The following tables reconcile changes in fair value of all assets and liabilities measured at fair value using significant Level 3 non-observable inputs for the years ended October 31.
Reconciliation of Changes in Fair Value for Level 3 Assets and Liabilities (millions of Canadian dollars)
Total realized and unrealized gains (losses)
Fair value as at
Nov. 1, FINANCIAL ASSETS Trading loans, securities, and other
Government and government- related securities
Canadian government debt Federal
Provinces
Other OECD government guaranteed debt
Other debt securities Canadian issuers Other issuers
Equity securities Common shares Preferred shares Trading loans Commodities
Retained interests
Financial assets designated at fair value through profit or loss Securities Loans
Available-for-sale securities
Government and government- related securities
Canadian government debt Federal Provinces
Other OECD government guaranteed debt
Other debt securities Asset-backed securities Corporate and other debt
Equity securities Common shares Preferred shares
Debt securities reclassified from trading
– 7
501 147
1,575 94
282 $ 2,606
Fair value as at
Nov. 1,
FINANCIAL LIABILITIES Trading deposits5 Derivatives6
Interest rate contracts
Foreign exchange contracts Credit contracts Equity contracts
Commodity contracts
Other financial liabilities designated at fair value through profit or loss
Obligations related to securities sold short
1 $ 2015 in income1 Included $ 1,880 88
(1) (4)
397 3
483 13 59 $ 130 11
(3) 4
258 3
273 (64) $ – Included in OCI2 Purchases $ –
– – – – –
– – $ –
Gains (losses) on financial assets and liabilities are recognized in Net securities gains (losses), Trading income (loss), and Other income (loss) on the Consolidated Statement of Income.
2 Other comprehensive income (OCI).
3 Consists of sales, settlements, and foreign exchange. 4
Changes in unrealized gains (losses) on available-for-sale securities are recognized in accumulated other comprehensive income (AOCI).
5 6 Issuances $ (480) $ 2,032
– – –
(80) –
(80) – $ (103) $
– – –
209 –
209 130 – Other3 Into Level 3 $ (343)
(4) (1) –
(105) (8)
(118) (66) $ 58 $ 11
– – – 1
(3) (2)
– $ – $
Out of Level 3
– – –
5 53
(18) 36
$ 76
– – –
(3)
(32) 11
– $ (24) Total realized and unrealized losses (gains) Movements Transfers
Fair value as at
2016
– – –
–
71 11
– $ 82 $
– – –
– –
– –
– – (1)
(501) (5)
(73) –
(4) $ (584)
– – –
3 –
– –
$ 3
– – –
(127) –
– (35)
– 6 –
20
1,594 98
279 $ (162) $ 1,997
– – –
(1)
(23) 11
– $ (13)
Change in unrealized losses
(gains) on
Oct. 31, instruments still held4
$ (12) $ 3,218
– 1 –
(1) –
– – – $ 95
(4) –
679 (5) 765 13 14 $ 151 9
(2) 4
258 (2) 267 (41) $ –
Beginning February 1, 2016, issuances and repurchases of trading deposits are reported on a gross basis.
As at October 31, 2016, consists of derivative assets of $0.7 billion (November 1, 2015 – $0.6 billion) and derivative liabilities of $1.5 billion (November 1, 2015 – $1.1 billion), which have been netted on this table for presentation purposes only.
$ –
24 5
57
108 186
5 – –
38 423
83 –
83
$ – 3
– (1)
17 –
– – – 2
21
2 –
2
$ – –
– –
– –
– – – –
–
– –
– $ –
39 1
23
129 77
32 – – –
301
101 –
101 $
– –
– –
– –
– – – –
–
– –
– $ –
(67) –
(66)
(201) (198)
(37) – –
(9) (578)
(62) –
(62)
$ 34 3
73 3
340 –
– – – –
453
53 –
53 $ –
(2) (6) (1)
(245) –
– – – –
(254)
(20) –
(20) $
34 –
73 15
148 65
– – –
31 366
157 –
157
$ – –
–
(1) 9
– – – – 2
10
1 –
1 2015 in income1 Included Included in OCI2 Purchases Issuances Other3 Into Level 3
Out of Level 3
Movements Transfers Fair value 2016
Change in unrealized gains
as at (losses) on Oct. 31, instruments still held4
TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS 141
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