Fair Value Hierarchy for Assets and Liabilities Measured at Fair Value on a Recurring Basis1 (millions of Canadian dollars)


Level 1


FINANCIAL ASSETS AND COMMODITIES Trading loans, securities, and other3


Government and government-related securities Canadian government debt Federal


Provinces


U.S. federal, state, municipal governments, and agencies debt


Other OECD government guaranteed debt Mortgage-backed securities


Other debt securities Canadian issuers Other issuers


Equity securities Common shares Preferred shares Trading loans Commodities


Retained interests Derivatives Interest rate contracts


Foreign exchange contracts Credit contracts Equity contracts


Commodity contracts


Financial assets designated at fair value through profit or loss Securities3


Available-for-sale securities


Government and government-related securities Canadian government debt Federal


Provinces


U.S. federal, state, municipal governments, and agencies debt


Other OECD government guaranteed debt Mortgage-backed securities


Other debt securities Asset-backed securities


Non-agency collateralized mortgage obligation portfolio Corporate and other debt


Equity securities Common shares4,5 Preferred shares


Debt securities reclassified from trading


Securities purchased under reverse repurchase agreements


FINANCIAL LIABILITIES Trading deposits Derivatives


Interest rate contracts


Foreign exchange contracts Credit contracts Equity contracts


Commodity contracts Securitization liabilities at fair value


Other financial liabilities designated at fair value through profit or loss


Obligations related to securities sold short3


Obligations related to securities sold under repurchase agreements


Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period. 2 Fair value is the same as carrying value.


1 3 4


Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).


As at October 31, 2016, the carrying values of certain available-for-sale equity securities of $6 million (October 31, 2015 – $6 million) are carried at cost in the absence of quoted market prices in an active market and are excluded from the table above.


$


– –


– – –


– – –


231 88 –


–


14,717 7,851


34,473 15,503 4,949


18,593 625


8,266 223 49


– 319 105,249 1,728 – $ 76,568 3


16 – –


75 94 –


– 1,396 – 5


22,092 39,535 257


1,351 587


63,822 12,490


177 31,705 3,657


– –


– 6 –


– –


20


1,594 98


279 –


14,717 7,851


34,473 15,509 4,949


18,593 625


8,286 2,048


186 328


1,997 107,565 1,728 $ 3,218 $ 79,786 $


95 5 –


1,408 1


1,509 –


13 14


–


22,190 39,556 257


2,759 663


65,425 12,490


190 33,115 3,657


– –


– – –


– – –


177 20 –


197 –


14,431 7,185


22,585 11,648 4,060


16,261 916


8,618 100 169


– 85,973 13,201 – $ 72,879


34 25 – 2


49


110 –


– 8,783 –


22,959 30,588 290


1,316 899


56,052 10,986


1,402 29,961 12,376


– –


– 7 –


501 –


147


1,575 94


282 2,606 –


14,431 7,185


22,585 11,655 4,060


16,762 916


8,765 1,852


114 451


88,776 13,201 $ 1,880 $ 74,759


88 5 –


957 6


1,056 –


13 59


–


23,081 30,618 290


2,275 954


57,218 10,986


1,415 38,803 12,376


As at October 31, 2016, common shares include the fair value of Federal Reserve Stock and Federal Home Loan Bank stock of $1.3 billion (October 31, 2015 – $1.3 billion) which are redeemable by the issuer at cost for which cost approxi- mates fair value. These securities cannot be traded in the market; hence, these securities have not been subject to sensitivity analysis of Level 3 financial assets and liabilities.


4


44 – –


51 99


80 80


27,364 41,828 –


1,391 816


71,399


4,046 4,046


– 9 –


729 6


744


157 157


27,368 41,881 –


2,120 873


72,242


4,283 4,283


2


45 – –


32 79


106 106


27,968 38,692 59


1,376 691


68,786


4,189 4,189


– 6 4


560 3


573


83 83


27,970 38,743 63


1,936 726


69,438


4,378 4,378


$


70 $ 9,978 –


724 – –


– –


29,054 27 –


8,071 –


37,946 $ 5,678


17,246 4,424 1,472


2,697 7,572


96 –


11,606 176 –


60,945


34 $ 10,082 $ –


5,678 –


73 –


15


148 65


– – –


31 366


17,970 4,497 1,472


2,712 7,720


29,215 27


11,606 8,247 31


99,257


493 $ 11,560 –


1 – –


– –


28,933 33 –


5,410 –


34,870 $ 6,121


15,719 4,194 1,019


2,558 7,442


447 –


10,650 154 –


59,864


24 –


– $ 12,053 6,145


5 –


57


108 186


5 – –


38 423


15,720 4,199 1,019


2,615 7,550


29,566 38


10,650 5,564 38


95,157 Level 2 Level 3


October 31, 2016 Total2


Level 1 Level 2 Level 3


As at


October 31, 2015 Total2


TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS 139


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