XML 26 R13.htm IDEA: XBRL DOCUMENT v3.22.2.2
Fair value measurement
 9 Months Ended
Jul. 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
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Jul. 31
   
Cash and deposits with banks
  
$
44,449
 
  
$
885
 
  
$
–
 
  
$
–
 
  
$
45,334
 
  
$
45,334
 
  
$
–
 
    
Securities
  
 
49,229
 
  
 
71,014
 
  
 
–
 
  
 
56,606
 
  
 
176,849
 
  
 
175,912
 
  
 
(937
 )
    
Cash collateral on securities borrowed
  
 
15,277
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
15,277
 
  
 
15,277
 
  
 
–
 
    
Securities purchased under resale agreements
  
 
55,420
 
  
 
4,715
 
  
 
–
 
  
 
–
 
  
 
60,135
 
  
 
60,135
 
  
 
–
 
    
Loans
                                                        
    
Residential mortgages
  
 
267,436
 
  
 
7
 
  
 
–
 
  
 
–
 
  
 
267,443
 
  
 
262,853
 
  
 
(4,590
 )
    
Personal
  
 
43,903
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
43,903
 
  
 
43,817
 
  
 
(86
 )
    
Credit card
  
 
14,991
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
14,991
 
  
 
15,078
 
  
 
87
 
    
Business and government
  
 
149,275
 
  
 
29,077
 
  
 
225
 
  
 
–
 
  
 
178,577
 
  
 
178,249
 
  
 
(328
 )
    
Derivative instruments
  
 
–
 
  
 
36,284
 
  
 
–
 
  
 
–
 
  
 
36,284
 
  
 
36,284
 
  
 
–
 
    
Customers’ liability under acceptances
  
 
11,681
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
11,681
 
  
 
11,681
 
  
 
–
 
 
   
Other assets
  
 
24,016
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
24,016
 
  
 
24,016
 
  
 
–
 
    
Financial liabilities
                                                        
    
Deposits
                                                        
    
Personal
  
$
217,765
 
  
$
–
 
  
$
11,144
 
  
$
–
 
  
$
228,909
 
  
$
228,324
 
  
$
(585
 )
    
Business and government
  
 
365,665
 
  
 
–
 
  
 
12,698
 
  
 
–
 
  
 
378,363
 
  
 
378,346
 
  
 
(17
 )
    
Bank
  
 
23,271
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
23,271
 
  
 
23,271
 
  
 
–
 
    
Secured borrowings
  
 
46,404
 
  
 
–
 
  
 
1,510
 
  
 
–
 
  
 
47,914
 
  
 
47,733
 
  
 
(181
 )
    
Derivative instruments
  
 
–
 
  
 
39,439
 
  
 
–
 
  
 
–
 
  
 
39,439
 
  
 
39,439
 
  
 
–
 
    
Acceptances
  
 
11,685
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
11,685
 
  
 
11,685
 
  
 
–
 
    
Obligations related to securities sold short
  
 
–
 
  
 
20,179
 
  
 
–
 
  
 
–
 
  
 
20,179
 
  
 
20,179
 
  
 
–
 
    
Cash collateral on securities lent
  
 
3,299
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
3,299
 
  
 
3,299
 
  
 
–
 
    
Obligations related to securities sold under repurchase agreements
  
 
59,851
 
  
 
–
 
  
 
3,841
 
  
 
–
 
  
 
63,692
 
  
 
63,692
 
  
 
–
 
    
Other liabilities
  
 
17,186
 
  
 
104
 
  
 
5
 
  
 
–
 
  
 
17,295
 
  
 
17,295
 
  
 
–
 
 
   
Subordinated indebtedness
  
 
6,359
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
6,359
 
  
 
6,438
 
  
 
79
 
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
Jul. 31
 
 
2021
Oct. 31
 
 
  
 
 
2022
Jul. 31
 
 
2021
Oct. 31
 
  
  
 
 
2022
Jul. 31
 
 
2021
Oct. 31
 
 
2022
Jul. 31
 
  
2021
Oct. 31
 
Financial assets
 
 
 
 
 
  
 
 
 
  
Deposits with banks
  
$
–
 
    $ –            
$
885
 
   $ 296             
$
    –
 
   $ –    
$
885
 
    $ 296  
Debt securities 
mandatorily measured and
designated at FVTPL
                                                                                   
Government issued or guaranteed
  
 
4,937
 
      3,015            
 
24,711
 
(1)
 
     24,737  
(1)
 		           
 
–
 
     –    
 
29,648
 
      27,752  
Corporate debt
  
 
–
 
      –            
 
3,574
 
     3,997             
 
2
 
     2    
 
3,576
 
      3,999  
Mortgage- and asset-backed
  
 
–
 
      –            
 
2,998
 
(2)
 
     2,235  
(2)
 		           
 
147
 
     55    
 
3,145
 
      2,290  
 
 
 
4,937
 
  
 
 3,015
 
 
 
 
 
 
 
31,283
 
 
 
 30,969
 
  
 
 
 
 
 
149
 
 
 
 57
 
 
 
36,369
 
  
 
 34,041
 
Loans mandatorily measured at FVTPL
                                                                                   
Business and government
  
 
–
 
      –            
 
28,652
 
     24,945             
 
650
 
(3)
 
     1,038  
(3)
 		  
 
29,302
 
      25,983  
Residential mortgages
  
 
–
 
      –            
 
7
 
     16             
 
–
 
     –    
 
7
 
      16  
   
 
–
 
      –            
 
28,659
 
     24,961             
 
650
 
     1,038    
 
29,309
 
      25,999  
Debt securities measured at FVOCI
                                                                                   
Government issued or guaranteed
  
 
3,402
 
      5,309            
 
44,212
 
     38,122             
 
–
 
     –    
 
47,614
 
      43,431  
Corporate debt
  
 
–
 
      –            
 
6,647
 
     7,833             
 
–
 
     –    
 
6,647
 
      7,833  
Mortgage- and asset-backed
  
 
–
 
      –            
 
1,819
 
     1,897             
 
–
 
     –    
 
1,819
 
      1,897  
 
 
 
3,402
 
  
 
 5,309
 
 
 
 
 
 
 
52,678
 
 
 
 47,852
 
  
 
 
 
 
 
–
 
 
 
–
 
 
 
56,080
 
  
 
 53,161
 
Corporate
equity mandatorily measured at FVTPL and designated at FVOCI
(4)
 
 
33,949
 
  
 
 38,106
 
 
 
 
 
 
 
768
 
 
 
 538
 
  
 
 
 
 
 
454
 
 
 
 396
 
 
 
35,171
 
  
 
 39,040
 
Securities purchased under resale agreements measured at FVTPL
 
 
–
 
  
 
–
 
 
 
 
 
 
 
4,715
 
 
 
 7,090
 
  
 
 
 
 
 
–
 
 
 
–
 
 
 
4,715
 
  
 
 7,090
 
Derivative instruments
                                                                                   
Interest rate
  
 
17
 
      3            
 
6,960
 
     8,948             
 
16
 
     35    
 
6,993
 
      8,986  
Foreign exchange
  
 
–
 
      –            
 
12,045
 
     11,707             
 
–
 
     –    
 
12,045
 
      11,707  
Credit
  
 
–
 
      –            
 
11
 
     4             
 
43
 
     49    
 
54
 
      53  
Equity
  
 
2,697
 
      4,650            
 
1,780
 
     1,877             
 
4
 
     13    
 
4,481
 
      6,540  
Precious metal
  
 
–
 
      –            
 
168
 
     132             
 
–
 
     –    
 
168
 
      132  
Other commodity
  
 
119
 
      343            
 
12,424
 
     8,151             
 
–
 
     –    
 
12,543
 
      8,494  
 
 
 
2,833
 
  
 
 4,996
 
 
 
 
 
 
 
33,388
 
 
 
 30,819
 
  
 
 
 
 
 
63
 
 
 
 97
 
 
 
36,284
 
  
 
 35,912
 
Total financial assets
 
$
    45,121
 
  
$
 
   51,426
 
 
 
 
 
 
$
    152,376
 
 
$
    142,525
 
  
 
 
 
 
$
    1,316
 
 
$
    1,588
 
 
$
    198,813
 
  
$
    195,539
 
Financial liabilities
                                                                                   
Deposits and other liabilities 
(
5
)
  
$
–
 
    $ –            
$
(24,971
)
   $ (18,702 )            
$
(490
)
   $ (742 )   
$
(25,461
)
    $ (19,444 ) 
Obligations related to securities sold short
  
 
(5,301
)
  
   (11,226 )           
 
(14,878
)
     (11,564 )            
 
–
 
     –    
 
(20,179
)
      (22,790 ) 
Obligations related to securities sold under repurchase agreements
  
 
–
 
      –            
 
(3,841
)
     (3,975 )            
 
–
 
     –    
 
(3,841
)
      (3,975 ) 
Derivative instruments
                                                                                   
Interest rate
  
 
(7
)
  
   –            
 
(9,665
)
     (8,426 )            
 
(556
)
     (136 )   
 
(10,228
)
      (8,562 ) 
Foreign exchange
  
 
–
 
      –            
 
(16,339
)
     (11,039 )            
 
–
 
     –    
 
(16,339
)
      (11,039 ) 
Credit
  
 
–
 
      –            
 
(24
)
     (50 )            
 
(47
)
     (54 )   
 
(71
)
      (104 ) 
Equity
  
 
(3,083
)
  
   (3,422 )           
 
(3,171
)
     (5,280 )            
 
(3
)
     (77 )   
 
(6,257
)
      (8,779 ) 
Precious metal
  
 
–
 
      –            
 
(344
)
     (147 )            
 
–
 
     –    
 
(344
)
      (147 ) 
Other commodity
  
 
(565
)
  
   (1,122 )           
 
(5,635
)
     (2,348 )            
 
–
 
     –    
 
(6,200
)
      (3,470 ) 
 
 
 
(3,655
)
  
 
 (4,544
) 
 
 
 
 
 
 
(35,178
)
 
 
 (27,290
) 
  
 
 
 
 
 
(606
)
 
 
 (267
) 
 
 
(39,439
)
  
 
 (32,101
) 
Total financial liabilities
 
$
(8,956
)
  
$
 (15,770
) 
 
 
 
 
 
$
(78,868
)
 
$
 (61,531
) 
  
 
 
 
 
$
(1,096
)
 
$
 (1,009
) 
 
$
(88,920
)
  
$
 (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 $225
 
million related to loans designated at FVTPL (October 31, 2021: $332
 
million).
(4)
Certain information has been reclassified to conform to the
current period 
presentation.
(
5
)
Comprises deposits designated at FVTPL of $24,895
 
million (October 31, 2021: $18,530
 
million), net bifurcated embedded derivative liabilities of $
457
 
million (October 31, 2021: $750
 
million), other liabilities designated at FVTPL of $5
 
million (October 31, 2021: $51
 
million), and other financial liabilities measured at fair value of $104
 
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 July 31, 2022, we transferred $402 million of securities mandatorily measured at FVTPL from Level 1 to Level 2,
and 
$1,784 million of securities sold short from Level 1 to Level 2, due to changes in observability in the inputs used to value these securities and derivatives (for the quarter ended April 30, 2022, $736 million of securities mandatorily measured at FVTPL from Level 1 to Level 2, $176 million of securities sold short 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 derivatives; for the quarter ended July 31, 2021, $82 million of securities mandatorily measured at FVTPL from Level 1 to Level 2 and no transfer from Level 2 to Level 1, and $4,473 million of securities sold short from Level 1 to Level 2 and no transfer from Level 2 to Level 1, due to changes in observability in the inputs used to value these securities). In addition, transfers between Level 2 and Level 3 were made during the quarters ended July 31, 2022, April 30, 2022, and July 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 value of our FVO 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		  
 
Jul. 31, 2022
                                                                        
Debt securities
mandatorily measured and designated at FVTPL
                                                                        
Corporate debt
  
$
2
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
2
 
Mortgage- and asset-backed
  
 
110
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
37
 
  
 
–
    
 
147
 
Loans mandatorily measured at FVTPL
                                                                        
Business and government
  
 
570
 
  
 
–
 
  
 
1
    
 
(2
)  
 
–
 
  
 
–
 
  
 
–
 
  
 
81
    
 
650
 
Corporate equity mandatorily measured at FVTPL and designated at
 
 
FVOCI
(5)

  
 
481
 
  
 
7
 
  
 
43
 
  
 
(100
)  
 
–
 
  
 
–
 
  
 
38
 
  
 
(15
 )  
 
454
 
Derivative instruments
                                                                        
Interest rate
  
 
17
 
  
 
–
 
  
 
(1
 )  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
    
 
16
 
Credit
  
 
42
 
  
 
–
 
  
 
1
    
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
43
 
Equity
  
 
2
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
2
 
  
 
–
 
  
 
–
    
 
–
 
  
 
4
 
Total assets
  
$
1,224
 
  
$
7
 
  
$
44
 
  
$
(102
 )  
$
2
 
  
$
–
 
  
$
75
 
  
$
66
 
  
$
1,316
 
Deposits and other liabilities 
(
6
)
  
$
(694
) 
  
$
(20
 )  
$
69
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
(5
 )  
$
160
 
  
$
(490
)
Derivative instruments
                                                                      

Interest rate
  
 
(744
) 
  
 
–
 
  
 
188
 
  
 
–
 
  
 
–
 
  
 
25
 
  
 
–
 
  
 
(25
 )  
 
(556
)
Credit
  
 
(47
) 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
(47
) 
Equity
  
 
(1
) 
  
 
–
 
  
 
(1
 )  
 
–
 
  
 
(1
 )  
 
1
 
  
 
(1
 )  
 
–
 
  
 
(3
) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities
  
$
(1,486
) 
  
$
(20
 )   
$
256
    
$
–
 
  
$
(1
 )  
$
26
 
  
$
(6
 )  
$
135
 
  
$
(1,096
) 
Apr. 30, 2022
                                                                        
Debt securities
mandatorily measured and designated at FVTPL
                                                                        
Corporate debt
  
$

 2    
$

 –    
$

 –    
$

 –    
$
 –    
$

 –    
$

 –    
$

 –    
$

 2  
Mortgage- and asset-backed
     86       –       –       –       –       –       61       (37 )      110  
Loans mandatorily measured at FVTPL
                                                                        
Business and government
     640       –       (7 )      6       –       –       –       (69 )      570  
Corporate equity mandatorily measured at FVTPL and designated at
 
 
FVOCI
(5)

     454       –       –       31       –       –       18       (22 )      481  
Derivative instruments
                                                                        
Interest rate
     25       –       (8 )      –       –       –       –       –       17  
Credit
     43       (2 )      1       –       –       –       –       –       42  
Equity
     16       1       (1 )      –       –       (13 )      1       (2 )      2  
Total assets
   $ 1,266     $ (1 )    $ (15 )    $      37     $     –     $ (13 )    $ 80     $ (130 )    $ 1,224  
Deposits and other liabilities 
(
6
)
   $ (811 )    $ (15 )    $ 38     $ –     $ –     $ 1     $ (85 )    $ 178     $ (694 ) 
Derivative instruments
                                                                        
Interest rate
     (213 )      –       (522 )      –       –       –       –       (9 )      (744 ) 
Credit
     (48 )      2       (1 )      –       –       –       –       –       (47 ) 
Equity
     (16 )      –       –       –       –       13       (1 )      3       (1 ) 
Total liabilities
   $ (1,088 )    $ (13 )    $     (485
)
   $ –     $ –     $      14     $ (86
)
 		   $ 172     $ (1,486 ) 
Jul. 31, 2021
                                                                        
Debt securities
mandatorily measured and designated at FVTPL
                                                                        
Corporate debt
  
$

 –    
$

 –    
$

 –    
$

 –    
$

 –    
$

 –    
$

 2    
$

 –    
$

 2  
Mortgage- and asset-backed
     144       –       –       –       –       –       –       (12 )      132  
Loans mandatorily measured at FVTPL
                                                                        
Business and government
     996       –       1       15       –       –       53       (21 )      1,044  
Corporate equity mandatorily measured at FVTPL and designated at FVOCI 
(5)
     295       –       –       24       –       –       84       (29 )      374  
Derivative instruments
                                                                        
Interest rate
     38       –       11       –       –       –       2       (17 )      34  
Foreign exchange
     8       –       –       –       –       (8 )      –       –       –  
Credit
     57       (1 )      2       –       –       –       –       –       58  
Equity
     66       –
 
(7)
 
     23
 
(7)
 
     –       –       (9 )      17       6       103  
Total assets
   $      1,604     $ (1
) 
   $ 37
 
   $ 39     $ –     $ (17 )    $     158     $     (73 )    $      1,747  
Deposits and other liabilities 
(
6
)
   $ (601 )    $      12
 
   $ (184
) 
   $ –     $ –     $ 9     $ (7 )    $      119     $ (652 ) 
Derivative instruments
                                                                        
Interest rate
     (218 )      –
 
     134
 
(7)
 
     –       –       9       –  
(
7
)
 		     (12 )      (87 ) 
Credit
     (62 )      1
 
     (2
) 
     –       –       –       –       –       (63 ) 
Equity
     (184 )      –
 
(7)
 
     (46
) 
(7)
 
 
 
 –       –       1       (24 )      20       (233 ) 
Total liabilities
   $ (1,065 )    $     13
 
   $ (98
) 
(7)
 
   $ –     $ –     $ 19     $ (31 ) 
(
7
)
 		   $ 127     $ (1,035 ) 
(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 relating 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)
Certain information has been reclassified to conform to the
current period 
presentation.
(6)
Includes deposits designated at FVTPL of $108 million (April 30, 2022: $107 million; July 31, 2021: $95 million), net bifurcated embedded derivative liabilities of $376 million (April 30, 2022: $488 million; July 31, 2021: $550 million) and other liabilities designated at FVTPL of $6 million (April 30, 2022: $99 million; July 31, 2021: $7 million).
(7)
Restated from amounts previously presented to conform to the current period presentation.
 
 
 
 
 
Net gains (losses)
included in income 
(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
$ millions, for the nine 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
 
 
Jul. 31, 2022
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Debt securities mandatorily measured and designated at FVTPL
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Corporate debt
  
$
2
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
2
 
Mortgage- and asset-backed
  
 
55
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
130
 
  
 
(38
 )  
 
147
 
Loans mandatorily measured at FVTPL
                                                                        
Business and government
  
 
1,038
 
  
 
–
 
  
 
(9
 )  
 
21
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
(400
 )  
 
650
 
Corporate equity mandatorily measured at FVTPL and designated at FVOCI 
(5)
  
 
396
 
  
 
7
 
  
 
43
 
  
 
(22
 )  
 
–
 
  
 
–
 
  
 
83
 
  
 
(53
 )  
 
454
 
Derivative instruments
                                                                        
Interest rate
  
 
35
 
  
 
–
 
  
 
(20
 )  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
1
 
  
 
16
 
Credit
  
 
49
 
  
 
(7
 )  
 
1
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
43
 
Equity
  
 
13
 
  
 
1
 
  
 
(2
 )  
 
–
 
  
 
1
 
  
 
(8
 )  
 
1
 
  
 
(2
 )  
 
4
 
Total assets
  
$
1,588
 
  
$
1
 
  
$
13
 
  
$
(1
 )   
$
1
 
  
$
(8
 )  
$
214
 
  
$
(492
 )  
$
1,316
 
Deposits and other liabilities
 
(6)
  
$
(742
) 
  
$
(73
 )  
$
(12
 )  
$
–
 
  
$
–
 
  
$
2
 
  
$
(110
 )  
$
445
 
  
$
(490
) 
Derivative instruments
                                                                        
Interest rate
  
 
(136
) 
  
 
–
 
  
 
(416
 )  
 
–
 
  
 
–
 
  
 
27
 
  
 
–
 
  
 
(31
 )  
 
(556
) 
Credit
  
 
(54
) 
  
 
7
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
(47
) 
Equity
  
 
(77
) 
  
 
–
 
  
 
(1
 )  
 
–
 
  
 
(1
 )  
 
67
 
  
 
–
 
  
 
9
 
  
 
(3
) 
Total liabilities
  
$
(1,009
) 
  
$
(66
 )  
$
(429
 )  
$
–
 
  
$
(1
 )  
$
96
 
  
$
(110
 )  
$
423
 
  
$
(1,096
) 
Jul. 31, 2021
                                                                        
Debt securities mandatorily measured and
designated at FVTPL
                                                                        
Corporate debt
  
$
 25    
$
 –    
$
 13    
$
 –    
$
 –    
$
 –    
$
 2    
$
 (38 )   
$
 2  
Mortgage- and asset-backed
     135       –       –       –       –       –       44       (47 )      132  
Loans mandatorily measured at FVTPL
                                                                        
Business and government
     626       –       –       (43 )      –       –       511       (50 )      1,044  
Corporate equity mandatorily measured at FVTPL and designated at FVOCI 
(5)
     256       –       (3 )      60       –       –       134       (73 )      374  
Derivative instruments
                                                                        
Interest rate
     48       –       (1 )      –       –       –       3       (16 )      34  
Foreign exchange
     –       –       16       –       (8 )      (8 )      –       –       –  
Credit
     98       (13 )      (27 )      –       –       –       –       –       58  
Equity
     212       30  
(
7
)
 		     8  
(
7
)
 		     –       –       (10 )      23       (160 )      103  
Total assets
   $      1,400     $ 17     $ 6     $      17     $ (8 )    $     (18 )    $     717     $     (384 )    $      1,747  
Deposits and other liabilities 
(
6
)
   $ 4     $ (260 )
 
(
7
)
 		   $     (550 ) 
(
7
)
 		   $ –     $ (15 )    $ 1     $ (47 )    $ 215     $ (652 ) 
Derivative instruments
                                                                        
Interest rate
     (28 )      –       (31 ) 
(
7
)
 		     –       –      
9
      
(29
)
 
(
7
)
 		     (8 )     (87 ) 
Credit
     (107 )      13       34       –       –       –       –       (3 )      (63 ) 
Equity
     (163 )      (109 ) 
(
7
)
 		     (43 )
 
(
7
)
 		     –       –       9       (39 )      112       (233 ) 
Total liabilities
   $ (294 )    $ (356 )   $ (590 ) 
(
7
)
 
   $ –     $     (15 )    $
19
     $ (115 ) 
(
7
)
 		   $ 316     $ (1,035 ) 
(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 relating 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)
Certain information has been reclassified to conform to the current period presentation.
(6)
Includes deposits designated at FVTPL of $108 million (July 31, 2021: $95 million), net bifurcated embedded derivative liabilities of $376 million (
July 31, 2021
: $550 million) and other liabilities designated at FVTPL of $6
million (July 31, 2021
: $7 million).
(7)
Restated from amounts previously presented to conform to the current period presentation.
Financial instruments designated at FVTPL (FVO)
A net gain of $24 million, net of hedges for the three months ended July 31, 2022 (a net gain of $4 million and a net gain of $5 million for the three months ended April 30, 2022 and July 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. A net gain of $53 million, net of hedges for the nine months ended July 31, 2022 was realized for FVO assets and FVO liabilities (a net gain of $38 million for the nine months ended July 31, 2021).
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.