TD Bank 2012 Annual Report Download - page 112

TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS110
The following tables present the levels within the fair value hierarchy
for each of the financial assets and liabilities measured at fair value,
as at, October 31, 2012, October 31, 2011, and November 1, 2010.
Fair Value Hierarchy for Financial Assets and Liabilities Measured at Fair Value
(millions of Canadian dollars) October 31, 2012
October 31, 2011
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
FINANCIAL ASSETS
Trading loans, securities, and other
Government and government-related securities
Canadian government debt
Federal $ 3,556 $ 11,649 $ – $ 15,205 $ 2,293 $ 8,583 $ – $ 10,876
Provinces – 3,731 – 3,731 1 2,714 5 2,720
U.S. federal, state, municipal governments,
and agencies debt 1,932 8,889 – 10,821 2,210 5,411 – 7,621
Other OECD government guaranteed debt – 3,510 – 3,510 – 5,887 – 5,887
Mortgage-backed securities – 1,296 – 1,296 – 1,496 – 1,496
Other debt securities
Canadian issuers – 2,223 17 2,240 25 2,477 30 2,532
Other issuers – 5,590 57 5,647 – 6,594 79 6,673
Equity securities
Common shares 31,740 5,850 77 37,667 24,699 2,308 – 27,007
Preferred shares 24 – – 24 31 – – 31
Trading loans – 8,271 – 8,271 – 5,322 3 5,325
Commodities 6,034 – – 6,034 3,133 – – 3,133
Retained interests – – 85 85 – – 52 52
$ 43,286 $ 51,009 $ 236 $ 94,531 $ 32,392 $ 40,792 $ 169 $ 73,353
Derivatives
Interest rate contracts $ 7 $ 38,605 $ 7 $ 38,619 $ 23 $ 35,659 $ 11 $ 35,693
Foreign exchange contracts 140 13,116 16 13,272 358 17,900 16 18,274
Credit contracts – 37 12 49 – 130 21 151
Equity contracts – 7,755 691 8,446 1 4,318 630 4,949
Commodity contracts 131 379 23 533 149 622 7 778
$ 278 $ 59,892 $ 749 $ 60,919 $ 531 $ 58,629 $ 685 $ 59,845
Financial assets designated at
fair value through profit or loss
Securities $ 603 $ 5,557 $ – $ 6,160 $ 592 $ 3,630 $ – $ 4,222
Loans – – 13 13 – 6 8 14
$ 603 $ 5,557 $ 13 $ 6,173 $ 592 $ 3,636 $ 8 $ 4,236
Available-for-sale securities1
Government and government-related securities
Canadian government debt
Federal $ 6,533 $ 4,322 $ – $ 10,855 $ 8,052 $ 1,263 $ – $ 9,315
Provinces – 2,503 – 2,503 – 369 – 369
U.S. federal, state, municipal governments,
and agencies debt 125 29,530 – 29,655 125 28,271 – 28,396
Other OECD government guaranteed debt – 17,208 2 17,210 – 19,970 – 19,970
Mortgage-backed securities – 1,142 – 1,142 – 661 – 661
Other debt securities
Asset-backed securities – 25,045 – 25,045 – 22,947 – 22,947
Corporate and other debt – 8,762 57 8,819 – 7,813 24 7,837
Equity securities
Common shares2 197 206 1,443 1,846 80 149 1,524 1,753
Preferred shares – 69 163 232 93 – 190 283
Debt securities reclassified from trading3 – 1,099 165 1,264 – 1,828 158 1,986
$ 6,855 $ 89,886 $ 1,830 $ 98,571 $ 8,350 $ 83,271 $ 1,896 $ 93,517
Securities purchased under reverse
repurchase agreements $ – $ 9,340 $ – $ 9,340 $ – $ 3,382 $ – $ 3,382
FINANCIAL LIABILITIES
Trading deposits $ – $ 37,674 $ 1,100 $ 38,774 $ – $ 28,533 $ 1,080 $ 29,613
Derivatives
Interest rate contracts $ 8 $ 33,084 $ 104 $ 33,196 $ 19 $ 31,365 $ 92 $ 31,476
Foreign exchange contracts 105 21,547 14 21,666 318 23,521 14 23,853
Credit contracts – 236 11 247 – 182 31 213
Equity contracts – 8,268 1,011 9,279 – 4,516 973 5,489
Commodity contracts 103 495 11 609 114 562 8 684
$ 216 $ 63,630 $ 1,151 $ 64,997 $ 451 $ 60,146 $ 1,118 $ 61,715
Securitization liabilities at fair value $ – $ 25,324 $ – $ 25,324 $ – $ 27,725 $ – $ 27,725
Other financial liabilities designated
at fair value through profit or loss $ – $ – $ 17 $ 17 $ – $ 5 $ 27 $ 32
Obligations related to securities sold short $ 15,125 $ 18,289 $ 21 $ 33,435 $ 12,135 $ 11,480 $ 2 $ 23,617
Obligations related to securities sold
under repurchase agreements $ – $ 10,232 $ – $ 10,232 $ – $ 3,917 $ – $ 3,917
1
As at October 31, 2012, certain available-for-sale securities with a carrying value
of $5 million (October 31, 2011 – $3 million) are carried at cost because they do
not have quoted market prices in an active market and fair value cannot be
reliably measured.
2 As at October 31, 2012, common shares includes the fair value of Federal Reserve
Stock and Federal Home Loan Bank stock of $956 million (October 31, 2011 –
$1,020 million) 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.
3
As at October 31, 2012, includes corporate and other debt securities of
$1,264 million (October 31, 2011– $1,986 million).