FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE


Securities Designated at Fair Value through Profit or Loss Certain securities supporting insurance reserves within the Bank’s insurance underwriting subsidiaries have been designated at fair value through profit or loss. The actuarial valuation of the insurance reserve is measured using a discount factor which is based on the yield of the supporting invested assets, with changes in the discount factor being recognized on the Consolidated Statement of Income. The unrealized gain or loss on securities designated at fair value through profit or loss is recognized on the Consolidated Statement of Income in the same period as gains or losses resulting from changes to the discount rate used to value the insurance liabilities.


In addition, certain debt securities are managed on a fair value basis, or are economically hedged with derivatives as doing so eliminates or significantly reduces an accounting mismatch. As a result, these debt securities have been designated at fair value through profit or loss. The derivatives are carried at fair value, with the change in fair value recognized in non-interest income.


Other Liabilities Designated at Fair Value through Profit or Loss Certain deposits and loan commitments issued to customers to provide a mortgage at a fixed rate have been designated at fair value through profit or loss. These deposits and commitments are economically hedged with derivatives and other financial instruments where the changes


in fair value are recognized in non-interest income. The designation of these deposits and loan commitments at fair value through profit or loss eliminates an accounting mismatch that would otherwise arise. The contractual maturity amounts for the deposits designated at fair value through profit or loss were $0 million less than the carrying amount as at October 31, 2016 (October 31, 2015 – $4 million less than the carrying amount). As at October 31, 2016, the fair value of deposits designated at fair value through profit or loss includes zero of the Bank’s own credit risk (October 31, 2015 – $1 million). Due to the short-term nature of the loan commitments, changes in the Bank’s own credit do not have a significant impact on the determination of fair value.


Income (Loss) from Changes in Fair Value of Financial Assets and Liabilities Designated at Fair Value through Profit or Loss


During the year ended October 31, 2016, the income (loss) representing net changes in the fair value of financial assets and liabilities designated at fair value through profit or loss was $(20) million (2015 – $(16) million).


Fair Value Hierarchy for Assets and Liabilities not carried at Fair Value


The following table presents the levels within the fair value hierarchy for each of the assets and liabilities not carried at fair value as at October 31, but for which fair value is disclosed.


Fair Value Hierarchy for Assets and Liabilities not carried at Fair Value1 (millions of Canadian dollars)


Level 1 ASSETS Cash and due from banks Interest-bearing deposits with banks


Held-to-maturity securities 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 receivables from brokers, dealers, and clients Other assets


Total assets with fair value disclosures


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 with fair value disclosures


1 $


$ 3,907 $ –


– –


– – – $ 53,714


51,855 33,135


84,990 84,324


– 205,455 –


– 205,759


– – –


15,706 17,436 4,259


304


– $ 3,907 –


– –


– –


383,625 1,374


384,999


– –


93


51,855 33,135


84,990 84,324


589,080 1,678


590,758


15,706 17,436 4,352


$ 3,907 $ 466,188 $ 385,092 $ 855,187 $


– $ 776,161 $ –


– – – – –


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


15,706 45,316


18,276 17,857 8,314


11,331 – $ 892,961 $


– $ 776,161 –


– – –


974 –


15,706 45,316


18,276 17,857 9,288


11,331 974 $ 893,935 $ 53,714


$ 3,154 $ –


– –


–


– –


– –


– – –


– $ 42,483


44,095 30,647


74,742 84,163


197,568 528


198,096


16,646 21,996 4,108


– $ 3,154 –


42,483


– –


– –


44,095 30,647


74,742 84,163


347,294 544,862 1,638


2,166 348,932 547,028


– –


139


16,646 21,996 4,247


$ 3,154 $ 442,234 $ 349,071 $ 794,459 $


– $ 697,376 $ –


– – – – –


16,646 54,780


23,156 22,664 7,001 8,992


– $ 830,615 $


– $ 697,376 –


– – –


825 –


16,646 54,780


23,156 22,664 7,826 8,992


825 $ 831,440 Level 2 Level 3


October 31, 2016 Total


Level 1 Level 2 Level 3


As at


October 31, 2015 Total


146 TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS


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