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Fair value measurement

3 Months Ended

Jan. 31, 2025

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
202 5	Financial assets
Jan. 31	Cash and deposits with banks	$	47,811	$	–	$	–	$	–	$	47,811	$	47,811	$	–
	Securities		73,985		119,295		–		79,761		273,041		272,182		(859	)
	Cash collateral on securities borrowed		18,609		–		–		–		18,609		18,609		–
	Securities purchased under resale agreements		62,670		23,473		–		–		86,143		86,143		–
	Loans
	Residential mortgages		282,202		1		–		–		282,203		282,589		386
	Personal		45,463		–		–		–		45,463		45,561		98
	Credit card		19,321		–		–		–		19,321		19,349		28
	Business and government (1)		220,419		613		100		–		221,132		221,290		158
	Derivative instruments		–		38,572		–		–		38,572		38,572		–
	Other assets		24,730		377		–		–		25,107		25,107		–
	Financial liabilities
	Deposits
	Personal	$	241,205	$	–	$	17,461	$	–	$	258,666	$	259,169	$	503
	Business and government		421,950		–		21,583		–		443,533		444,552		1,019
	Bank		20,109		–		–		–		20,109		20,109		–
	Secured borrowings		58,715		–		1,153		–		59,868		60,013		145
	Derivative instruments		–		44,902		–		–		44,902		44,902		–
	Obligations related to securities sold short		–		20,778		–		–		20,778		20,778		–
	Cash collateral on securities lent		8,914		–		–		–		8,914		8,914		–
	Obligations related to securities sold under repurchase agreements		113,938		–		13,698		–		127,636		127,636		–
	Other liabilities (1)		20,119		163		3		–		20,285		20,285		–
	Subordinated indebtedness		7,498		–		–		–		7,498		7,733		235
2024	Financial assets
Oct. 31	Cash and deposits with banks	$	48,064	$	–	$	–	$	–	$	48,064	$	48,064	$	–
	Securities		71,610		106,042		–		76,693		254,345		253,437		(908	)
	Cash collateral on securities borrowed		17,028		–		–		–		17,028		17,028		–
	Securities purchased under resale agreements		58,744		24,977		–		–		83,721		83,721		–
	Loans
	Residential mortgages		280,220		3		–		–		280,223		279,805		(418	)
	Personal		45,739		–		–		–		45,739		45,750		11
	Credit card		19,649		–		–		–		19,649		19,682		33
	Business and government (1)		212,460		116		105		–		212,681		212,750		69
	Derivative instruments		–		36,435		–		–		36,435		36,435		–
	Other assets		20,121		364		–		–		20,485		20,485		–
	Financial liabilities
	Deposits
	Personal	$	235,593	$	–	$	17,301	$	–	$	252,894	$	253,378	$	484
	Business and government		414,441		–		21,058		–		435,499		436,528		1,029
	Bank		20,009		–		–		–		20,009		20,009		–
	Secured borrowings		55,285		–		1,170		–		56,455		56,588		133
	Derivative instruments		–		40,654		–		–		40,654		40,654		–
	Obligations related to securities sold short		–		21,642		–		–		21,642		21,642		–
	Cash collateral on securities lent		7,997		–		–		–		7,997		7,997		–
	Obligations related to securities sold under repurchase agreements		100,407		–		9,746		–		110,153		110,153		–
	Other liabilities (1)		20,657		158		19		–		20,834		20,834		–
	Subordinated indebtedness		7,465		–		–		–		7,465		7,698		233

(1)	Certain information has been revised to conform to the current period presentation.

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	2025 Jan. 31			2024 Oct. 31			2025 Jan. 31			2024 Oct. 31			2025 Jan. 31			2024 Oct. 31			2025 Jan. 31			2024 Oct. 31
Financial assets
Debt securities measured at FVTPL
Government issued or guaranteed	$	4,003		$	4,258		$	33,588		$	32,328		$	–		$	–		$	37,591		$	36,586
Corporate debt		–			–			4,092			4,385			80			–			4,172			4,385
Mortgage- and asset-backed		–			–			5,843			4,213			72			70			5,915			4,283
		4,003			4,258			43,523			40,926			152			70			47,678			45,254
Loans measured at FVTPL
Business and government		–			–			613			116			100	(1)		105	(1)		713			221
Residential mortgages		–			–			1			3			–			–			1			3
		–			–			614			119			100			105			714			224
Debt securities measured at FVOCI
Government issued or guaranteed		3,713			2,760			60,755			60,051			–			–			64,468			62,811
Corporate debt		–			–			10,007			9,083			–			–			10,007			9,083
Mortgage- and asset-backed		–			–			4,293			4,127			–			–			4,293			4,127
		3,713			2,760			75,055			73,261			–			–			78,768			76,021
Corporate equity mandatorily measured at FVTPL and designated at FVOCI		70,640			59,904			1,008			916			962			640			72,610			61,460
Securities purchased under resale agreements measured at FVTPL		–			–			23,473			24,977			–			–			23,473			24,977
Other assets		–			–			377			364			–			–			377			364
Derivative instruments
Interest rate		3			2			6,826			6,718			23			51			6,852			6,771
Foreign exchange		–			–			19,128			15,525			12			–			19,140			15,525
Credit		–			–			3			2			49			44			52			46
Equity		5,349			5,821			4,649			5,157			6			6			10,004			10,984
Precious metal and other commodity		50			32			2,474			3,077			–			–			2,524			3,109
		5,402			5,855			33,080			30,479			90			101			38,572			36,435
Total financial assets	$	83,758		$	72,777		$	177,130		$	171,042		$	1,304		$	916		$	262,192		$	244,735
Financial liabilities
Deposits and other liabilities (2)	$	–		$	–		$	(39,984	)	$	(39,290	)	$	(379	)	$	(416	)	$	(40,363	)	$	(39,706	)
Obligations related to securities sold short		(7,627	)		(9,199	)		(13,151	)		(12,443	)		–			–			(20,778	)		(21,642	)
Obligations related to securities sold under repurchase agreements		–			–			(13,698	)		(9,746	)		–			–			(13,698	)		(9,746	)
Derivative instruments
Interest rate		(2	)		(2	)		(8,406	)		(8,236	)		(1,284	)		(1,028	)		(9,692	)		(9,266	)
Foreign exchange		–			–			(20,553	)		(16,065	)		–			(4	)		(20,553	)		(16,069	)
Credit		–			–			(8	)		(5	)		(54	)		(50	)		(62	)		(55	)
Equity		(4,379	)		(4,712	)		(7,174	)		(6,404	)		(1	)		(1	)		(11,554	)		(11,117	)
Precious metal and other commodity		(41	)		(39	)		(3,000	)		(4,108	)		–			–			(3,041	)		(4,147	)
		(4,422	)		(4,753	)		(39,141	)		(34,818	)		(1,339	)		(1,083	)		(44,902	)		(40,654	)
Total financial liabilities	$	(12,049	)	$	(13,952	)	$	(105,974	)	$	(96,297	)	$	(1,718	)		$ (1,499	)	$	(119,741	)	$	(111,748	)

(1)	Relates to loans designated at FVTPL.

(2)

Comprises deposits designated at FVTPL of $39,610 million (October 31, 2024: $39,008 million), net bifurcated embedded derivative liabilities of $587 million (October 31, 2024: $521 million), other liabilities designated at FVTPL of $3 million (October 31, 2024: $19 million), and other financial liabilities measured at fair value of $163 million (October 31, 2024: $158 million).

Transfers between levels in the fair value hierarchy are deemed to have occurred at the beginning of the quarter in which the

trans

fer 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, 2025, we transferred $457 million of securities measured at FVTPL

or FVOCI

from Level 1 to Level 2 and

292

million

from Level 2 to Level 1, and $307 million of securities sold short from Level 1 to Level 2 and $132 million from Level 2 to Level 1, due to changes in observability in the inputs used to value these securities (for the quarter ended October 31, 2024, $1,576

million of securities measured at FVTPL or FVOCI were transferred from Level 1 to Level 2 and $

575 million from Level 2 to Level 1, and $2,854 million of securities sold short from Level 1 to Level 2 and $429 million from Level 2 to Level 1

)

In addition, transfers between Level 2 and Level 3 were made during the quarters ended January 31, 2025 and October 31, 2024, 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			Unrealized	(2)		Net unrealized gains (losses) included in OCI	(3)		Transfer in to Level 3			Transfer out of Level 3			Purchases/ Issuances			Sales/ Settlements			Closing balance
Jan. 31, 2025
Debt securities measured at FVTPL
Corporate debt	$	–		$	–		$	(10	)	$	–		$	–		$	–		$	90		$	–		$	80
Mortgage- and asset-backed		70			–			(1	)		–			–			–			22			(19	)		72
Loans measured at FVTPL
Business and government		105			–			1			4			–			–			–			(10	)		100
Corporate equity mandatorily measured at FVTPL and designated at FVOCI		640			(2	)		20			9			–			–			304			(9	)		962
Derivative instruments
Interest rate		51			–			(23	)		–			–			(5	)		–			–			23
Foreign exchange		–			–			12			–			–			–			–			–			12
Credit		44			–			5			–			–			–			–			–			49
Equity		6			–			–			–			–			–			–			–			6
Total assets	$	916		$	(2	)	$	4		$	13		$	–		$	(5	)	$	416		$	(38	)	$	1,304
Deposits and other liabilities (4)	$	(416	)	$	5		$	(23	)	$	–		$	(3	)	$	2		$	(1	)	$	57		$	(379	)
Derivative instruments
Interest rate		(1,028	)		–			(310	)		–			–			33			–			21			(1,284	)
Foreign exchange		(4	)		–			4			–			–			–			–			–			–
Credit		(50	)		–			(4	)		–			–			–			–			–			(54	)
Equity		(1	)		–			–			–			–			–			–			–			(1	)
Total liabilities	$	(1,499	)	$	5		$	(333	)	$	–		$	(3	)	$	35		$	(1	)	$	78		$	(1,718	)
Oct. 31, 2024
Debt securities measured at FVTPL
Corporate debt	$	–		$	–		$	–		$	–		$	–		$	–		$	–		$	–		$	–
Mortgage- and asset-backed		64			–			–			–			–			–			14			(8	)		70
Loans measured at FVTPL
Business and government		113			–			1			1			–			–			–			(10	)		105
Corporate equity mandatorily measured at FVTPL and designated at FVOCI		623			(1	)		7			(3	)		–			–			25			(11	)		640
Derivative instruments
Interest rate		86			–			(23	)		–			–			(12	)		–			–			51
Foreign exchange		–			–			–			–			–			–			–			–			–
Credit		46			(2	)		(1	)		–			–			–			1			–			44
Equity		9			–			1			–			–			(4	)		–			–			6
Total assets	$	941		$	(3	)	$	(15	)	$	(2	)	$	–		$	(16	)	$	40		$	(29	)	$	916
Deposits and other liabilities (4)	$	(388	)	$	2		$	(52	)	$	–		$	–		$	2		$	(18	)	$	38		$	(416	)
Derivative instruments
Interest rate		(934	)		–			(119	)		–			–			3			(4	)		26			(1,028	)
Foreign exchange		(5	)		–			(4	)		–			–			5			–			–			(4	)
Credit		(51	)		–			–			–			–			–			–			1			(50	)
Equity		(1	)		–			–			–			(2	)		–			–			2			(1	)
Total liabilities	$	(1,379	)	$	2		$	(175	)	$	–		$	(2	)	$	10		$	(22	)	$	67		$	(1,499	)
Jan. 31, 2024
Debt securities measured at FVTPL
Corporate debt	$	–		$	–		$	–		$	–		$	–		$	–		$	–		$	–		$	–
Mortgage- and asset-backed		151			–			(3	)		–			–			–			49			(50	)		147
Loans measured at FVTPL
Business and government		144			–			3			(4	)		–			–			–			(12	)		131
Corporate equity mandatorily measured at FVTPL and designated at FVOCI		587			2			(6	)		(2	)		–			–			30			(25	)		586
Derivative instruments
Interest rate		21			–			97			–			–			(1	)		–			–			117
Foreign exchange		–			–			–			–			–			–			–			–			–
Credit		46			(1	)		–			–			–			–			–			–			45
Equity		4			–			–			–			2			(2	)		2			(1	)		5
Total assets	$	953		$	1		$	91		$	(6	)	$	2		$	(3	)	$	81		$	(88	)	$	1,031
Deposits and other liabilities (4)	$	(242	)	$	9		$	(114	)	$	–		$	–		$	7		$	(77	)	$	18		$	(399	)
Derivative instruments
Interest rate		(1,817	)		–			569			–			–			311			–			29			(908	)
Foreign exchange		–			–			(9	)		–			–			–			–			–			(9	)
Credit		(52	)		1			1			–			–			–			–			–			(50	)
Equity		(5	)		–			(1	)		–			(1	)		1			–			–			(6	)
Total liabilities	$	(2,116	)	$	10		$	446		$	–		$	(1	)	$	319		$	(77	)	$	47		$	(1,372	)

(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)	Comprises unrealized gains and losses relating to the assets and liabilities held at the end of the reporting period.

(3)	Foreign exchange translation on loans measured at FVTPL held by foreign operations and denominated in the same currency as the foreign operations is included in OCI.

(4)

Includes deposits designated at FVTPL of $210 million (October 31, 2024: $211 million; January 31, 2024: $212 million), net bifurcated embedded derivative liabilities of $166 million (October 31, 2024: $186 million; January 31, 2024: $174 million) and other liabilities designated at FVTPL of $3 million (October 31, 2024: $19 million; January 31, 2024: $13 million).

Financial instruments designated at FVTPL (FVO)

A net gain of $32 million, net of hedges for the three months ended Janu

y 31, 2025 (a net gain of $25 million and a net loss of $7 million for the three months ended October 31, 2024 and January 31, 2024, 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 O