foreign exchange risk in a single hedge relationship. Cross-currency swaps in both types of hedge relationships are disclosed in the foreign exchange risk category. 6 Hedged items include principal and interest cash flows on foreign denominated securities, loans, deposits, other liabilities, and subordinated notes and debentures. 7 The amount reclassified from accumulated other comprehensive income (loss) to earnings relates to the sale of the Bank’s equity investment in Schwab. Reconciliation of Accumulated Other Comprehensive Income (Loss) 1 (millions of Canadian dollars) For the years ended October 31, 2025 Accumulated other Accumulated other Accumulated other Accumulated other comprehensive Net changes in other comprehensive comprehensive comprehensive income (loss) comprehensive income (loss) income (loss) on income (loss) on at beginning of year income (loss) at end of year designated hedges de-designated hedges Cash flow hedges Interest rate risk $ (2,002) $ 2,667 $ 665 $ 1,727 $ (1,062) Foreign exchange risk (2,008) 120 (1,888) (1,888) – Equity price risk (14) 195 181 181 – Total cash flow hedges $ (4,024) $ 2,982 $ (1,042) $ 20 $ (1,062) Net investment hedges Foreign translation risk $ (6,768) $ (289) $ (7,057) $ (7,057) $ – October 31, 2024 Cash flow hedges Interest rate risk $ (6,441) $ 4,439 $ (2,002) $ 455 $ (2,457) Foreign exchange risk (1,091) (917) (2,008) (2,008) – Equity price risk (21) 7 (14) (14) – Total cash flow hedges $ (7,553) $ 3,529 $ (4,024) $ (1,567) $ (2,457) Net investment hedges Foreign translation risk $ (6,352) $ (416) $ (6,768) $ (6,768) $ – 1 Presented on a pre-tax basis. (b) 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. Notional amounts do not represent the potential gain or loss associated with the market risk nor are they indicative of the credit risk associated with derivative financial instruments. The following table discloses the notional amount of OTC and exchange-traded derivatives. Over-the-Counter and Exchange-Traded Derivatives (millions of Canadian dollars) As at October 31 October 31 2025 2024 Trading Over-the-Counter 1 Non Clearing clearing Exchange- Non- house 2 house traded Total trading 3 Total Total Notional Interest rate contracts Futures $ – $ – $ 1,207,135 $ 1,207,135 $ – $ 1,207,135 $ 761,112 Forward rate agreements 942,703 31,384 – 974,087 579 974,666 574,289 Swaps 19,608,951 623,143 – 20,232,094 1,910,412 22,142,506 19,839,245 Options written – 150,130 53,654 203,784 105 203,889 99,490 Options purchased – 171,046 56,203 227,249 3 227,252 119,511 Total interest rate contracts 20,551,654 975,703 1,316,992 22,844,349 1,911,099 24,755,448 21,393,647 Foreign exchange contracts Forward contracts 48 456,331 – 456,379 26,687 483,066 380,615 Swaps – 1,824,527 – 1,824,527 2,160 1,826,687 1,692,601 Cross-currency interest rate swaps – 1,716,271 – 1,716,271 181,907 1,898,178 1,669,577 Options written – 62,931 326 63,257 – 63,257 56,777 Options purchased – 58,215 40 58,255 – 58,255 49,359 Total foreign exchange contracts 48 4,118,275 366 4,118,689 210,754 4,329,443 3,848,929 Credit derivative contracts Credit default swaps – protection purchased 13,907 1,934 – 15,841 2,890 18,731 15,504 Credit default swaps – protection sold 1,889 329 – 2,218 – 2,218 1,893 Total credit derivative contracts 15,796 2,263 – 18,059 2,890 20,949 17,397 Other contracts Equity contracts – 218,155 191,085 409,240 32,295 441,535 278,028 Commodity and other contracts 174 99,416 188,539 288,129 – 288,129 245,595 Total other contracts 174 317,571 379,624 697,369 32,295 729,664 523,623 Total $ 20,567,672 $ 5,413,812 $ 1,696,982 $ 27,678,466 $ 2,157,038 $ 29,835,504 $ 25,783,596 1 Collateral held under a Credit Support Annex to help reduce counterparty credit risk is in the form of high-quality and liquid assets such as cash and high-quality government securities. Acceptable collateral is governed by the Collateralized Trading Policy. 2 Derivatives executed through a central clearing house reduce settlement risk due to the ability to net settle offsetting positions for capital purposes and therefore receive preferential capital treatment compared to those settled with non-central clearing house counterparties. 3 Includes $ 1,762 billion of OTC derivatives that are transacted with clearing houses (October 31, 2024 – $ 1,532 billion) and $ 395 billion of OTC derivatives that are transacted with non- clearing houses (October 31, 2024 – $ 394 billion). There were no exchange-traded derivatives both as at October 31, 2025 and October 31, 2024. The following table distinguishes the notional amount of derivatives held or issued for non-trading purposes between those that have been designated in qualifying hedge accounting relationships and those which have not been designated in qualifying hedge accounting relationships. Notional of Non-Trading Derivatives (millions of Canadian dollars) As at October 31, 2025 Derivatives in qualifying hedging relationships Derivatives not in Derivatives held or issued for Fair Cash Net qualifying hedging hedging (non-trading) purposes value flow 1 Investment 1 relationships Total Interest rate contracts $ 436,988 $ 380,109 $ – $ 1,094,002 $ 1,911,099 Foreign exchange contracts – 172,269 23,220 15,265 210,754 Credit derivative contracts – – – 2,890 2,890 Other contracts – 2,551 – 29,744 32,295 Total notional non-trading $ 436,988 $ 554,929 $ 23,220 $ 1,141,901 $ 2,157,038 October 31, 2024 Interest rate contracts $ 395,687 $ 340,741 $ – $ 974,641 $ 1,711,069 Foreign exchange contracts – 159,693 – 15,771 175,464 Credit derivative contracts – – – 2,708 2,708 Other contracts – 2,409 – 33,640 36,049 Total notional non-trading $ 395,687 $ 502,843 $ – $ 1,026,760 $ 1,925,290 1 Certain cross-currency swaps are executed using multiple derivatives, including interest rate swaps. These derivatives are used to hedge foreign exchange rate risk in cash flow hedges and net investment hedges. The following table discloses the notional principal amount of OTC derivatives and exchange-traded derivatives based on their contractual terms to maturity. Derivatives by Remaining Term-to-Maturity (millions of Canadian dollars) As at October October 2025 2024 Within Over 1 year Over Notional Principal 1 year to 5 years 5 years Total Total Interest rate contracts Futures $ 891,230 $ 315,905 $ – $ 1,207,135 $ 761,112 Forward rate agreements 946,656 28,010 – 974,666 574,289 Swaps 7,262,622 9,998,401 4,881,483 22,142,506 19,839,245 Options written 159,225 41,237 3,427 203,889 99,490 Options purchased 165,281 59,498 2,473 227,252 119,511 Total interest rate contracts 9,425,014 10,443,051 4,887,383 24,755,448 21,393,647 Foreign exchange contracts Forward contracts 461,515 19,334 2,217 483,066 380,615 Swaps 1,781,558 42,098 3,031 1,826,687 1,692,601 Cross-currency interest rate swaps 551,107 945,450 401,621 1,898,178 1,669,577 Options written 58,108 5,149 – 63,257 56,777 Options purchased 53,584 4,666 5 58,255 49,359 Total foreign exchange contracts 2,905,872 1,016,697 406,874 4,329,443 3,848,929 Credit derivative contracts Credit default swaps – protection purchased 4,943 8,716 5,072 18,731 15,504 Credit default swaps – protection sold 554 1,119 545 2,218 1,893 Total credit derivative contracts 5,497 9,835 5,617 20,949 17,397 Other contracts Equity contracts 338,989 90,121 12,425 441,535 278,028 Commodity and other contracts 256,783 30,286 1,060 288,129 245,595 Total other contracts 595,772 120,407 13,485 729,664 523,623 Total $ 12,932,155 $ 11,589,990 $ 5,313,359 $ 29,835,504 $ 25,783,596 The following table discloses the notional amount and average price of derivative instruments designated in qualifying hedge accounting relationships. Hedging Instruments by Remaining Term-to-Maturity (millions of Canadian dollars, except as noted) As at October 31 October 31 2025 2024 Within Over 1 year Over 5 Notional 1 year to 5 years years Total Total Interest rate risk Interest rate swaps Notional – pay fixed $ 15,114 $ 126,746 $ 106,458 $ 248,318 $ 230,740 Average fixed interest rate % 2.77 3.02 2.58 Notional – received fixed 121,601 190,068 44,210 355,879 317,149 Average fixed interest rate % 3.04 3.01 3.15 Total notional – interest rate risk 136,715 316,814 150,668 604,197 547,889 Foreign exchange risk 1 Forward contracts Notional – USD/CAD 2,127 3,902 38 6,067 7,816 Average FX forward rate 1.31 1.31 1.30 Notional – EUR/CAD 2,808 14,007 2,756 19,571 15,141 Average FX forward rate 1.59 1.55 1.60 Notional – other 257 – – 257 901 Cross-currency swaps 2,3 Notional – USD/CAD 39,860 29,184 11,449 80,493 46,944 Average FX rate 1.36 1.35 1.32 Notional – EUR/CAD 15,336 34,779 14,373 64,488 61,877 Average FX rate 1.45 1.47 1.49 Notional – GBP/CAD – 8,189 – 8,189 9,760 Average FX rate 1.68 Notional – other currency pairs 4 5,997 9,101 1,326 16,424 17,254 Total notional – foreign exchange risk 66,385 99,162 29,942 195,489 159,693 Equity Price Risk Notional – equity contracts 2,551 2,551 2,409 Total notional $ 205,651 $ 415,976 $ 180,610 $ 802,237 $ 709,991 1 Foreign currency denominated deposit liabilities are also used to hedge foreign exchange risk. Includes $ 60.3 billion (October 31, 2024 – $ 77.4 billion) of the carrying value of these non- derivative hedging instruments designated under net investment hedges. 2 Cross-currency swaps may be used to hedge 1) foreign exchange risk, or 2) a combination of interest rate risk and foreign exchange risk in a single hedge relationship. Cross-currency swaps in both types of hedge relationships are disclosed in the foreign exchange risk category. 3 Certain cross-currency swaps are executed using multiple derivatives, including interest rate swaps. The notional amount of these interest rate swaps, excluded from the above, is $ 212.9 billion as at October 31, 2025 (October 31, 2024 – $ 188.5 billion). 4 Includes derivatives executed to manage non-trading foreign currency exposures, when more than one currency is involved prior to hedging to the Canadian dollar, or when the currency pair is not a significant exposure for the Bank. (c) DERIVATIVE-RELATED RISKS Market Risk Derivatives, in the absence of any compensating upfront cash payments, generally have no market value at inception. They obtain value, positive or negative, as relevant interest rates, foreign exchange rates, equity, commodity or credit prices or indices change, such that the previously contracted terms of the derivative transactions have become more or less favourable than what can be negotiated under current market conditions for contracts with the same terms and the same remaining period to expiry. The potential for derivatives to increase or decrease in value as a result of the foregoing factors is generally referred to as market risk. Credit Risk Credit risk on derivatives, also known as counterparty credit risk, is the risk of a financial loss occurring as a result of the failure of a counterparty to meet its obligation to the Bank. Derivative-related credit risks are subject to the same credit approval, limit and monitoring standards that are used for managing other transactions that create credit exposure. This includes evaluating the creditworthiness of counterparties, and managing the size, diversification and maturity structure of the portfolios. The Bank actively engages in risk mitigation strategies through the use of multi-product derivative master netting agreements, collateral and other risk mitigation techniques. Master netting agreements reduce risk to the Bank by allowing the Bank to close out and net transactions with counterparties subject to such agreements upon the occurrence of certain events. The current replacement cost and credit equivalent amount shown in the following table are based on the standardized approach for counterparty credit risk. According to this approach, the current replacement cost accounts for the fair value of the positions, posted and received collateral, and master netting agreement clauses. The credit equivalent amount is the sum of the current replacement cost and the potential future exposure, which is calculated by applying factors determined by OSFI to the notional principal amount of the derivatives. The risk-weighted amount is determined by applying the adequate risk weights to the credit equivalent amount. Credit Exposure of Derivatives (millions of Canadian dollars) As at October 31, 2025 October 31, 2024 Current Credit Risk- Current Credit Risk- replacement equivalent weighted replacement equivalent weighted cost amount amount cost amount amount Interest rate contracts Forward rate agreements $ 49 $ 162 $ 61 $ 35 $ 102 $ 29 Swaps 2,838 8,962 1,323 4,215 11,037 964 Options written 5 147 26 7 140 26 Options purchased 10 151 29 17 123 23 Total interest rate contracts 2,902 9,422 1,439 4,274 11,402 1,042 Foreign exchange contracts Forward contracts 1,064 5,180 978 1,746 5,643 1,022 Swaps 2,802 16,099 2,373 3,234 16,136 2,246 Cross-currency interest rate swaps 3,358 15,195 1,574 4,124 17,176 1,515 Options written 34 334 74 36 291 59 Options purchased 43 279 68 50 239 64 Total foreign exchange contracts 7,301 37,087 5,067 9,190 39,485 4,906 Other contracts Credit derivatives – 192 26 – 207 30 Equity contracts 729 12,531 2,994 669 8,964 2,348 Commodity and other contracts 746 4,777 1,044 1,115 5,752 848 Total other contracts 1,475 17,500 4,064 1,784 14,923 3,226 Total derivatives 11,678 64,009 10,570 15,248 65,810 9,174 Qualifying Central Counterparty Contracts 11,772 24,449 797 10,529 19,117 652 Total $ 23,450 $ 88,458 $ 11,367 $ 25,777 $ 84,927 $ 9,826 Current Replacement Cost of Derivatives (millions of Canadian dollars, except as noted) As at Canada 1 United States 1 Other international 1 Total October 31 October 31 October 31 October 31 October 31 October 31 October 31 October 31 By sector 2025 2024 2025 2024 2025 2024 2025 2024 Financial $ 3,367 $ 4,647 $ 56 $ 38 $ 605 $ 272 $ 4,028 $ 4,957 Government 2,695 3,594 77 98 1,018 2,618 3,790 6,310 Other 1,818 1,670 673 639 1,369 1,671 3,860 3,980 Total current replacement cost $ 7,880 $ 9,911 $ 806 $ 775 $ 2,992 $ 4,561 $ 11,678 $ 15,247 October 31 October 31 October 31 October 31 2025 2024 By location of risk 2025 2024 % mix % mix Canada $ 3,237 $ 3,737 27.7 % 24.5 % United States 3,930 4,937 33.7 32.4 Other international United Kingdom 717 775 6.1 5.1 Europe – other 1,919 2,828 16.4 18.5 Other 1,875 2,970 16.1 19.5 Total Other international 4,511 6,573 38.6 43.1 Total current replacement cost $ 11,678 $ 15,247 100.0 % 100.0 % 1 Based on geographic location of unit responsible for recording revenue. Certain of the Bank’s derivative contracts are governed by master derivative agreements having provisions that may permit the Bank’s counterparties to require, upon the occurrence of a certain contingent event: (1) the posting of collateral or other acceptable remedy such as assignment of the affected contracts to an acceptable counterparty; or (2) settlement of outstanding derivative contracts. Most often, these contingent events are in the form of a downgrade of the senior debt rating of the Bank, either as counterparty or as guarantor of one of the Bank’s subsidiaries. At October 31, 2025, the aggregate net liability position of those contracts would require: (1) the posting of collateral or other acceptable remedy totalling $ 331 million (October 31, 2024 – $ 511 million) in the event of a one-notch or two-notch downgrade in the Bank’s senior debt rating; and (2) funding totalling $ 358 million (October 31, 2024 – $ 134 million) following the termination and settlement of outstanding derivative contracts in the event of a one-notch or two-notch downgrade in the Bank’s senior debt rating. Certain of the Bank’s derivative contracts are governed by master derivative agreements having credit support provisions that permit the Bank’s counterparties to call for collateral depending on the net mark-to-market exposure position of all derivative contracts governed by that master derivative agreement. Some of these agreements may permit the Bank’s counterparties to require, upon the downgrade of the senior debt ratings of the Bank, to post additional collateral. As of October 31, 2025, the fair value of all derivative instruments with credit risk related contingent features in a net liability position was $ 17 billion (October 31, 2024 – $ 16 billion). The Bank has posted $ 18 billion (October 31, 2024 – $ 17 billion) of collateral for this exposure in the normal course of business. As of October 31, 2025, the impact of a one-notch downgrade in the Bank’s senior debt ratings would require the Bank to post an additional $ 1,015 million (October 31, 2024 – $ 49 million) of collateral to that posted in the normal course of business. The increase is attributable to the clarification of downgrade requirements under a single Credit Support Annex with no economic impact. A two-notch downgrade in the Bank’s senior debt ratings would require the Bank to post an additional $ 1,536 million (October 31, 2024 – $ 1,228 million) of collateral to that posted in the normal course of business. (d) IMPACT FROM TERMINATED FIRST HORIZON ACQUISITION-RELATED CAPITAL HEDGING STRATEGY Prior to the termination of the merger agreement with First Horizon on May 4, 2023, the Bank had implemented a strategy to mitigate the impact of interest rate volatility to capital on closing of the acquisition. In order to mitigate this impact, the Bank de-designated certain interest rate swaps hedging fixed income investments in fair value hedge accounting relationships. As a result of the de-designation, mark-to-market gains (losses) on these swaps were recognized in earnings, without any corresponding offset from the previously hedged investments. The de-designation also triggered the amortization of the investments’ basis adjustment to net interest income over the remaining expected life of the investments. Following the announcement to terminate the merger agreement, the Bank discontinued this strategy and reinstated hedge accounting on the portfolio of fixed income investments using new swaps entered into at higher market rates. The impact from the higher swap rates and the basis adjustment amortization discussed above is reported in net interest income. Income recognized from this strategy will reverse over time causing a decrease to net interest income. This impact is expected to continue until fiscal 2029. For the year ended October 31, 2025, the decrease to net interest income was $ 205 million (October 31, 2024 – $ 242 million), recorded in the Corporate segment.

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