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Derivative Instruments
 12 Months Ended
Oct. 31, 2025
Text Block [Abstract]  
Derivative Instruments
Note 7: Derivative Instruments
Derivative instruments are financial contracts that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity prices or indices.
Derivative instruments can be either regulated exchange-traded contracts or negotiated
over-the-counter
contracts. We use these instruments for trading purposes, as well as to manage our exposures, mainly to foreign currency and interest rate fluctuations, as part of our asset/liability management program.
Types of Derivatives
Swaps
Swaps are contractual agreements between two parties to exchange a series of cash flows. The various swap agreements that we enter into are as follows:
•
  
Interest rate swaps – counterparties generally exchange fixed and floating rate interest payments based on a notional value in a single currency.
•
  
Cross-currency swaps – counterparties exchange fixed rate interest payments and principal amounts in different currencies.
•
  
Cross-currency interest rate swaps – counterparties exchange fixed and/or floating rate interest payments and principal amounts in different currencies.
•
  
Commodity swaps – counterparties generally exchange fixed and floating rate payments based on a notional value of a single commodity.
•
  
Equity swaps – counterparties exchange the return on an equity security or a group of equity securities for the return based on a fixed or floating interest rate or the return on another equity security or group of equity securities.
•
  
Credit default swaps – one counterparty pays the other a fee in exchange for that other counterparty agreeing to make a payment if a credit event occurs, such as bankruptcy or failure to pay.
•
  
Total return swaps – 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 returns such as interest earned on these assets, in exchange for amounts that are based on prevailing market funding rates.
Forwards and Futures
Forwards and futures are contractual agreements to either buy or sell a specified amount of a currency, commodity, interest rate-sensitive financial instrument or security at a specified price and date in the future.
 

Forwards are customized contracts transacted in the
over-the-counter
market. Futures are transacted in standardized amounts on regulated exchanges and are subject to daily cash margining.
Options
Options are contractual agreements that convey to the purchaser the right but not the obligation to either buy or sell a specified amount of a currency, commodity, interest rate financial instrument or security at a fixed future date or at any time within a fixed future period.
For options written by us, we receive a premium from the purchaser for accepting market risk.
For options purchased by us, we pay a premium for the right to exercise the option. Since we have no obligation to exercise the option, our primary exposure to risk is the potential credit risk if the writer of an
over-the-counter
contract fails to meet the terms of the contract.
Caps, collars and floors are specialized types of written and purchased options. They are contractual agreements in which the writer agrees to pay the purchaser, based on a specified notional amount, the difference between the market rate and the prescribed rate of the cap, collar or floor. The writer receives a premium for selling this instrument.
A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap.
A futures option is an option contract in which the underlying instrument is a single futures contract.
The main risks associated with these derivative instruments are related to exposure to movements in interest rates, foreign exchange rates, credit quality, value of the underlying financial instrument or commodity, as applicable, and the possible inability of counterparties to meet the terms of the contracts.
Embedded Derivatives
From time to time, we purchase or issue financial instruments containing embedded derivatives. The embedded derivative in a financial liability is separated from the host contract and carried at fair value if the economic characteristics of the derivative are not closely related to those of the host contract, the terms of the embedded derivative are the same as those of a stand-alone derivative, and the combined contract is not measured at fair value. To the extent that we cannot reliably identify and measure the embedded derivative, the entire contract is carried at fair value, with changes in fair value reflected in non-interest revenue, in our Consolidated Statement of Income. Embedded derivatives in certain of our guaranteed investment certificate deposits are accounted for separately from the host instrument and presented within deposits in our Consolidated Balance Sheet.
Contingent Features
Certain
over-the-counter
derivative instruments contain provisions that link the amount of collateral we are required to post or pay to our credit ratings, as determined by the major credit rating agencies. If our credit ratings were to be downgraded, certain counterparties to these derivative instruments could demand immediate and ongoing collateralization on derivative liability positions or request immediate payment. The aggregate fair value of all derivative instruments with collateral posting requirements that were in a liability position as at October 31, 2025 was $10,894 million ($9,656 million as at October 31, 2024), for which we have posted collateral of $9,117 million ($8,882 million as at October 31, 2024).
Risks Hedged
Interest Rate Risk
We manage interest rate risk through interest rate futures, interest rate swaps and options, which are linked to and adjust the interest rate sensitivity of a specific asset, liability, forecasted transaction or firm commitment, or a specific pool of transactions with similar risk characteristics.
Foreign Currency Risk
We manage foreign currency risk through currency futures, foreign currency options, cross-currency swaps, foreign exchange spot transactions, forward contracts and deposits denominated in foreign currencies.
Equity Price Risk
We manage equity price risk through total return swaps.
Trading Derivatives
Trading derivatives include derivatives entered into with customers to accommodate their risk management needs, market-making to facilitate customer-driven demand for derivatives, derivatives transacted on a limited basis to generate trading income from our principal trading positions, and certain derivatives entered into as part of our risk management strategy that do not qualify as hedges for accounting purposes (economic hedges).
We structure and market derivative products to enable customers to transfer, modify or reduce current or expected exposure to risks.
Principal trading activities include market-making and positioning activities. Market-making involves quoting bid and offer prices to other market participants with the intention of generating revenues based on spread and volume. Positioning activities involve managing market risk positions with the expectation of profiting from favourable movements in prices, rates or indices.
We may also economically hedge a portion of our U.S. dollar earnings through forward foreign exchange contracts and/or options to minimize fluctuations in our consolidated net income due to the translation of our U.S. dollar earnings. These contracts are recorded at fair value, with changes in fair value recorded in
non-interest
revenue, trading revenues, in our Consolidated Statement of Income.
Trading derivatives are recorded at fair value. Realized and unrealized gains and losses are generally recorded in
non-interest
revenue, trading revenues, in our Consolidated Statement of Income. Unrealized gains and losses on derivatives used to economically hedge certain exposures may be recorded in our Consolidated Statement of Income in the same line as the unrealized gains and losses arising from the exposures. Unrealized gains on trading derivatives are recorded as derivative instrument assets and unrealized losses are recorded as derivative instrument liabilities in our Consolidated Balance Sheet.
 
 
Fair Value of Trading and Hedging Derivatives
Fair value represents a
point-in-time
estimate that may change in subsequent reporting periods due to market conditions or other factors. A discussion of the fair value measurement of derivatives is included in Note 17.
Fair values of our derivative instruments are as follows:

 
(Canadian $ in millions)
 
  
 
 
  
 
 
2025
 
 
  
 
 
  
 
 
2024
 
  
 
Gross assets
 
 
Gross liabilities
 
 
Net
 
 
Gross assets
 
 
Gross liabilities
 
 
Net
 
Trading
 
 
 
 
 
 
Interest Rate Contracts
 
 
 
 
 
 
Swaps
   
$
2,081
 
  
$
(4,905
)
  
$
(2,824
)
   $ 3,203     $ (5,707 )    $ (2,504 ) 
Forward rate agreements
   
 
96
 
  
 
(155
)
  
 
(59
)
     477       (281 )      196  
Purchased options
   
 
2,783
 
  
 
–
 
  
 
2,783
 
     2,574       –       2,574  
Written options
   
 
–
 
  
 
(2,639
)
  
 
(2,639
)
     –       (2,341 )      (2,341 ) 
Futures
   
 
4
 
  
 
(10
)
  
 
(6
)
     21       (10 )      11  
Foreign Exchange Contracts
(1)
             
Cross-currency swaps
   
 
2,796
 
  
 
(311
)
  
 
2,485
 
     1,989       (1,378 )      611  
Cross-currency interest rate swaps
   
 
11,078
 
  
 
(12,349
)
  
 
(1,271
)
     9,777       (10,867 )      (1,090 ) 
Forward foreign exchange contracts
   
 
13,535
 
  
 
(10,458
)
  
 
3,077
 
     8,150       (6,096 )      2,054  
Purchased options
   
 
1,534
 
  
 
–
 
  
 
1,534
 
     657       –       657  
Written options
   
 
–
 
  
 
(1,362
)
  
 
(1,362
)
     –       (528 )      (528 ) 
Commodity Contracts
             
Swaps
   
 
1,004
 
  
 
(1,082
) 
  
 
(78
) 
     1,023       (1,097 )      (74 ) 
Purchased options
   
 
257
 
  
 
–
 
  
 
257
 
     644       –       644  
Written options
   
 
–
 
  
 
(304
)
  
 
(304
)
     –       (607 )      (607 ) 
Futures
   
 
201
 
  
 
(222
)
  
 
(21
)
     160       (117 )      43  
Equity Contracts
   
 
16,459
 
  
 
(20,973
)
  
 
(4,514
)
     14,194       (25,673 )      (11,479 ) 
Credit Contracts
             
Purchased
   
 
–
 
  
 
–
 
  
 
–
 
     1       (10 )      (9 ) 
Written
   
 
1
 
  
 
–
 
  
 
1
 
     9       (1 )      8  
Total fair value – trading derivatives
   
$
51,829
 
  
$
(54,770
)
  
$
(2,941
)
   $ 42,879     $ (54,713 )    $ (11,834 ) 
Hedging
             
Interest Rate Contracts
(2)
             
Cash flow hedges – swaps
   
$
2,931
 
  
$
(464
)
  
$
2,467
 
   $ 2,148     $ (915 )    $ 1,233  
Fair value hedges – swaps
   
 
786
 
  
 
(1,926
)
  
 
(1,140
)
     1,464       (1,589 )      (125 ) 
Total swaps
   
 
3,717
 
  
 
(2,390
)
  
 
1,327
 
     3,612       (2,504 )      1,108  
Foreign Exchange Contracts
             
Cash flow hedges
   
 
1,576
 
  
 
(1,553
)
  
 
23
 
     699       (1,080 )      (381 ) 
Fair value hedges
   
 
–
 
  
 
–
 
  
 
–
 
     –       (2 )      (2 ) 
Net investment hedges
   
 
–
 
  
 
(16
)
  
 
(16
)
     –       (4 )      (4 ) 
Total foreign exchange contracts
   
 
1,576
 
  
 
(1,569
)
  
 
7
 
     699       (1,086 )      (387 ) 
Equity Contracts
             
Cash flow hedges
   
 
29
 
  
 
–
 
  
 
29
 
     63       –       63  
Total equity contracts
   
 
29
 
  
 
–
 
  
 
29
 
     63       –       63  
Total fair value – hedging derivatives
(3)
   
 
5,322
 
  
 
(3,959
)
  
 
1,363
 
     4,374       (3,590 )      784  
Total fair value – trading and hedging derivatives
   
 
57,151
 
  
 
   (58,729
)
  
 
(1,578
)
     47,253       (58,303 )      (11,050 ) 
Less: impact of master netting agreements
   
 
 (43,254
)
  
 
43,254
 
  
 
–
 
      (31,576 )     31,576       –  
Total
   
$
13,897
 
  
$
(15,475
)
  
$
(1,578
)
   $ 15,677     $ (26,727 )   $ (11,050 )
 
  (1)
Gold contracts are included in foreign exchange contracts.
  (2)
Includes the fair value of bond futures in fair value hedges rounded down to $nil million as at October 31, 2025 ($nil million as at October 31, 2024).
  (3)
The fair values of hedging derivatives wholly or partially offset the changes in fair values of the related
on-balance
sheet financial instruments.
Assets are presented net of liabilities to customers where we have a legally enforceable right to offset amounts and we intend to settle contracts on a net basis.
Notional Amounts of Trading Derivatives
The notional amounts of our derivatives represent the amount to which a rate or price is applied in order to calculate the amount of cash that must be exchanged under the contract. Notional amounts do not represent assets or liabilities and therefore are not recorded in our Consolidated Balance Sheet.
 
(Canadian $ in millions)
  
  
 
  
  
 
  
2025
 
  
  
 
  
  
 
  
2024
 
  
  
Exchange-traded
 
  
Over-the-counter
 
  
Total
 
  
Exchange-traded
 
  
Over-the-counter
 
  
Total
 
Interest Rate Contracts
                  
Swaps
   
$
–
 
   
$
   14,178,539
 
   
$
   14,178,539
 
    $ –      $ 16,390,827      $ 16,390,827  
Forward rate agreements
   
 
–
 
   
 
841,547
 
   
 
841,547
 
      –        3,414,449        3,414,449  
Purchased options
   
 
130,231
 
   
 
369,216
 
   
 
499,447
 
      136,796        253,694        390,490  
Written options
   
 
54,221
 
   
 
385,166
 
   
 
439,387
 
      26,468        255,721        282,189  
Futures
   
 
1,737,629
 
   
 
–
 
   
 
1,737,629
 
      1,735,442        –        1,735,442  
Total interest rate contracts
   
 
1,922,081
 
   
 
15,774,468
 
   
 
17,696,549
 
      1,898,706        20,314,691        22,213,397  
Foreign Exchange Contracts
(1)
                  
Cross-currency swaps
   
 
–
 
   
 
63,306
 
   
 
63,306
 
      –        64,100        64,100  
Cross-currency interest rate swaps
   
 
–
 
   
 
1,235,923
 
   
 
1,235,923
 
      –        891,272        891,272  
Forward foreign exchange contracts
   
 
–
 
   
 
939,971
 
   
 
939,971
 
      –        679,250        679,250  
Purchased options
   
 
6,800
 
   
 
98,391
 
   
 
105,191
 
      3,572        76,576        80,148  
Written options
   
 
5,645
 
   
 
107,570
 
   
 
113,215
 
      3,248        88,210        91,458  
Futures
   
 
10,864
 
   
 
–
 
   
 
10,864
 
      1,751        –        1,751  
Total foreign exchange contracts
   
 
23,309
 
   
 
2,445,161
 
   
 
2,468,470
 
      8,571        1,799,408        1,807,979  
Commodity Contracts
                  
Swaps
   
 
–
 
   
 
22,128
 
   
 
22,128
 
      –        20,328        20,328  
Purchased options
   
 
25,126
 
   
 
6,706
 
   
 
31,832
 
      43,931        5,495        49,426  
Written options
   
 
26,830
 
   
 
4,090
 
   
 
30,920
 
      45,440        4,268        49,708  
Futures
   
 
38,470
 
   
 
–
 
   
 
38,470
 
      36,071        –        36,071  
Total commodity contracts
   
 
90,426
 
   
 
32,924
 
   
 
123,350
 
      125,442        30,091        155,533  
Equity Contracts
   
 
256,701
 
   
 
187,279
 
   
 
443,980
 
      333,126        138,034        471,160  
Credit Contracts
                  
Purchased
   
 
–
 
   
 
31,760
 
   
 
31,760
 
      –        23,350        23,350  
Written
   
 
–
 
   
 
23,507
 
   
 
23,507
 
      –        16,211        16,211  
Total credit contracts
   
 
–
 
   
 
55,267
 
   
 
55,267
 
      –        39,561        39,561  
Total
   
$
   2,292,517
 
   
$
18,495,099
 
   
$
20,787,616
 
    $    2,365,845      $    22,321,785      $    24,687,630  
(1) Gold contracts are included in foreign exchange contracts.
Table excludes loan commitment derivatives with a notional amount of $6,219 million ($2,498 million as at October 31, 2024).
Derivatives Used in Hedge Accounting
We apply the requirements of IAS 39
Financial Instruments: Recognition and Measurement
for hedge accounting purposes. In accordance with our risk management strategy, we enter into various derivative contracts to hedge our interest rate, foreign currency and equity price exposures. We also use deposits, cross-currency swaps, foreign exchange forwards and options to hedge foreign currency exposure in our net investment in foreign operations.
When the hedged item is accounted for at FVTPL, there is a natural offset within the income statement with the related derivative. However, when we manage risks inherent in instruments that are accounted for at amortized cost, including loans and deposits, or FVOCI debt securities, we use hedge accounting in order to eliminate the mismatch between the hedged item and the
mark-to-market
derivative.
To the extent the instruments used to manage risk qualify for hedge accounting, we designate them in accounting hedge relationships. Our structural market risk strategies, including our approach to managing interest rate and foreign exchange risk, are discussed in the blue-tinted font in the Structural
(Non-Trading)
Market Risk section of our Management’s Discussion and Analysis. In addition, our exposure to foreign exchange rate risk is discussed in the
Non-Trading
Foreign Exchange Risk section of our Management’s Discussion and Analysis. Our exposure to, and approach to managing, equity price risk are discussed in the Other Share-Based Compensation –
Mid-Term
Incentive Plans section of Note 20.
By using derivatives to hedge exposures to changes in interest rates, foreign exchange rates and equity prices, we are also exposed to the credit risk of the derivative counterparty. We mitigate credit risk by entering into transactions with high-quality counterparties, requiring the counterparties to post collateral, entering into master netting agreements or settling through centrally cleared counterparties.
To qualify as an accounting hedge, the hedging relationship must be designated and formally documented at its inception, detailing the particular risk management objective and strategy for the hedge and the specific asset, liability or cash flow being hedged, as well as how effectiveness is to be assessed. Changes in the fair value of the derivative must be highly effective in offsetting changes in fair value or changes in the amount of future cash flows of the hedged item. We evaluate hedge effectiveness at the inception of the hedging relationship and on an ongoing basis, retrospectively and prospectively, primarily using a quantitative statistical regression analysis. We consider a hedging relationship highly effective when all of the following criteria have been met: correlation between the variables in the regression is at least 0.8; the slope of the regression is within a range of 0.8 to 1.25; and the confidence level of the slope is at least 95%. The practice is different for our net investment hedge, which is discussed in the Net Investment Hedges section below.
Any ineffectiveness in a hedging relationship is recognized as it arises in
non-interest
revenue, other revenues, in our Consolidated Statement of Income.
 
 
The following table outlines the notional amounts and average rates of derivatives and the carrying amounts of deposits designated as hedging instruments by term to maturity, hedge type and risk type, where applicable.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Canadian $ in millions, except as noted)
  
Remaining term to maturity
 
  
2025
 
  
2024
 
  
  
Within
1 year
 
  
1 to 3
years
 
  
3 to 5
years
 
  
5 to 10
years
 
  
Over 10
years
 
  
Total
 
  
Total
 
Cash Flow Hedges
  
      
  
      
  
      
  
      
  
      
  
      
  
      
Interest rate risk – Interest rate swaps
  
      
  
      
  
      
  
      
  
      
  
      
  
      
Notional amount
  
$
 
85,536
 
  
$
 
84,666
 
  
$
 
54,048
 
  
$
 
31,409
 
  
$
 
5,440
 
  
$
 
261,099
 
  
$
 
266,872
 
Average fixed interest rate
  
 
3.49
%
 
  
 
3.06
%
 
  
 
3.53
%
 
  
 
3.22
%
 
  
 
3.87
%
 
  
 
3.33
%
 
  
 
3.75
%
 
Foreign exchange risk – Cross-currency swaps
and foreign exchange forwards
(1)
  
      
  
      
  
      
  
      
  
      
  
      
  
      
CAD-USD
pair
 
Notional amount
  
 
10,865
 
  
 
16,681
 
  
 
11,303
 
  
 
334
 
  
 
50
 
  
 
39,233
 
  
 
40,933
 
 
 
Average fixed interest rate
  
 
3.46
%
 
  
 
3.49
%
 
  
 
2.99
%
 
  
 
3.68
%
 
  
 
2.83
%
 
  
 
3.34
%
 
  
 
3.14
%
 
 
 
Average exchange rate:
CAD-USD
  
 
1.3341
 
  
 
1.3258
 
  
 
1.3560
 
  
 
1.3157
 
  
 
1.2327
 
  
 
1.3366
 
  
 
1.3252
 
CAD-EUR
pair
 
Notional amount
  
 
6,732
 
  
 
8,066
 
  
 
3,310
 
  
 
1,807
 
  
 
–
 
  
 
19,915
 
  
 
17,399
 
 
 
Average fixed interest rate
  
 
3.74
%
 
  
 
3.08
%
 
  
 
3.21
%
 
  
 
3.77
%
 
  
 
–
 
  
 
3.39
%
 
  
 
3.47
%
 
 
 
Average exchange rate:
CAD-EUR
  
 
1.4190
 
  
 
1.4588
 
  
 
1.4711
 
  
 
1.5935
 
  
 
–
 
  
 
1.4596
 
  
 
1.4293
 
Other currency pairs
(2)
 
Notional amount
  
 
5,219
 
  
 
2,511
 
  
 
2,379
 
  
 
134
 
  
 
–
 
  
 
10,243
 
  
 
9,927
 
 
 
Average fixed interest rate
  
 
2.63
%
 
  
 
4.23
%
 
  
 
4.12
%
 
  
 
5.13
%
 
  
 
–
 
  
 
3.40
%
 
  
 
3.26
%
 
 
 
Average exchange rate:
CAD-Non USD/EUR
  
 
1.7080
 
  
 
1.5621
 
  
 
1.3796
 
  
 
0.5717
 
  
 
–
 
  
 
1.5812
 
  
 
1.5391
 
Equity price risk – Total return swap
  
      
  
      
  
      
  
      
  
      
  
      
  
      
Notional amount
  
 
552
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
552
 
  
 
480
 
Fair Value Hedges
  
      
  
      
  
      
  
      
  
      
  
      
  
      
Interest rate risk – Interest rate swaps
  
      
  
      
  
      
  
      
  
      
  
      
  
      
Notional amount
  
 
65,785
 
  
 
59,859
 
  
 
58,913
 
  
 
31,494
 
  
 
4,458
 
  
 
220,509
 
  
 
188,278
 
Average fixed interest rate
  
 
3.52
%
 
  
 
3.62
%
 
  
 
3.49
%
 
  
 
3.60
%
 
  
 
3.82
%
 
  
 
3.56
%
 
  
 
3.99
%
 
Interest rate risk – Bond futures
(exchange-traded derivatives)
  
      
  
      
  
      
  
      
  
      
  
      
  
      
Notional amount
  
 
432
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
432
 
  
 
1,479
 
Average price in dollars
  
 
154
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
154
 
  
 
108
 
Foreign exchange risk – Cross-currency swaps
  
      
  
      
  
      
  
      
  
      
  
      
  
      
USD-EUR
pair
 
Notional amount
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
21
 
 
 
Average fixed interest rate
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
3.25
%
 
 
 
Average exchange rate:
USD-EUR
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
0.9706
 
Net Investment Hedges
  
      
  
      
  
      
  
      
  
      
  
      
  
      
Foreign exchange risk – Cross-currency swaps
and foreign exchange forwards
  
      
  
      
  
      
  
      
  
      
  
      
  
      
CAD-CNH
pair
 
Notional amount
  
 
669
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
669
 
  
 
677
 
Foreign exchange risk – Deposit liabilities
  
      
  
      
  
      
  
      
  
      
  
      
  
      
USD denominated deposit – carrying amount
  
 
22,395
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
22,395
 
  
 
16,053
 
GBP denominated deposit – carrying amount
  
 
355
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
355
 
  
 
300
 
 
 
(1)
Under certain hedge strategies using cross-currency swaps, a CAD leg is inserted to create two swaps designated as separate hedges (for example, a
EUR-USD
cross-currency swap split into
EUR-CAD
and
CAD-USD
cross-currency swaps). The relevant notional amount is grossed up in this table, as the cross-currency swaps are disclosed by
CAD-foreign
currency pair.
 
(2)
Includes
CAD-AUD,
CAD-CHF,
CAD-CNH,
CAD-GBP,
CAD-HKD,
CAD-JPY
or
CAD-NOK
cross-currency swaps, where applicable.
Cash Flow Hedges
Cash flow hedges modify exposure to variability in cash flows for variable interest rate bearing instruments, foreign currency denominated assets and liabilities and certain cash-settled share-based payment grants subject to equity price risk. We use interest rate swaps with or without embedded options, cross-currency swaps, forwards and total return swaps to hedge this variability. We hedge the full amount of foreign exchange risk, but interest rate risk is hedged only to the extent of benchmark interest rates. The benchmark interest rate is a component of interest rate risk that is observable in the relevant financial markets; for example, Secured Overnight Financing Rate or Canadian Overnight Repo Rate Average (CORRA).
We determine the amount of the exposure to which hedge accounting is applied by assessing the potential impact of changes in interest rates, foreign exchange rates and equity prices on the future cash flows of floating rate loans and deposits, foreign currency denominated assets and liabilities and certain cash-settled share-based payments. This assessment is performed using analytical techniques such as simulation, sensitivity analysis, stress testing and gap analysis.
We record interest that we pay or receive on derivatives that hedge interest rate risk or foreign exchange risk in net interest income in our Consolidated Statement of Income over the life of the hedge. Interest paid on derivatives that hedge equity price risk on certain share-based payments is recorded in employee compensation expense.
The accounting mismatch that would otherwise occur is eliminated by recording changes in the fair value of the derivative that offset changes in the fair value of the hedged item for the designated hedged risk in other comprehensive income. Hedge ineffectiveness, the portion of the change in fair value of the derivative that does not offset changes in the fair value of the hedged item, is recorded directly in
non-interest
revenue, other revenues, in our Consolidated Statement of Income as it arises.
For cash flow hedges that are discontinued before the end of the original hedge term, the cumulative unrealized gain or loss recorded in other comprehensive income is amortized to our Consolidated Statement of Income in net interest income for interest rate swaps and employee compensation expense for total return swaps as the hedged item is recorded in earnings. If the hedged item is sold or settled, the entire unrealized gain or loss is recognized immediately in net interest income in our Consolidated Statement of Income. In general, we do not terminate our foreign exchange hedges before maturity.
 
 
For cash flow hedges, we use a hypothetical derivative to measure the hedged risk of floating rate loans, deposits, foreign currency denominated assets and liabilities or share-based payment grants. This hypothetical derivative matches the critical terms of the hedged items identically and perfectly offsets the hedged cash flow.
In our cash flow hedge relationships, the main sources of ineffectiveness are differences in interest rate indices, tenor and reset or settlement frequencies between hedging instruments and hedged items, and using hedging instruments without a floor in relationships for hedged items with a floor.
Net Investment Hedges
Net investment hedges mitigate our exposure to foreign exchange rate fluctuations related to our net investment in foreign operations.
Deposits denominated in foreign currencies, cross-currency swaps and foreign exchange forwards are designated as hedging instruments for a portion of our net investment in foreign operations. We designate the spot rate component of our hedging instruments in net investment hedges. The foreign currency translation of our net investment in foreign operations and the effective portion of the corresponding hedging instrument are recorded in net gains on translation of net foreign operations in other comprehensive income, instead of through the income statement in the case of the hedging instrument if hedge accounting had not been elected.
The effectiveness of our net investment hedge is determined using either the dollar offset method with spot foreign currency rates or a quantitative statistical regression analysis. As the notional amount of the hedging instruments and the hedged net investment in foreign operations are the same, there are no significant sources of ineffectiveness in these hedging relationships.
The following table contains information related to the hedging instruments, hedged items and hedge ineffectiveness for cash flow and net investment hedges for the years ended October 31, 2025 and 2024.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Canadian $ in millions)
  
  
 
  
  
 
 
  
 
 
  
 
 
  
 
 
2025
 
 
  
Carrying amount of
hedging instruments
 (1)
 
 
 
 
 
Hedge ineffectiveness
 
 
  
 
  
  
Asset
 
  
Liability
 
 
  
 
 
Gains (losses) on
hedging derivatives
used to calculate hedge
ineffectiveness
(2)
 
 
Gains (losses) on
hypothetical derivatives
used to calculate hedge
ineffectiveness
(2)
 
 
Ineffectiveness
recorded in
non-interest revenue,

other revenues
 
Cash Flow Hedges
  
      
  
      
 
      
 
      
 
      
 
      
Interest rate risk – Interest rate swaps
  
$
2,931
 
  
$
(464
) 
 
      
 
 
$   1,319
 
 
 
$   (1,382
)
 
 
$   3
 
Foreign exchange risk – Cross-currency swaps
and foreign exchange forwards
  
 
1,576
 
  
 
(1,553
) 
 
      
 
 
(214
) 
 
 
214
 
 
 
–
 
Equity price risk – Total return swaps
  
 
29
 
  
 
–
 
 
 
 
 
 
 
258
 
 
 
(258
) 
 
 
–
 
 
  
 
4,536
 
  
 
(2,017
) 
 
      
 
 
1,363
 
 
 
(1,426
) 
 
 
3
 
Net Investment Hedges
  
      
  
      
 
      
 
      
 
      
 
      
Foreign exchange risk – Cross-currency swaps
and foreign exchange forwards
  
 
–
 
  
 
(16
) 
 
      
 
 
(5
) 
 
 
3
 
 
 
(2
) 
Foreign exchange risk – Deposit liabilities
  
 
–
 
  
 
(22,750
) 
 
 
 
 
 
 
(102
) 
 
 
102
 
 
 
–
 
Total
  
$
4,536
 
  
$
(24,783
) 
 
 
 
 
 
 
$   1,256
 
 
 
$    (1,321
)
 
 
$   1
 
             
  
  
  
 
  
  
 
 
  
 
 
  
 
 
  
 
 
2024
 
 
  
Carrying amount of
hedging instruments (1)
 
 
 
 
 
Hedge ineffectiveness
 
 
  
 
  
  
Asset
 
  
Liability
 
 
  
 
 
Gains (losses) on
hedging derivatives
used to calculate hedge
ineffectiveness (2)
 
 
Gains (losses) on
hypothetical derivatives
used to calculate hedge
ineffectiveness (2)
 
 
Ineffectiveness
recorded in
non-interest revenue,

other revenues
 
Cash Flow Hedges
  
      
  
      
 
      
 
      
 
      
 
      
Interest rate risk – Interest rate swaps
  
$
2,148
 
  
$
(915
) 
 
      
 
 
$    3,552
 
 
 
$   (3,615
)
 
 
$   (12
)
Foreign exchange risk – Cross-currency swaps
and foreign exchange forwards
  
 
699
 
  
 
(1,080
) 
 
      
 
 
(251
) 
 
 
251
 
 
 
–
 
Equity price risk – Total return swaps
  
 
63
 
  
 
–
 
 
 
 
 
 
 
165
 
 
 
(165
) 
 
 
–
 
 
  
 
2,910
 
  
 
(1,995
) 
 
      
 
 
3,466
 
 
 
(3,529
) 
 
 
(12
) 
Net Investment Hedges
  
      
  
      
 
      
 
      
 
      
 
      
Foreign exchange risk – Cross-currency swaps
and foreign exchange forwards
  
 
–
 
  
 
(4
) 
 
      
 
 
(23
) 
 
 
19
 
 
 
(4
) 
Foreign exchange risk – Deposit liabilities
  
 
–
 
  
 
(16,353
) 
 
 
 
 
 
 
(119
) 
 
 
119
 
 
 
–
 
Total
  
$
  2,910
 
  
$
  (18,352
) 
 
 
 
 
 
 
$   3,324
 
 
 
$   (3,391
) 
 
 
$   (16
) 
 
 
(1)
Represents unrealized gains (losses) recorded as part of derivative instruments in assets and liabilities, respectively, in our Consolidated Balance Sheet.
 
(2)
Represents life to date amounts.
 
 
The following tables provide a reconciliation of the impacts of our cash flow hedges and net investment hedges in our Consolidated Statement of Comprehensive Income, on a
pre-tax
basis for the years ended October 31, 2025 and 2024.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Canadian $ in millions)
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
2025
 
             
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance in cash flow hedge AOCI /
net foreign operations AOCI
 
  
 
Balance October 31, 2024
 
 
Gains /
(losses)
recognized
in OCI
 
 
Amount reclassified to
net income as
the hedged item affects
net income
 
 
  
 
 
Balance
October 31, 2025 
(1) (2)
 
 
Active hedges
 
 
Discontinued hedges
 
Cash Flow Hedges
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Interest rate risk
 
 
$   (2,480
) 
 
$
1,316
 
 
 
$  1,600
 
 
      
 
 
$    436
 
 
 
$  2,453
 
 
 
$   (2,017
) 
Foreign exchange risk
 
 
357
 
 
 
(214
) 
 
 
(1
) 
 
      
 
 
142
 
 
 
142
 
 
 
–
 
Equity price risk
 
 
77
 
 
 
258
 
 
 
(151
) 
 
 
 
 
 
 
184
 
 
 
184
 
 
 
–
 
 
 
 
(2,046
) 
 
 
1,360
 
 
 
1,448
 
 
      
 
 
762
 
 
 
2,779
 
 
 
(2,017
) 
Net Investment Hedges
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Foreign exchange risk
 
 
(2,324
) 
 
 
(105
) 
 
 
–
 
 
 
 
 
 
 
(2,429
) 
 
 
(2,429
) 
 
 
–
 
Total
 
 
$   (4,370
) 
 
$
1,255
 
 
 
$  1,448
 
 
 
 
 
 
 
$  (1,667
) 
 
 
$   350
 
 
 
$   (2,017
) 
               
  
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
2024
 
             
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance in cash flow hedge AOCI /
net foreign operations AOCI
 
  
 
Balance October 31, 2023
 
 
Gains /
(losses)
recognized
in OCI
 
 
Amount reclassified to
net income as
the hedged item affects
net income
 
 
  
 
 
Balance
October 31, 2024 (1) (2)
 
 
Active hedges
 
 
Discontinued hedges
 
Cash Flow Hedges
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Interest rate risk
 
 
$   (8,015
) 
 
$
3,564
 
 
 
$  1,971
 
 
      
 
 
$   (2,480
) 
 
 
$  1,695
 
 
 
$   (4,175
) 
Foreign exchange risk
 
 
610
 
 
 
(251
) 
 
 
(2
) 
 
      
 
 
357
 
 
 
357
 
 
 
–
 
Equity price risk
 
 
(72
) 
 
 
165
 
 
 
(16
) 
 
 
 
 
 
 
77
 
 
 
77
 
 
 
–
 
 
 
 
(7,477
) 
 
 
3,478
 
 
 
1,953
 
 
      
 
 
(2,046
) 
 
 
2,129
 
 
 
(4,175
) 
Net Investment Hedges
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Foreign exchange risk
 
 
(2,186
) 
 
 
(138
) 
 
 
–
 
 
 
 
 
 
 
(2,324
) 
 
 
(2,324
) 
 
 
–
 
Total
 
 
$   (9,663
) 
 
$
  3,340
 
 
 
$  1,953
 
 
 
 
 
 
 
$   (4,370
) 
 
 
$   (195
) 
 
 
$   (4,175
) 
 
  (1)
Tax balance related to cash flow hedges accumulated other comprehensive income was $(235) million as at October 31, 2025 ($527 million as at October 31, 2024).
  (2)
Tax balance related to net investment hedges accumulated other comprehensive income was $
622
 
million as at October 31, 2025 ($593 million as at October 31, 2024).
Fair Value Hedges
Fair value hedges modify exposure to changes in a fixed rate instrument’s fair value caused by changes in interest rates. These hedges economically convert fixed rate assets and liabilities to floating rate. We use cross-currency swaps, interest rate swaps and bond futures to hedge foreign exchange risk and interest rate risk, including benchmark interest rates inherent in fixed rate securities, a portfolio of mortgages, deposits and subordinated debt and other liabilities.
The carrying value of fixed rate assets or liabilities that are part of a hedging relationship is adjusted for the change in value of the risk being hedged. To the extent that the change in the fair value of the derivative does not offset changes in the fair value of the hedged item for the risk being hedged, the net amount (hedge ineffectiveness) is recorded directly in
non-interest
revenue, other revenues, in our Consolidated Statement of Income.
For fair value hedges that are discontinued, we cease adjusting the hedged item. The cumulative fair value adjustment of the hedged item is then amortized to net interest income over the hedged item’s remaining term to maturity. If the hedged item is sold or settled, the cumulative fair value adjustment is included in the gain or loss on sale or settlement.
In our fair value hedge relationships, the main sources of ineffectiveness are our own credit risk on the fair value of the swap and differences in terms such as fixed interest rate or reset/settlement frequency between the swap and the hedged item.
The amounts related to derivatives designated as fair value hedging instruments, hedged items and hedge ineffectiveness for the years ended October 31, 2025 and 2024 are as follows:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Canadian $ in millions)
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
2025
 
 
 
Carrying amount of
hedging derivatives 
(1)
 
 
 
 
 
Hedge ineffectiveness
 
 
 
 
 
Accumulated amount of fair value
hedge gains (losses) on hedged items
 
  
 
Asset
 
  
Liability
 
 
  
 
 
Gains (losses) on
hedging derivatives
used to calculate
hedge ineffectiveness
 
 
Gains (losses) on
hedged item used
to calculate hedge
ineffectiveness
 
 
Ineffectiveness
recorded in
non-interest

revenue,
other revenues
 
 
Carrying
amount of the
hedged item
(2)
 
 
Active
hedges
 
 
Discontinued
hedges
 
Fair Value Hedge
(3)
 
      
  
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Interest rate swaps
 
$
786
 
  
$
(1,926
) 
 
      
 
 
$       –
 
 
 
$         –
 
 
 
$       –
 
 
 
$         –
 
 
 
$      –
 
 
 
$         –
 
Cross-currency swaps
 
 
–
 
  
 
–
 
 
      
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
Securities and loans
 
 
–
 
  
 
–
 
 
      
 
 
(1,204
) 
 
 
1,170
 
 
 
(34
) 
 
 
133,830
 
 
 
1,747
 
 
 
(1,902
) 
Deposits, subordinated debt and other liabilities
 
 
–
 
  
 
–
 
 
 
 
 
 
 
291
 
 
 
(286
) 
 
 
5
 
 
 
(77,224
) 
 
 
(361
) 
 
 
429
 
Total
 
$
   786
 
  
$
 (1,926
)   
 
 
 
 
 
 
$   (913
)  
 
 
$    884 
 
 
 
$    (29
)  
 
 
$   56,606
 
 
 
$  1,386
 
 
$    (1,473
)  
 
 
(1)
Represents the unrealized gains (losses) within derivative instruments in assets and liabilities, respectively, in our Consolidated Balance Sheet.
 
(2)
Represents the carrying value in our Consolidated Balance Sheet and includes amortized cost, before ACL, plus fair value hedge adjustments, except for FVOCI securities that are carried at fair value.
  (3)
Includes the fair value of bond futures rounded down to $nil million as at October 31, 2025.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
  
 
  
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
2024
 
 
 
Carrying amount of
hedging derivatives (1)
 
 
 
 
 
Hedge ineffectiveness
 
 
 
 
 
Accumulated amount of fair value
 hedge gains (losses) on hedged items
 
  
 
Asset
 
  
Liability
 
 
  
 
 
Gains (losses) on
hedging derivatives
used to calculate
hedge ineffectiveness
 
 
Gains (losses) on
hedged item used
to calculate hedge
ineffectiveness
 
 
Ineffectiveness
recorded in
non-interest

revenue,
other revenues
 
 
Carrying
amount of the
hedged item (2)
 
 
Active
hedges
 
 
  Discontinued
hedges
 
Fair Value Hedge
(3)
                   
Interest rate swaps
   $ 1,464      $ (1,589 )      $ –     $ –     $ –     $ –     $ –     $ –  
Cross-currency swaps
     –        (2 )        –       –       –       –       –       –  
Securities and loans
     –        –         (3,266 )      3,117       (149 )      118,397       741       (1,293 ) 
Deposits, subordinated debt and other liabilities
     –        –               1,234       (1,217 )       17        (65,156 )        (214 )        930  
Total
   $  1,464      $  (1,591 )            $  (2,032 )      $  1,900     $  (132 )    $ 53,241     $ 527     $  (363 ) 
 
  (1)
Represents the unrealized gains (losses) within derivative instruments in assets and liabilities, respectively, in our Consolidated Balance Sheet.
  (2)
Represents the carrying value in our Consolidated Balance Sheet and includes amortized cost, before ACL, plus fair value hedge adjustments, except for FVOCI securities that are carried at fair value.
  (3)
Includes the fair value of bond futures rounded down to $nil million as at October 31, 2024.
Derivative-Related Market Risk
Derivative instruments are subject to market risk arising from the potential for a negative impact on the balance sheet and/or statement of income due to adverse changes in the value of derivative instruments as a result of changes in certain market variables. These variables include interest rates, foreign exchange rates, credit spreads, equity and commodity prices and their implied volatilities. We strive to limit our exposure to market risk by employing comprehensive governance and management processes for all market risk-taking activities.
Derivative-Related Credit Risk
Derivative instruments are subject to credit risk arising from the possibility that counterparties may default on their obligations. The credit risk associated with a derivative normally represents an amount that is a small fraction of the notional amount of the derivative instrument. Derivative contracts generally expose us to potential credit loss if changes in market rates affect the counterparty’s position unfavourably and the counterparty defaults on payment. Credit risk is represented by the positive fair value of the derivative instrument. We strive to limit our exposure to credit risk by dealing with counterparties that we believe are creditworthy, and we manage our credit risk for derivatives using the same credit risk process that we apply to loans and other credit assets.
We also pursue opportunities to reduce our exposure to credit losses on derivative instruments by securing collateral and entering into master netting agreements with counterparties. The credit risk associated with favourable contracts is mitigated by legally enforceable master netting agreements to the extent that unfavourable contracts with the same counterparty must be settled concurrently with favourable contracts.
Exchange-traded derivatives have limited potential for credit risk exposure, as they are settled net daily with each exchange.
Terms used in the credit risk tables below are as follows:
Replacement cost
captures the loss that would occur if a counterparty were to default in the present or at a future time, assuming that the closeout and replacement of transactions occur instantaneously, and assuming no recovery on the value of those transactions in bankruptcy.
Credit risk equivalent
represents the total replacement cost plus an amount representing the potential future credit risk exposure adjusted by a multiplier of 1.4, as outlined in OSFI’s Capital Adequacy Requirements (CAR) Guideline.
Risk-weighted assets
represent the credit risk equivalent, weighted on the basis of the creditworthiness of the counterparty and considering collateral, netting and other credit risk mitigants, as prescribed by OSFI.
 
 
(Canadian $ in millions)
  
  
 
  
  
 
  
2025
 
  
  
 
  
  
 
  
2024
 
  
  
Replacement
cost 
(1)
 
  
Credit risk
equivalent 
(1)
 
  
Risk-weighted

assets
 
  
Replacement
cost (1)
 
  
Credit risk
equivalent (1)
 
  
Risk-weighted

assets
 
Interest Rate Contracts
                  
Over-the-counter
                  
Swaps
   
$
  1,839
 
   
$
    7,493
 
   
$
   1,501
 
    $   2,404      $   7,797      $   1,125  
Forward rate agreements
   
 
391
 
   
 
3,448
 
   
 
858
 
      650        2,696        600  
Purchased options
   
 
511
 
   
 
1,066
 
   
 
452
 
      42        338        188  
Written options
   
 
8
 
   
 
245
 
   
 
66
 
      2        211        78  
    
 
2,749
 
   
 
12,252
 
   
 
2,877
 
      3,098        11,042        1,991  
Exchange-traded
                  
Futures
   
 
9
 
   
 
49
 
   
 
1
 
      122        279        6  
Purchased options
   
 
2
 
   
 
7
 
   
 
–
 
      8        19        –  
Written options
   
 
2
 
   
 
5
 
   
 
–
 
      –        1        –  
    
 
13
 
   
 
61
 
   
 
1
 
      130        299        6  
Total interest rate contracts
   
 
2,762
 
   
 
12,313
 
   
 
2,878
 
      3,228        11,341        1,997  
Foreign Exchange Contracts
(2)
                  
Over-the-counter
                  
Swaps
   
 
1,927
 
   
 
8,407
 
   
 
779
 
      1,559        7,218        825  
Forward foreign exchange contracts
   
 
1,838
 
   
 
9,399
 
   
 
1,672
 
      2,709        9,643        1,764  
Purchased options
   
 
119
 
   
 
476
 
   
 
139
 
      142        447        142  
Written options
   
 
1
 
   
 
155
 
   
 
38
 
      1        119        27  
    
 
3,885
 
   
 
18,437
 
   
 
2,628
 
      4,411        17,427        2,758  
Exchange-traded
                  
Futures
   
 
–
 
   
 
1
 
   
 
–
 
      –        1        –  
Purchased options
   
 
–
 
   
 
2
 
   
 
–
 
      –        3        –  
    
 
–
 
   
 
3
 
   
 
–
 
      –        4        –  
Total foreign exchange contracts
   
 
3,885
 
   
 
18,440
 
   
 
2,628
 
      4,411        17,431        2,758  
Commodity Contracts
                  
Over-the-counter
                  
Swaps
   
 
1,165
 
   
 
4,822
 
   
 
1,228
 
      993        4,256        1,035  
Purchased options
   
 
205
 
   
 
688
 
   
 
308
 
      155        484        182  
Written options
   
 
4
 
   
 
366
 
   
 
140
 
      10        246        86  
    
 
1,374
 
   
 
5,876
 
   
 
1,676
 
      1,158        4,986        1,303  
Exchange-traded
                  
Futures
   
 
246
 
   
 
1,028
 
   
 
21
 
      176        594        12  
Purchased options
   
 
28
 
   
 
178
 
   
 
4
 
      179        319        6  
Written options
   
 
15
 
   
 
157
 
   
 
3
 
      –        73        1  
    
 
289
 
   
 
1,363
 
   
 
28
 
      355        986        19  
Total commodity contracts
   
 
1,663
 
   
 
7,239
 
   
 
1,704
 
      1,513        5,972        1,322  
Equity Contracts
                  
Over-the-counter
   
 
306
 
   
 
10,247
 
   
 
2,132
 
      199        8,625        1,645  
Exchange-traded
   
 
2,036
 
   
 
3,909
 
   
 
78
 
      675        2,899        58  
Total equity contracts
   
 
2,342
 
   
 
14,156
 
   
 
2,210
 
      874        11,524        1,703  
Credit Contracts
   
 
24
 
   
 
177
 
   
 
22
 
      103        309        39  
Total
   
$
10,676
 
   
$
52,325
 
   
$
9,442
 
    $ 10,129      $ 46,577      $ 7,819  
 
  (1)
Replacement cost and credit risk equivalent are presented after the impact of master netting agreements and calculated using the Standardized Approach for Counterparty Credit Risk
(SA-CCR)
in accordance with the CAR Guideline issued by OSFI. Th
is
table therefore excludes loan commitment derivatives.
  (2)
Gold contracts are included in foreign exchange contracts.
 
 
Term to Maturity
Our derivative contracts have varying maturity dates. The remaining contractual terms to maturity for the notional amounts of our derivative contracts are as follows:
 
(Canadian $ in millions)
 
  
 
  
Term to maturity
 
  
2025
 
  
2024
 
  
 
  
 
  
Within
1 year
 
  
1 to 3
years
 
  
3 to 5
years
 
  
5 to 10
years
 
  
Over 10
years
 
  
Total notional
amounts
 
  
Total notional
amounts
 
Interest Rate Contracts
                       
Swaps
     
$
4,452,781
 
   
$
4,418,207
 
   
$
2,451,659
 
   
$
2,271,601
 
   
$
1,065,819
 
   
$
14,660,067
 
    $  16,845,977  
Forward rate agreements, futures and options
           
 
2,435,842
 
   
 
937,140
 
   
 
123,894
 
   
 
17,334
 
   
 
4,232
 
   
 
3,518,442
 
      5,824,049  
Total interest rate contracts
           
 
6,888,623
 
   
 
5,355,347
 
   
 
2,575,553
 
   
 
2,288,935
 
   
 
1,070,051
 
   
 
18,178,509
 
      22,670,026  
Foreign Exchange Contracts
(1)
                       
Swaps
     
 
349,612
 
   
 
447,928
 
   
 
271,998
 
   
 
224,379
 
   
 
77,590
 
   
 
1,371,507
 
      1,002,323  
Forward foreign exchange contracts
     
 
903,972
 
   
 
27,903
 
   
 
4,423
 
   
 
1,336
 
   
 
3,006
 
   
 
940,640
 
      679,927  
Futures
     
 
10,616
 
   
 
248
 
   
 
–
 
   
 
–
 
   
 
–
 
   
 
10,864
 
      1,751  
Options
           
 
194,461
 
   
 
21,524
 
   
 
2,089
 
   
 
332
 
   
 
–
 
   
 
218,406
 
      171,606  
Total foreign
exchange
contracts
           
 
1,458,661
 
   
 
497,603
 
   
 
278,510
 
   
 
226,047
 
   
 
80,596
 
   
 
2,541,417
 
      1,855,607  
Commodity Contracts
                       
Swaps
     
 
15,030
 
   
 
6,088
 
   
 
601
 
   
 
409
 
   
 
–
 
   
 
22,128
 
      20,328  
Futures
     
 
24,278
 
   
 
12,212
 
   
 
1,492
 
   
 
488
 
   
 
–
 
   
 
38,470
 
      36,071  
Options
           
 
44,932
 
   
 
16,512
 
   
 
308
 
   
 
1,000
 
   
 
–
 
   
 
62,752
 
      99,134  
Total commodity contracts
           
 
84,240
 
   
 
34,812
 
   
 
2,401
 
   
 
1,897
 
   
 
–
 
   
 
123,350
 
      155,533  
Equity Contracts
           
 
354,512
 
   
 
65,709
 
   
 
17,852
 
   
 
5,796
 
   
 
663
 
   
 
444,532
 
      471,640  
Credit Contracts
           
 
2,240
 
   
 
15,860
 
   
 
26,136
 
   
 
9,698
 
   
 
1,333
 
   
 
55,267
 
      39,561  
Total notional amount
           
$
 8,788,276
 
   
$
 5,969,331
 
   
$
 2,900,452
 
   
$
 2,532,373
 
   
$
 1,152,643
 
   
$
 21,343,075
 
    $ 25,192,367  
 
  (1)
Gold contracts are included in foreign exchange contracts.
Under the
SA-CCR,
this table excludes loan commitment derivatives.