TD Bank 2010 Annual Report Download - page 134

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TD BANK GROUP ANNUAL REPORT 2010 FINANCIAL RESULTS132
Significant transfers into and out of Level 3 reflected in the table
above, occurred mainly due to the following reasons:
• Transfers from Level 3 to Level 2 occur when techniques used for
valuing the instrument incorporate significant observable market
inputs or broker-dealer quotes which were previously not observable.
• Transfers from Level 2 to Level 3 occur when an instrument’s fair
value, which was previously determined using valuation techniques
with significant observable market inputs, is now determined using
valuation techniques with significant non-observable market inputs.
Reconciliation of Changes in Fair Value for Level 3 Financial Assets and Liabilities Measured
(millions of Canadian dollars) Total realized and Change in
unrealized gains (losses) unrealized Movements Transfers
Fair value Fair value gains
as at as at (losses) on
Nov. 1, Included Included Into Out of Oct. 31,
instruments
2008 in income
1
in OCI Purchases Issuances Other
2
Level 3 Level 3 2009 still held
3
FINANCIAL ASSETS
Trading securities
Government and government-
related securities
Canadian government debt
Federal $ 26 $ 1 $ – $ 1 $ – $ (21) $ 8 $ – $ 15 $ –
Provinces 59 6 – 139 – (254) 57 (3) 4 –
U.S. Federal, state, municipal
governments, and agencies debt 46 1 – 3 – (57) 46 – 39 (5)
Other OECD government
guaranteed debt 381 16 – 118 – (446) 40 (105) 4 –
Other debt securities
Canadian issuers 375 (6) – 36 – (103) 52 (306) 48 (1)
Other issuers 711 76 – 216 – (615) 387 (463) 312 34
Equity securities
Common shares – – – 78 – (77) – – 1 –
Retained interests 523 (9) – – 1,262 (437) – – 1,339 (41)
$ 2,121 $ 85 $ – $ 591 $ 1,262 $ (2,010) $ 590 $ (877) $ 1,762 $ (13)
Available-for-sale securities
Government and government-
related securities
U.S. Federal, state, municipal
governments, and agencies debt $ 10 $ – $ – $ – $ – $ (10) $ – $ – $ – $ –
Debt securities reclassified
from trading – 10 (3) – – (30) 197 (6) 168 (17)
$ 10 $ 10 $ (3) $ – $ – $ (40) $ 197 $ (6) $ 168 $ (17)
Loans4 $ 51 $ 2 $ – $ – $ – $ (73) $ 54 $ (12) $ 22 $ (5)
FINANCIAL LIABILITIES
Trading deposits $ 583 $ 44 $ – $ – $ 574 $ (300) $ 39 $ – $ 940 $ 60
Obligations related to
securities sold short 268 – – (26) – (173) – (61) 8 –
Derivatives5 $ (431) $ (148) $ – $ (129) $ 353 $ 614 $ 270 $ 2 $ 531 $ 96
1 Gains (losses) on financial assets and liabilities included in income are recorded
in net securities gains (losses), trading income (loss), and other income on the
Consolidated Statement of Income.
2 Consists of sales and settlements.
3 Changes in unrealized gains (losses) for available-for-sale securities are recorded
in accumulated other comprehensive income.
4 Includes trading loans.
5 Consists of derivative assets of $799 million (2009 – $1,151 million) and derivative
liabilities of $1,182 million (2009 – $1,682 million), both of which are measured
using level 3 inputs, as at October 31, 2010, which have been netted on this table
for presentation purposes only.