XML 26 R13.htm IDEA: XBRL DOCUMENT v3.22.0.1
Fair value measurement
 3 Months Ended
Jan. 31, 2022
Text block [abstract]  
Fair value measurement
Note 3.    Fair value measurement
Fair value of financial instruments
 
 
  
 
 
Carrying value
 
 
 
 
 
 
 
$ millions, as at
 
Amortized
cost
 
 
Mandatorily
measured
at FVTPL
 
 
Designated
at FVTPL
 
 
Fair value
through
OCI
 
 
Total
 
 
Fair
value
 
 
Fair value
over (under)
carrying value
 
2022
  
Financial assets
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Jan. 31
   
Cash and deposits with banks
  
$
43,042
 
  
$
308
 
  
$
–
 
  
$
–
 
  
$
43,350
 
  
$
43,350
 
  
$
–
 
    
Securities
  
 
45,489
 
  
 
80,633
 
  
 
–
 
  
 
52,881
 
  
 
179,003
 
  
 
178,947
 
  
 
(56
 )
    
Cash collateral on securities borrowed
  
 
14,096
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
14,096
 
  
 
14,096
 
  
 
–
 
    
Securities purchased under resale agreements
  
 
59,511
 
  
 
7,464
 
  
 
–
 
  
 
–
 
  
 
66,975
 
  
 
66,975
 
  
 
–
 
    
Loans
                                                        
    
Residential mortgages
  
 
256,796
 
  
 
10
 
  
 
–
 
  
 
–
 
  
 
256,806
 
  
 
254,838
 
  
 
(1,968
 )
    
Personal
  
 
41,897
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
41,897
 
  
 
41,873
 
  
 
(24
 )
    
Credit card
  
 
10,512
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
10,512
 
  
 
10,512
 
  
 
–
 
    
Business and government
  
 
136,166
 
  
 
27,079
 
  
 
309
 
  
 
–
 
  
 
163,554
 
  
 
163,435
 
  
 
(119
 )
    
Derivative instruments
  
 
–
 
  
 
33,066
 
  
 
–
 
  
 
–
 
  
 
33,066
 
  
 
33,066
 
  
 
–
 
    
Customers’ liability under acceptances
  
 
10,618
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
10,618
 
  
 
10,618
 
  
 
–
 
 
   
Other assets
  
 
19,979
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
19,979
 
  
 
19,979
 
  
 
–
 
    
Financial liabilities
                                                        
    
Deposits
                                                        
    
Personal
  
$
210,594
 
  
$
–
 
  
$
9,488
 
  
$
–
 
  
$
220,082
 
  
$
220,021
 
  
$
(61
 )
    
Business and government
  
 
352,007
 
  
 
–
 
  
 
10,355
 
  
 
–
 
  
 
362,362
 
  
 
363,541
 
  
 
1,179
 
    
Bank
  
 
19,794
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
19,794
 
  
 
19,794
 
  
 
–
 
    
Secured borrowings
  
 
46,224
 
  
 
–
 
  
 
1,246
 
  
 
–
 
  
 
47,470
 
  
 
47,645
 
  
 
175
 
    
Derivative instruments
  
 
–
 
  
 
29,236
 
  
 
–
 
  
 
–
 
  
 
29,236
 
  
 
29,236
 
  
 
–
 
    
Acceptances
  
 
10,656
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
10,656
 
  
 
10,656
 
  
 
–
 
    
Obligations related to securities sold short
  
 
–
 
  
 
23,272
 
  
 
–
 
  
 
–
 
  
 
23,272
 
  
 
23,272
 
  
 
–
 
    
Cash collateral on securities lent
  
 
2,286
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
2,286
 
  
 
2,286
 
  
 
–
 
    
Obligations related to securities sold under repurchase agreements

  
 
64,380
 
  
 
–
 
  
 
4,042
 
  
 
–
 
  
 
68,422
 
  
 
68,422
 
  
 
–
 
    
Other liabilities
  
 
17,774
 
  
 
112
 
  
 
26
 
  
 
–
 
  
 
17,912
 
  
 
17,912
 
  
 
–
 
 
   
Subordinated indebtedness
  
 
5,531
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
5,531
 
  
 
5,769
 
  
 
238
 
2021
   
Financial assets
                                                        
Oct. 31
   
Cash and deposits with banks
   $ 56,701     $ 296     $ –     $ –     $ 56,997     $ 56,997     $ –  
    
Securities
     35,159           72,192       53           53,997           161,401           161,712              311  
    
Cash collateral on securities borrowed
     12,368       –       –       –       12,368       12,368       –  
    
Securities purchased under resale agreements
     60,482       7,090       –       –       67,572       67,572       –  
    
Loans
                                                        
    
Residential mortgages
     251,230       16       –       –       251,246       249,786       (1,460 ) 
    
Personal
     41,129       –       –       –       41,129       41,114       (15 ) 
    
Credit card
     10,509       –       –       –       10,509       10,509       –  
    
Business and government
     123,054       25,651       332       –       149,037       148,960       (77 ) 
    
Derivative instruments
     –       35,912       –       –       35,912       35,912       –  
    
Customers’ liability under acceptances
     10,958       –       –       –       10,958       10,958       –  
 
   
Other assets
     21,054       –       –       –       21,054       21,054       –  
    
Financial liabilities
                                                        
    
Deposits
                                                        
    
Personal
   $     205,461     $ –     $     8,471     $ –     $ 213,932     $ 213,949     $ 17  
    
Business and government
     334,632       –       9,756       –       344,388       345,533             1,145  
    
Bank
     20,246       –       –       –       20,246       20,246       –  
    
Secured borrowings
     41,539       –       1,053       –       42,592       42,838       246  
    
Derivative instruments
     –       32,101       –       –       32,101       32,101       –  
    
Acceptances
     10,961       –       –       –       10,961       10,961       –  
    
Obligations related to securities sold short
     –       22,790       –       –       22,790       22,790       –  
    
Cash collateral on securities lent
     2,463       –       –       –       2,463       2,463       –  
    
Obligations related to securities sold under repurchase agreements
     67,905       –             3,975       –       71,880       71,880       –  
    
Other liabilities
     16,854       113       51       –       17,018       17,018       –  
 
   
Subordinated indebtedness
     5,539       –       –       –       5,539       5,820       281  
 
The table below presents the level in the fair value hierarchy into which the fair values of financial instruments, that are carried at fair value on the interim consolidated balance sheet, are categorized:
 
 
 
Level 1
 
 
 
 
 
Level 2
 
 
 
 
 
Level 3
 
 
 
 
  
 
Quoted market price
 
 
  
 
 
Valuation technique –
observable market inputs
 
 
  
 
 
Valuation technique –
non-observable market inputs
 
 
Total
 
  
Total
 
$ millions, as at
 
2022
Jan. 31
 
 
2021
Oct. 31
 
 
  
 
 
2022
Jan. 31
 
 
2021
Oct. 31
 
 
  
 
 
2022
Jan. 31
 
 
2021
Oct. 31
 
 
2022
Jan. 31
 
  
2021
Oct. 31
 
Financial assets
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
  
      
Deposits with banks
  
$
–
 
   $ –    
 
 
 
  
$
      308
 
   $ 296    
 
 
 
  
$
–
 
   $ –    
$
308
 
    $ 296  
Securities mandatorily measured and designated at FVTPL
                                                                                 
Government issued or guaranteed
  
 
2,639
 
     3,015            
 
25,941
 
(1)
 
     24,737  
(1)
 		          
 
–
 
     –    
 
28,580
 
      27,752  
Corporate equity
  
 
45,184
 
     37,981            
 
300
 
     219            
 
4
 
     4    
 
45,488
 
      38,204  
Corporate debt
  
 
–
 
     –            
 
3,909
 
     3,997            
 
2
 
     2    
 
3,911
 
      3,999  
Mortgage- and asset-backed
  
 
–
 
     –    
 
 
 
  
 
2,568
  
(2)
 
     2,235  
(2)
 		  
 
 
 
  
 
86
 
     55    
 
2,654
 
      2,290  
 
  
 
        47,823
 
     40,996    
 
 
 
  
 
32,718
 
     31,188    
 
 
 
  
 
92
 
     61    
 
80,633
 
      72,245  
                     
Loans mandatorily measured at FVTPL
                                                                                 
Business and government
  
 
–
 
     –            
 
26,748
 
     24,945            
 
640
  
(3)
 
     1,038  
(3)
 		  
 
27,388
 
      25,983  
Residential mortgages
  
 
–
 
     –    
 
 
 
  
 
10
 
     16    
 
 
 
  
 
–
 
     –    
 
10
 
      16  
 
  
 
–
 
     –    
 
 
 
  
 
26,758
 
     24,961    
 
 
 
  
 
640
 
     1,038    
 
27,398
 
      25,999  
                     
Debt securities measured at FVOCI
                                                                                 
Government issued or guaranteed
  
 
3,915
 
     5,309            
 
40,219
 
     38,122            
 
–
 
     –    
 
44,134
 
      43,431  
Corporate debt
  
 
–
 
     –            
 
5,829
 
     7,833            
 
–
 
     –    
 
5,829
 
      7,833  
Mortgage- and asset-backed
  
 
–
 
     –    
 
 
 
  
 
2,030
 
     1,897    
 
 
 
  
 
–
 
     –    
 
2,030
 
      1,897  
 
  
 
3,915
 
     5,309    
 
 
 
  
 
48,078
 
     47,852    
 
 
 
  
 
–
 
     –    
 
51,993
 
      53,161  
                     
Equity securities designated at FVOCI
                                                                                 
Corporate equity
  
 
77
 
     125    
 
 
 
  
 
361
 
     319    
 
 
 
  
 
450
 
     392    
 
888
 
      836  
                     
Securities purchased under resale agreements
                                                                                 
measured at FVTPL
  
 
–
 
     –    
 
 
 
  
 
7,464
 
     7,090    
 
 
 
  
 
–
 
     –    
 
7,464
 
      7,090  
Derivative instruments
                                                                                 
Interest rate
  
 
6
 
     3            
 
9,187
 
     8,948            
 
25
 
     35    
 
9,218
 
      8,986  
Foreign exchange
  
 
–
 
     –            
 
9,732
 
     11,707            
 
–
 
     –    
 
9,732
 
      11,707  
Credit
  
 
–
 
     –            
 
13
 
     4            
 
43
 
     49    
 
56
 
      53  
Equity
  
 
3,859
 
     4,650            
 
1,968
 
     1,877            
 
16
 
     13    
 
5,843
 
      6,540  
Precious metal
  
 
–
 
     –            
 
108
 
     132            
 
–
 
     –    
 
108
 
      132  
Other commodity
  
 
249
 
     343    
 
 
 
  
 
7,860
 
     8,151    
 
 
 
  
 
–
 
     –    
 
8,109
 
      8,494  
 
  
 
4,114
 
     4,996    
 
 
 
  
 
28,868
 
     30,819    
 
 
 
  
 
84
 
     97    
 
33,066
 
           35,912  
Total financial assets
  
$
 
 
 
 
55,929
 
   $ 51,426    
 
 
 
  
$
144,555
 
   $     142,525    
 
 
 
  
$
1,266
 
   $     
 
1,588		    
$
 
 
 
 
201,750
 
    $     195,539  
Financial liabilities
                                                                                 
Deposits and other liabilities
(4)
  
$
–
 
   $ –            
$
(20,416
 )   $ (18,702 )           
$
(811
 )   $ (742 )   
$
(21,227
 )    $ (19,444 ) 
Obligations related to securities sold short
  
 
(5,540
 )     (11,226 )           
 
(17,732
 )     (11,564 )           
 
–
 
     –    
 
(23,272
 )      (22,790 ) 
Obligations related to securities sold under
                                                                                 
repurchase agreements
  
 
–
 
     –    
 
 
 
  
 
(4,042
 )     (3,975 )   
 
 
 
  
 
–
 
     –    
 
(4,042
 )      (3,975 ) 
Derivative instruments
                                                                                 
Interest rate
  
 
(2
 )     –            
 
(8,917
 )     (8,426 )           
 
(213
 )     (136 )   
 
(9,132
 )      (8,562 ) 
Foreign exchange
  
 
–
 
     –            
 
(9,237
 )     (11,039 )           
 
–
 
     –    
 
(9,237
 )      (11,039 ) 
Credit
  
 
–
 
     –            
 
(49
 )     (50 )           
 
(48
 )     (54 )   
 
(97
 )      (104 ) 
Equity
  
 
(2,930
 )     (3,422 )           
 
(4,386
 )     (5,280 )           
 
(16
 )     (77 )   
 
(7,332
 )      (8,779 ) 
Precious metal
  
 
–
 
     –            
 
(125
 )     (147 )           
 
–
 
     –    
 
(125
 )      (147 ) 
Other commodity
  
 
(484
 )     (1,122 )   
 
 
 
  
 
(2,829
 )     (2,348 )   
 
 
 
  
 
–
 
     –    
 
(3,313
 )      (3,470 ) 
 
  
 
(3,416
 )     (4,544 )   
 
 
 
  
 
(25,543
 )     (27,290 )   
 
 
 
  
 
(277
 )     (267 )   
 
(29,236
 )      (32,101 ) 
Total financial liabilities
  
$
    (8,956
 
)		   $     (15,770 )   
 
 
 
  
$
    (67,733
 )   $ (61,531 )   
 
 
 
  
$
    (1,088
 
)		   $ (1,009 )   
$
    (77,777
 )    $ (78,310 ) 
(1)
Includes nil related to securities designated at FVTPL (October 31, 2021: $49 million).
(2)
Includes nil related to asset-backed securities designated at FVTPL (October 31, 2021: $4 million).
(3)
Includes $309 million related to loans designated at FVTPL (October 31, 2021: $332 million).
(4)
Comprises deposits designated at FVTPL of $20,259 million (October 31, 2021: $18,530
 million), net bifurcated embedded derivative liabilities of 
$830
 million (October 31, 2021: 
$750
 million), other liabilities designated at FVTPL of 
$26
 million (October 31, 2021: 
$51
 million), and other financial liabilities measured at fair value of 
$112
 million (October 31, 2021: 
$113
 million). 
Transfers between levels in the fair value hierarchy are deemed to have occurred at the beginning of the quarter in which the transfer occurred. Transfers between levels can occur as a result of additional or new information regarding valuation inputs and changes in their observability. During the quarter ended January 31, 2022, we transferred
$567
 million of securities mandatorily measured at FVTPL from Level 1 to Level 2, $
5,514
 million of securities sold short from Level 1 to Level 2, $
584
 
million
 
of derivative liabilities from Level 1 to Level 2, and $
21
 million of derivative assets from Level 1 to Level 2, and no
transfers
from Level 2 to Level 1, due to changes in observability in the inputs used to value these securities
and d
e
rivatives 
(for the quarter ended October 31, 2021, $
2,283
 million of securities mandatorily measured at FVTPL and $
1,174
 million of securities sold short were transferred from Level 1 to Level 2
, no transfers of derivatives from Level 1 to Level 2, and no transfers
from Level 2 to Level 1; for the quarter ended January 31, 2021, 
$19 
million of securities mandatorily measured at FVTPL and
$128 
million of securities sold short were transferred from Level 1 to Level 2
, no transfers of derivatives from Level 1 to Level 2,
and
 no
 
transfers
from Level 2 to Level 1). In addition, transfers between Level 2 and Level 3 were made during the quarters ended January 31, 2022, October 31, 2021, and January 31, 2021, primarily due to changes in the assessment of the observability of certain correlation
 and
market volatility inputs that were used in measuring the fair v
a
lue of our fair value option liabilities and derivatives.
The following table presents the changes in fair value of financial assets and liabilities in Level 3. These instruments are measured at fair value utilizing
non-observable
market inputs. We often hedge positions with offsetting positions that may be classified in a different level. As a result, the gains and losses for assets and liabilities in the Level 3 category presented in the table below do not reflect the effect of offsetting gains and losses on the related hedging instruments that are classified in Level 1 and Level 2.
 
 
 
 
 
 
Net gains (losses)
included in income
(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
$ millions, for the three months ended
 
 
Opening
balance
 
 
 
 
Realized
 
(2)
 
 
 
Unrealized
 
(2)(3)
 
 
 
Net unrealized
gains (losses)
included in OCI
 
 
 
(4)
 
 
 
Transfer
in to
Level 3
 
 
 
 
 
Transfer
out of
Level 3
 
 
 
 
 
Purchases/
Issuances
 
 
 
 
Sales/
Settlements
 
 
 
 
Closing
balance
 
 
Jan. 31, 2022
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Securities mandatorily measured and designated at FVTPL
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Corporate equity
  
$
4
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
4
 
Corporate debt
  
 
2
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
2
 
Mortgage- and asset-backed
  
 
55
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
32
 
  
 
(1
)
 
  
 
86
 
Loans mandatorily measured at FVTPL
                                                                        
Business and government
  
 
1,038
 
  
 
–
 
  
 
(3
 )  
 
17
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
(412
 )  
 
640
 
Equity securities designated at FVOCI
                                                                        
Corporate equity
  
 
392
 
  
 
–
 
  
 
–
 
  
 
47
 
  
 
–
 
  
 
–
 
  
 
27
 
  
 
(16
)
 
  
 
450
 
Derivative instruments
                                                                        
Interest rate
  
 
35
 
  
 
–
 
  
 
(11
)
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
1
 
  
 
25
 
Credit
  
 
49
 
  
 
(5
)
 
  
 
(1
)
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
43
 
Equity
  
 
13
 
  
 
–
 
  
 
(1
 )  
 
–
 
  
 
10
 
  
 
(8
)
 
  
 
2
 
  
 
–
 
  
 
16
 
Total assets
  
$
     1,588
 
  
$
         (5
)
 
  
$
         (16
)
  
$
       64
 
  
$
 
 
 
10
 
  
$
       (8
)
 
  
$
       61
 
  
$
         (428
)
 
  
$
     1,266
 
Deposits and other liabilities
(5)
  
$
(742
) 
  
$
8
 
  
$
(156
)
 
  
$
–
 
  
$
–
 
  
$
2
 
  
$
(21
)
 
  
$
98
 
  
$
(811
) 
Derivative instruments
                                                                        
Interest rate
  
 
(136
) 
  
 
–
 
  
 
(66
)
 
  
 
–
 
  
 
–
 
  
 
2
 
  
 
(16
 )  
 
3
 
  
 
(213
) 
Credit
  
 
(54
) 
  
 
5
 
  
 
1
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
(48
) 
Equity
  
 
(77
) 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
60
 
  
 
(2
 )  
 
3
 
  
 
(16
) 
Total liabilities
  
$
(1,009
) 
  
$
13
 
  
$
(221
)
 
  
$
–
 
  
$
–
 
  
$
 
 
 
64
 
  
$
(39
)
 
  
$
104
 
  
$
(1,088
) 
Oct. 31, 2021
                                                                        
Securities mandatorily measured and designated at FVTPL
                                                                        
Corporate equity
   $ 6     $ –     $ (2 )    $ –     $ –     $ –     $ –     $ –     $ 4  
Corporate debt
     2       –       –       –       –       –       –       –       2  
Mortgage- and asset-backed
     132       –       –       –       –       –       –       (77 )      55  
Loans mandatorily measured at FVTPL
                                                                        
Business and government
     1,044       –       (3 )      (8 )      –       –       45       (40 )      1,038  
Equity securities designated at FVOCI
                                                                        
Corporate equity
     368       –       –       20       –       –       26       (22 )      392  
Derivative instruments
                                                                        
Interest rate
     34       –       2       –       –       (2 )      –       1       35  
Credit
     58       (9 )      –       –       –       –       –       –       49  
Equity
     103       (3 )      (36 )      –       –       (22 )      (13 )      (16 )      13  
Total assets
   $ 1,747     $ (12 )    $ (39 )    $      12     $ –     $ (24 )    $ 58     $ (154 )    $ 1,588  
Deposits and other liabilities
(5)
   $ (652 )    $ (358 )    $ 287     $ –     $ –     $ (15 )    $ (46 )    $ 42     $ (742 ) 
Derivative instruments
                                                                        
Interest rate
     (87 )      –       (25 )      –       2       (15 )      (2 )      (9 )      (136 ) 
Credit
     (63 )      9       –       –       –       –       –       –       (54 ) 
Equity
     (233 )      (41 )      146       –       –       49       (30 )      32       (77 ) 
Total liabilities
   $ (1,035 )    $ (390 )    $      408     $ –     $ 2     $ 19     $ (78 )    $ 65     $ (1,009 ) 
Jan. 31, 2021
                                                                        
Securities mandatorily measured and designated at FVTPL
                                                                        
Corporate equity
   $ 16     $ –     $ 3     $ –     $ –     $ –     $ –     $ –     $ 19  
Corporate debt
     25       –       5       –       –       –       –       –       30  
Mortgage- and asset-backed
     135       –       –       –       –       –       –       (33 )      102  
Loans mandatorily measured at FVTPL
                                                                        
Business and government
     626       –       –       (25 )      –       –       278       –       879  
Equity securities designated at FVOCI
                                                                        
Corporate equity
     240       –       –       19       –       –       17       (7 )      269  
Derivative instruments
                                                                        
Interest rate
     48       –       (4 )      –       –       –       –       1       45  
Credit
     98       (6 )      9       –       –       –       –       –       101  
Equity
     212       –       15       –       –       –       –       (166 )      61  
Total assets
   $      1,400     $ (6 )    $ 28     $ (6 )    $ –     $ –     $
 
 
 
 
295		     $ (205 )    $     1,506  
Deposits and other liabilities
(5)
   $ 4     $ –     $ (387 )    $ –     $ (2 )    $ (5 )    $ (2 )    $ 25     $ (367 ) 
Derivative instruments
                                                                        
Interest rate
     (28 )      –       (47 )      –       –       –       –       1       (74 ) 
Credit
     (107 )      6       (8 )      –       –       –       –       (4 )      (113 ) 
Equity
     (163 )      –       (44 )      –       –       –       –       70       (137 ) 
Total liabilities
   $ (294 )    $ 6     $ (486 )    $ –     $ (2 )    $ (5 )    $ (2 )    $ 92     $ (691 ) 
(1)
Cumulative AOCI gains or losses related to equity securities designated at FVOCI are reclassified from AOCI to retained earnings at the time of disposal or derecognition.
(2)
Includes foreign currency gains and losses related to debt securities measured at FVOCI.
(3)
Comprises unrealized gains and losses r
e
lating to the assets and liabilities held at the end of the reporting period.
(4)
Foreign exchange translation on loans mandatorily measured at FVTPL held by foreign operations and denominated in the same currency as the foreign operations is included in OCI.
(5)
Includes deposits designated at FVTPL of $137 million (October 31, 2021: $90 million; January 31, 2021: $136 million), net bifurcated embedded derivative liabilities of $648
million (October 31, 2021: 
$601 
million;
January 31, 2021: 
$231 million) and other liabilities designated at FVTPL of $26 million (October 31, 2021: $51 million; January 31, 2021: nil).
Financial instruments designated at FVTPL (fair value option)
A net gain of $25 million, net of hedges for the three months ended January 31, 2022 (a net gain of $12 million and a net gain of $19 million for the three months ended October 31, 2021 and January 31, 2021, respectively), which is included in the interim consolidated statement of income under Gains (losses) from financial instruments measured/designated at FVTPL, net was recognized for FVO assets and FVO liabilities.
The fair value of a FVO liability reflects the credit risk relating to that liability. For those FVO liabilities for which we believe changes in our credit risk would impact the fair value from the note holders’ perspective, the related fair value changes were recognized in OCI.