TD Bank 2009 Annual Report Download - page 138

TD BANK FINANCIAL GROUP ANNUAL REPORT 2009 FINANCIAL RESULTS134
The following table presents reconciliation for all assets and liabilities
measured at fair value using significant non-observable inputs (level 3)
for the year ended October 31, 2009.
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 which
was previously determined using valuation techniques with signifi-
cant observable market inputs is now determined using valuation
techniques with significant non-observable market inputs.
Level 3 Reconciliation for Financial Assets and Liabilities Measured at Fair Value
(millions of Canadian dollars) Total realized and Change in
unrealized gains (losses) Movements Transfers unrealized
Fair value Fair value gains
as at as at (losses) on
Nov. 1, Included Included Into Out of Oct. 31,
instruments
2008 in income1in OCI Purchases Issuances Other2Level 3 Level 3 2009 still held3
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)
Total trading securities $ 2,121 $ 85 $ – $ 591 $ 1,262 $ (2,010) $ 590 $ (877) $ 1,762 $ (13)
Available-for-sale
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)
Total available-for-sale securities4$ 10 $ 10 $ (3) $ – $ – $ (40) $ 197 $ (6) $ 168 $ (17)
Loans5$ 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 –
Derivatives6(431) (148) – (129) 353 614 270 2 531 96
1Gains (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.
2Consists of sales and settlements.
3Changes in unrealized gains (losses) for available-for-sale securities are recorded
in accumulated other comprehensive income.
4As at October 31, 2008, the Level 3 available-for-sale assets included $8,435 million
of non-agency collateralized mortgage obligation debt securities. As a result of
the 2009 Amendments to CICA Handbook Section 3855, the aforementioned
available-for-sale securities were reclassified to loans on November 1, 2008,
as described in Note 1a), and accordingly are not included in the November 1,
2008 opening balances.
5Includes trading loans.
6Consists of derivative assets of $1,151 million and derivative liabilities of
$1,682 million, both of which are measured using level 3 inputs, as at
October 31, 2009, which have been netted on this table for presentation
purposes only.
There were no significant transfers between Level 1 and Level 2 during
the year ended October 31, 2009.