Derivative instruments (Tables)

12 Months Ended

Oct. 31, 2018

Text block1 [abstract]

Summary of Derivative Instruments

$ millions, as at October 31			2018				2017
	Assets		Liabilities		Assets		Liabilities
Trading (Note 2)	$	19,318	$	19,204	$	21,352	$	21,275
ALM (Note 2)
Designated accounting hedges (Note 13)		1,566		1,303		2,454		1,222
Economic hedges (1)		547		466		536		774
	$	21,431	$	20,973	$	24,342	$	23,271

(1) Comprises derivatives not designated in hedge accounting relationships under IAS 39.

Summary of Notional Amounts

The following table presents the notional amounts of derivative instruments:

$ millions, as at October 31											2018				2017
	Residual term to contractual maturity
	Less than 1 year		1 to 5 years		Over 5 years		Total notional amounts		Trading		ALM		Trading		ALM
Interest rate derivatives
Over-the-counter
Forward rate agreements	$	13,843	$	25	$	–	$	13,868	$	5,925	$	7,943	$	5,352	$	4,496
Centrally cleared forward rate agreements		230,383		43,145		–		273,528		273,528		–		235,787		–
Swap contracts		49,556		171,052		74,089		294,697		242,620		52,077		243,136		77,429
Centrally cleared swap contracts		1,166,780		1,079,707		327,149		2,573,636		2,264,721		308,915		1,782,769		263,629
Purchased options		6,308		4,688		792		11,788		8,697		3,091		7,813		5,038
Written options		7,396		4,278		584		12,258		10,417		1,841		6,086		2,072
		1,474,266		1,302,895		402,614		3,179,775		2,805,908		373,867		2,280,943		352,664
Exchange-traded
Futures contracts		74,461		26,765		78		101,304		99,156		2,148		72,362		1,036
Purchased options		7,273		–		–		7,273		7,273		–		3,850		–
Written options		2,500		–		–		2,500		2,500		–		2,500		–
		84,234		26,765		78		111,077		108,929		2,148		78,712		1,036
Total interest rate derivatives		1,558,500		1,329,660		402,692		3,290,852		2,914,837		376,015		2,359,655		353,700
Foreign exchange derivatives
Over-the-counter
Forward contracts		400,397		7,462		839		408,698		387,509		21,189		293,292		6,240
Swap contracts		273,924		60,250		24,108		358,282		299,073		59,209		258,668		61,385
Purchased options		19,096		1,405		63		20,564		20,562		2		22,861		16
Written options		21,060		1,419		64		22,543		22,513		30		23,009		25
		714,477		70,536		25,074		810,087		729,657		80,430		597,830		67,666
Exchange-traded
Futures contracts		11		–		–		11		11		–		1		–
Total foreign exchange derivatives		714,488		70,536		25,074		810,098		729,668		80,430		597,831		67,666
Credit derivatives
Over-the-counter
Total return swap contracts – protection sold		–		–		–		–		–		–		–		–
Credit default swap contracts – protection purchased		22		372		365		759		634		125		376		111
Centrally cleared credit default swap contracts – protection purchased		–		404		197		601		443		158		1,016		155
Credit default swap contracts – protection sold		26		76		157		259		157		102		343		111
Centrally cleared credit default swap contracts – protection sold		–		13		198		211		211		–		258		–
Total credit derivatives		48		865		917		1,830		1,445		385		1,993		377
Equity derivatives
Over-the-counter		79,276		22,876		94		102,246		100,762		1,484		73,064		1,143
Exchange-traded		60,654		20,275		1,109		82,038		82,038		–		54,897		–
Total equity derivatives		139,930		43,151		1,203		184,284		182,800		1,484		127,961		1,143
Precious metal derivatives
Over-the-counter		4,880		19		–		4,899		4,899		–		3,154		–
Exchange-traded		1,057		34		–		1,091		1,091		–		2,929		–
Total precious metal derivatives		5,937		53		–		5,990		5,990		–		6,083		–
Other commodity derivatives
Over-the-counter		16,045		14,738		2,478		33,261		33,261		–		27,628		3
Centrally cleared commodity derivatives		21		8		–		29		29		–		27		–
Exchange-traded		17,177		9,331		444		26,952		26,952		–		20,363		–
Total other commodity derivatives		33,243		24,077		2,922		60,242		60,242		–		48,018		3
Total notional amount of which:	$	2,452,146	$	1,468,342	$	432,808	$	4,353,296	$	3,894,982	$	458,314	$	3,141,541	$	422,889
Over-the-counter (1)		2,289,013		1,411,937		431,177		4,132,127		3,675,961		456,166		2,984,639		421,853
Exchange-traded		163,133		56,405		1,631		221,169		219,021		2,148		156,902		1,036

(1) For OTC derivatives that are not centrally cleared, $1,064.5 billion (2017: $933.8 billion) are with counterparties that have two-way collateral posting arrangements, $33.8 billion (2017: $17.3 billion) are with counterparties that have one-way collateral posting arrangements, and $185.8 billion (2017: $171.8 billion) are with counterparties that have no collateral posting arrangements. All counterparties with whom we have one-way collateral posting arrangements are sovereign entities.

Summary of Credit Exposure Arising from Derivatives

$ millions, as at October 31										2018											2017
	Current replacement cost							Credit equivalent amount (1)		Risk- weighted amount		Current replacement cost							Credit equivalent amount (1)		Risk- weighted amount
	Trading		ALM		Total							Trading		ALM		Total
Interest rate derivatives
Over-the-counter
Forward rate agreements	$	113	$	–	$	113		$	39	$	2	$	56	$	1	$	57		$	29	$	3
Swap contracts		4,603		773		5,376			5,359		539		6,968		1,065		8,033			4,993		653
Purchased options		92		11		103			20		8		153		3		156			55		22
		4,808		784		5,592			5,418		549		7,177		1,069		8,246			5,077		678
Exchange-traded		1		–		1			170		5		–		–		–			88		2
		4,809		784		5,593			5,588		554		7,177		1,069		8,246			5,165		680
Foreign exchange derivatives
Over-the-counter
Forward contracts		2,916		117		3,033			3,793		1,017		3,603		87		3,690			3,644		938
Swap contracts		4,825		1,205		6,030			4,528		886		6,028		1,707		7,735			4,350		847
Purchased options		240		–		240			259		83		217		1		218			310		81
		7,981		1,322		9,303			8,580		1,986		9,848		1,795		11,643			8,304		1,866
Credit derivatives
Over-the-counter
Credit default swap contracts
– protection purchased		115		–		115			46		9		130		–		130			90		10
– protection sold		3		–		3			3		–		11		–		11			6		–
		118		–		118			49		9		141		–		141			96		10
Equity derivatives
Over-the-counter		1,951		7		1,958			2,259		535		1,197		126		1,323			2,033		520
Exchange-traded		1,659		–		1,659			4,131		116		1,541		–		1,541			2,837		84
		3,610		7		3,617			6,390		651		2,738		126		2,864			4,870		604
Precious metal derivatives
Over-the-counter		63		–		63			62		23		40		–		40			43		19
Exchange-traded		143		–		143			17		1		186		–		186			24		1
		206		–		206			79		24		226		–		226			67		20
Other commodity derivatives
Over-the-counter		2,527		–		2,527			4,046		1,523		1,138		–		1,138			2,314		902
Exchange-traded		67		–		67			1,480		59		84		–		84			1,003		40
		2,594		–		2,594			5,526		1,582		1,222		–		1,222			3,317		942
Non-trade exposure related to central counterparties											224											176
Common equity tier 1 (CET1) CVA charge											4,236											3,498
Total derivatives before netting		19,318		2,113		21,431			26,212		9,266		21,352		2,990		24,342			21,819		7,796
Less: effect of netting						(11,789	)										(13,977	)
Total derivatives					$	9,642		$	26,212	$	9,266					$	10,365		$	21,819	$	7,796

(1) Sum of current replacement cost and potential future exposure, adjusted for master netting agreements and the impact of collateral amounting to $5,036 million (2017: $4,359 million). The collateral comprises cash of $3,961 million (2017: $3,534 million) and government securities of $1,075 million (2017: $825 million). Of the collateral, $5,020 million (2017: $4,341 million) relates to eligible financial collateral for AIRB exposures that is reflected in the loss given default risk variable used in the determination of risk-weighted assets.