Carrying Value and Fair Value of Financial Instruments not carried at Fair Value


The fair values in the following table exclude the value of assets that are not financial instruments, such as land, buildings and equipment, as well as goodwill and other intangible assets, including customer relationships, which are of significant value to the Bank.


Financial Assets and Liabilities not carried at Fair Value1 (millions of Canadian dollars)


Carrying value


FINANCIAL ASSETS Cash and due from banks


Interest-bearing deposits with banks


Held-to-maturity securities2 Government and government-related securities Other debt securities


Total held-to-maturity securities


Securities purchased under reverse repurchase agreements Loans


Debt securities classified as loans Total loans Other


Customers’ liability under acceptances


Amounts receivable from brokers, dealers and clients Other assets


Total assets not carried at fair value


FINANCIAL LIABILITIES Deposits


Acceptances


Obligations related to securities sold under repurchase agreements Securitization liabilities at amortized cost


Amounts payable to brokers, dealers and clients Other liabilities


Subordinated notes and debentures Total liabilities not carried at fair value


1


Certain comparative amounts have been restated to conform with the presentation adopted in the current period.


Fair Value Hierarchy


IFRS requires disclosure of a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:


Level 1: Fair value is based on quoted market prices in active markets for identical assets or liabilities. Level 1 assets and liabilities generally include debt and equity securities and derivative contracts that are traded in an active exchange market, as well as certain Canadian and U.S. Treasury bills and Government bonds that are highly liquid and are actively traded in OTC markets.


Level 2: Fair value is based on observable inputs other than Level 1 prices, such as quoted market prices for similar (but not identical) assets or liabilities in active markets, quoted market prices for identical assets or liabilities in markets that are not active, and other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities. Level 2 assets and liabilities include debt securities with quoted prices that are traded less frequently than exchange-traded instruments and derivative contracts


2


October 31, 2016 Fair value


$ 3,907 53,714


51,290 33,105


84,395 84,324


584,243 1,413


585,656


15,706 17,436 4,352


$ 849,490


$ 773,660 15,706 45,316 17,918 17,857 9,229


10,891 $ 890,577


$ 3,907 53,714


51,855 33,135


84,990 84,324


589,080 1,678


590,758


15,706 17,436 4,352


$ 855,187


$ 776,161 15,706 45,316 18,276 17,857 9,288


11,331 $ 893,935 Carrying value


$ 3,154 42,483


43,667 30,783


74,450 84,163


542,418 1,923


544,341


16,646 21,996 4,247


$ 791,480


$ 695,576 16,646 54,780 22,743 22,664 7,788 8,637


$ 828,834 As at


October 31, 2015 Fair value


$ 3,154 42,483


44,095 30,647


74,742 84,163


544,862 2,166


547,028


16,646 21,996 4,247


$ 794,459


$ 697,376 16,646 54,780 23,156 22,664 7,826 8,992


$ 831,440


Includes debt securities reclassified from available-for-sale to held-to-maturity. Refer to Note 7 for carrying value and fair value of the reclassified debt securities.


whose value is determined using valuation techniques with inputs that are observable in the market or can be derived principally from or corroborated by observable market data. This category generally includes Canadian and U.S. Government securities, Canadian and U.S. agency mortgage-backed debt securities, corporate debt securities, certain derivative contracts, certain securitization liabilities, and certain trading deposits.


Level 3: Fair value is based on non-observable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities. Financial instruments classified within Level 3 of the fair value hierarchy are initially fair valued at their transaction price, which is considered the best estimate of fair value. After initial measurement, the fair value of Level 3 assets and liabilities is determined using valuation models, discounted cash flow methodologies, or similar techniques. This category generally includes retained interests in certain loan securitizations and certain derivative contracts.


The following table presents the levels within the fair value hierarchy for each of the assets and liabilities measured at fair value on a recurring basis as at October 31.


138 TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS


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