Fair value measurement |
Note 3. Fair value measurement Fair value of financial instruments
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Carrying value |
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$ millions, as at |
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Amortized cost |
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Mandatorily measured at FVTPL |
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Designated at FVTPL |
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Fair value through OCI |
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Total |
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Fair value |
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Fair value over (under) carrying value |
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Cash and deposits with banks |
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Securities |
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) |
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Cash collateral on securities borrowed |
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Securities purchased under resale agreements |
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Loans |
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Residential mortgages |
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) |
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Personal |
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) |
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Credit card |
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Business and government |
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) |
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Derivative instruments |
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Customers’ liability under acceptances |
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Other assets |
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Deposits |
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Personal |
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) |
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Business and government |
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Bank |
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Secured borrowings |
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) |
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Derivative instruments |
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Acceptances |
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Obligations related to securities sold short |
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Cash collateral on securities lent |
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Obligations related to securities sold under repurchase agreements |
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Other liabilities |
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Subordinated indebtedness |
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2022 |
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Oct. 31 |
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Cash and deposits with banks |
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$ |
62,193 |
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$ |
1,668 |
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$ |
– |
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$ |
– |
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$ |
63,861 |
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$ |
63,861 |
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$ |
– |
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Securities |
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52,484 |
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67,296 |
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– |
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56,099 |
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175,879 |
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173,663 |
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(2,216 |
) |
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Cash collateral on securities borrowed |
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15,326 |
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– |
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– |
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– |
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|
15,326 |
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15,326 |
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– |
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Securities purchased under resale agreements |
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53,626 |
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|
15,587 |
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– |
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– |
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|
69,213 |
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69,213 |
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– |
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Loans |
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Residential mortgages |
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269,409 |
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4 |
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– |
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– |
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269,413 |
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262,865 |
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(6,548 |
) |
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Personal |
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44,527 |
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– |
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– |
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– |
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44,527 |
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44,394 |
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(133 |
) |
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Credit card |
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15,695 |
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– |
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– |
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– |
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15,695 |
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15,775 |
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80 |
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Business and government |
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186,485 |
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|
758 |
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|
205 |
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– |
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187,448 |
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186,967 |
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(481 |
) |
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Derivative instruments |
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– |
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43,035 |
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– |
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– |
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43,035 |
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43,035 |
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– |
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Customers’ liability under acceptances |
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|
11,574 |
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|
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– |
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– |
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– |
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11,574 |
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11,574 |
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– |
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Other assets |
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26,387 |
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– |
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– |
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– |
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26,387 |
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26,387 |
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– |
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Deposits |
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Personal |
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$ |
220,244 |
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$ |
– |
|
|
$ |
11,851 |
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|
$ |
– |
|
|
$ |
232,095 |
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|
$ |
231,532 |
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|
$ |
(563 |
) |
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Business and government |
|
|
383,502 |
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|
|
– |
|
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|
13,686 |
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– |
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|
397,188 |
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|
397,145 |
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(43 |
) |
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Bank |
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22,523 |
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– |
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– |
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– |
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|
22,523 |
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|
22,523 |
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|
|
– |
|
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|
Secured borrowings |
|
|
44,110 |
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|
|
– |
|
|
|
1,656 |
|
|
|
– |
|
|
|
45,766 |
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|
|
45,507 |
|
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|
(259 |
) |
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|
Derivative instruments |
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– |
|
|
|
52,340 |
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|
|
– |
|
|
|
– |
|
|
|
52,340 |
|
|
|
52,340 |
|
|
|
– |
|
|
|
Acceptances |
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|
11,586 |
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|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
11,586 |
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|
|
11,586 |
|
|
|
– |
|
|
|
Obligations related to securities sold short |
|
|
– |
|
|
|
15,284 |
|
|
|
– |
|
|
|
– |
|
|
|
15,284 |
|
|
|
15,284 |
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|
|
– |
|
|
|
Cash collateral on securities lent |
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|
4,853 |
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|
|
– |
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|
|
– |
|
|
|
– |
|
|
|
4,853 |
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|
4,853 |
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|
|
– |
|
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|
Obligations related to securities sold under repurchase agreements |
|
|
73,084 |
|
|
|
– |
|
|
|
4,087 |
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|
|
– |
|
|
|
77,171 |
|
|
|
77,171 |
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|
|
– |
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|
Other liabilities |
|
|
19,830 |
|
|
|
102 |
|
|
|
22 |
|
|
|
– |
|
|
|
19,954 |
|
|
|
19,954 |
|
|
|
– |
|
|
|
Subordinated indebtedness |
|
|
6,292 |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
6,292 |
|
|
|
6,329 |
|
|
|
37 |
|
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:
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Valuation technique – observable market inputs |
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Valuation technique –
non-observable market inputs |
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|
|
|
|
|
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|
|
|
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|
|
|
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|
Deposits with banks |
|
|
|
|
|
$ |
– |
|
|
|
|
|
|
|
|
|
|
$ |
1,668 |
|
|
|
|
|
|
|
|
|
|
$ |
– |
|
|
|
|
|
|
$ |
1,668 |
|
Debt securities mandatorily measured and designated at FVTPL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government issued or guaranteed |
|
|
|
|
|
|
2,611 |
|
|
|
|
|
|
|
|
|
|
|
25,539 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
28,150 |
|
Corporate debt |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
3,609 |
|
|
|
|
|
|
|
|
|
|
|
2 |
|
|
|
|
|
|
|
3,611 |
|
Mortgage- and asset-backed |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
3,656 |
|
|
|
|
|
|
|
|
|
|
|
207 |
|
|
|
|
|
|
|
3,863 |
|
|
|
|
|
|
|
|
2,611 |
|
|
|
|
|
|
|
|
|
|
|
32,804 |
|
|
|
|
|
|
|
|
|
|
|
209 |
|
|
|
|
|
|
|
35,624 |
|
Loans mandatorily measured at FVTPL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Business and government |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
276 |
|
|
|
|
|
|
|
|
|
|
|
687 |
|
|
|
|
|
|
|
963 |
|
Residential mortgages |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
4 |
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
280 |
|
|
|
|
|
|
|
|
|
|
|
687 |
|
|
|
|
|
|
|
967 |
|
Debt securities measured at FVOCI |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government issued or guaranteed |
|
|
|
|
|
|
4,888 |
|
|
|
|
|
|
|
|
|
|
|
42,200 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
47,088 |
|
Corporate debt |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
6,967 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
6,967 |
|
Mortgage- and asset-backed |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
1,522 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
1,522 |
|
|
|
|
|
|
|
|
4,888 |
|
|
|
|
|
|
|
|
|
|
|
50,689 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
55,577 |
|
Corporate equity mandatorily measured at FVTPL and designated at FVOCI |
|
|
|
|
|
|
30,962 |
|
|
|
|
|
|
|
|
|
|
|
773 |
|
|
|
|
|
|
|
|
|
|
|
459 |
|
|
|
|
|
|
|
32,194 |
|
Securities purchased under resale agreements measured at FVTPL |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
15,587 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
15,587 |
|
Derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
8,249 |
|
|
|
|
|
|
|
|
|
|
|
18 |
|
|
|
|
|
|
|
8,273 |
|
Foreign exchange |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
21,297 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
21,297 |
|
Credit |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
14 |
|
|
|
|
|
|
|
|
|
|
|
45 |
|
|
|
|
|
|
|
59 |
|
Equity |
|
|
|
|
|
|
2,776 |
|
|
|
|
|
|
|
|
|
|
|
2,345 |
|
|
|
|
|
|
|
|
|
|
|
4 |
|
|
|
|
|
|
|
5,125 |
|
Precious metal and other commodity |
|
|
|
|
|
|
94 |
|
|
|
|
|
|
|
|
|
|
|
8,187 |
|
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
8,281 |
|
|
|
|
|
|
|
|
2,876 |
|
|
|
|
|
|
|
|
|
|
|
40,092 |
|
|
|
|
|
|
|
|
|
|
|
67 |
|
|
|
|
|
|
|
43,035 |
|
|
|
|
44,629 |
|
|
$ |
41,337 |
|
|
|
|
|
|
|
|
|
|
$ |
141,893 |
|
|
|
|
|
|
|
|
|
|
$ |
1,422 |
|
|
|
|
|
|
$ |
184,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits and other liabilities |
|
|
|
|
|
$ |
– |
|
|
|
|
|
|
|
|
) |
|
$ |
(26,908 |
) |
|
|
|
|
|
|
|
) |
|
$ |
(409 |
) |
|
|
|
) |
|
$ |
(27,317 |
) |
Obligations related to securities sold short |
|
|
|
) |
|
|
(5,499 |
) |
|
|
|
|
|
|
|
) |
|
|
(9,785 |
) |
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
) |
|
|
(15,284 |
) |
Obligations related to securities sold under repurchase agreements |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
) |
|
|
(4,087 |
) |
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
) |
|
|
(4,087 |
) |
Derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
|
|
) |
|
|
(1 |
) |
|
|
|
|
|
|
|
) |
|
|
(12,850 |
) |
|
|
|
|
|
|
|
) |
|
|
(1,533 |
) |
|
|
|
) |
|
|
(14,384 |
) |
Foreign exchange |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
) |
|
|
(27,229 |
) |
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
) |
|
|
(27,229 |
) |
Credit |
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
) |
|
|
(13 |
) |
|
|
|
|
|
|
|
) |
|
|
(50 |
) |
|
|
|
) |
|
|
(63 |
) |
Equity |
|
|
|
) |
|
|
(3,220 |
) |
|
|
|
|
|
|
|
) |
|
|
(3,151 |
) |
|
|
|
|
|
|
|
) |
|
|
(3 |
) |
|
|
|
) |
|
|
(6,374 |
) |
Precious metal and other commodity |
|
|
|
) |
|
|
(365 |
) |
|
|
|
|
|
|
|
) |
|
|
(3,925 |
) |
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
) |
|
|
(4,290 |
) |
|
|
|
|
) |
|
|
(3,586 |
) |
|
|
|
|
|
|
|
) |
|
|
(47,168 |
) |
|
|
|
|
|
|
|
) |
|
|
(1,586 |
) |
|
|
|
) |
|
|
(52,340 |
) |
Total financial liabilities |
|
|
|
) |
|
$ |
(9,085 |
) |
|
|
|
|
|
|
|
) |
|
$ |
(87,948 |
) |
|
|
|
|
|
|
|
) |
|
$ |
(1,995 |
) |
|
|
|
) |
|
$ |
(99,028 |
) |
(1) |
Includes $ 183 million related to loans designated at FVTPL (October 31, 2022: $ 205 million) . |
( 2 ) |
Comprises deposits designated at FVTPL of $30,911 million (October 31, 2022: $26,802 million), net bifurcated embedded derivative liabilities of $431 million (October 31, 2022: $391 million), other liabilities designated at FVTPL of $9 million (October 31, 2022: $22 million), and other financial liabilities measured at fair value of $119 million (October 31, 2022: $102 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, 2023, we transferred $838 million of securities mandatorily measured at FVTPL from Level 1 to Level 2 and $336 million from Level 2 to Level 1, and $648 million of securities sold short from Level 1 to Level 2, due to changes in observability in the inputs used to value these securities (for the quarter ended October 31, 2022, $857 million of securities mandatorily measured at FVTPL and $4,844 million of securities sold short were transferred from Level 1 to Level 2, and no transfers from Level 2 to Level 1; for the quarter ended January 31, 2022, $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). In addition, transfers between Level 2 and Level 3 were made during the quarters ended January 31, 2023, October 31, 2022, and January 31, 2022, primarily due to changes in the assessment of the observability of certain correlation and market volatility and probability 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities mandatorily measured and designated at FVTPL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage- and asset-backed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
Loans mandatorily measured at FVTPL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
) |
|
|
|
|
Corporate equity mandatorily measured at FVTPL and designated at FVOCI |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
) |
|
|
|
|
Deposits and other liabilities (5) |
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
) |
|
|
|
|
|
|
|
|
Oct. 31, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities mandatorily measured and designated at FVTPL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate debt |
|
$ |
2 |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
2 |
|
Mortgage- and asset-backed |
|
|
147 |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
75 |
|
|
|
(15 |
) |
|
|
207 |
|
Loans mandatorily measured at FVTPL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Business and government |
|
|
650 |
|
|
|
– |
|
|
|
(6 |
) |
|
|
38 |
|
|
|
– |
|
|
|
– |
|
|
|
58 |
|
|
|
(53 |
) |
|
|
687 |
|
Corporate equity mandatorily measured at FVTPL and designated at FVOCI |
|
|
454 |
|
|
|
4 |
|
|
|
10 |
|
|
|
1 |
|
|
|
– |
|
|
|
– |
|
|
|
19 |
|
|
|
(29 |
) |
|
|
459 |
|
Derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
|
16 |
|
|
|
– |
|
|
|
(26 |
) |
|
|
– |
|
|
|
27 |
|
|
|
– |
|
|
|
1 |
|
|
|
– |
|
|
|
18 |
|
Credit |
|
|
43 |
|
|
|
(1 |
) |
|
|
3 |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
45 |
|
Equity |
|
|
4 |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
4 |
|
Total assets |
|
$ |
1,316 |
|
|
$ |
3 |
|
|
$ |
(19 |
) |
|
$ |
39 |
|
|
$ |
27 |
|
|
$ |
– |
|
|
$ |
153 |
|
|
$ |
(97 |
) |
|
$ |
1,422 |
|
Deposits and other liabilities (5) |
|
$ |
(490 |
) |
|
$ |
(14 |
) |
|
$ |
72 |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
(21 |
) |
|
$ |
44 |
|
|
$ |
(409 |
) |
Derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
|
(556 |
) |
|
|
– |
|
|
|
(872 |
) |
|
|
– |
|
|
|
– |
|
|
|
(16 |
) |
|
|
(95 |
) |
|
|
6 |
|
|
|
(1,533 |
) |
Credit |
|
|
(47 |
) |
|
|
1 |
|
|
|
(4 |
) |
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
(50 |
) |
Equity |
|
|
(3 |
) |
|
|
– |
|
|
|
(1 |
) |
|
|
– |
|
|
|
– |
|
|
|
1 |
|
|
|
(1 |
) |
|
|
1 |
|
|
|
(3 |
) |
Total liabilities |
|
$ |
(1,096 |
) |
|
$ |
(13) |
|
|
$ |
(805 |
) |
|
$ |
– |
|
|
$ |
– |
|
|
$ |
(15 |
) |
|
$ |
(117 |
) |
|
$ |
51 |
|
|
$ |
(1,995 |
) |
Jan. 31, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities mandatorily measured and designated at FVTPL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
Corporate equity mandatorily measured at FVTPL and designated at FVOCI (6) |
|
|
396 |
|
|
|
– |
|
|
|
– |
|
|
|
47 |
|
|
|
– |
|
|
|
– |
|
|
|
27 |
|
|
|
(16 |
) |
|
|
454 |
|
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 |
) |
(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) |
Includes deposits designated at FVTPL of $75 million (October 31, 2022: $70 million; January 31, 2022: $137 million), net bifurcated embedded derivative liabilities of $344 million (October 31, 2022: $317 million; January 31, 2022: $648 million) and other liabilities designated at FVTPL of $9 million (October 31, 2022: $22 million; January 31, 2022: $26 million). |
(6) |
Certain information has been reclassified to conform to the current period presentation. | Financial instruments designated at FVTPL (FVO) A net loss of $8 million, net of hedges for the three months ended January 31, 2023 (a net gain of $19 million and a net gain of $25 million for the three months ended October 31, 2022 and January 31, 2022, 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.
|