TD Bank 2012 Annual Report Download - page 113

TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS 111
Fair Value Hierarchy for Financial Assets and Liabilities Measured at Fair Value
(millions of Canadian dollars) November 1, 2010
Level 1 Level 2 Level 3 Total
FINANCIAL ASSETS
Trading loans, securities, and other
Government and government-related securities
Canadian government debt
Federal $ 1,935 $ 5,365 $ – $ 7,300
Provinces – 2,575 14 2,589
U.S. federal, state, municipal governments, and agencies debt 765 6,546 37 7,348
Other OECD government guaranteed debt – 4,102 – 4,102
Mortgage-backed securities – 1,383 – 1,383
Other debt securities
Canadian issuers 12 2,637 27 2,676
Other issuers – 5,731 82 5,813
Equity securities
Common shares 23,881 1,017 – 24,898
Preferred shares 25 – – 25
Trading loans – 5,252 13 5,265
Commodities 2,249 – – 2,249
Retained interests – – 47 47
$ 28,867 $ 34,608 $ 220 $ 63,695
Derivatives
Interest rate contracts $ 4 $ 27,270 $ 46 $ 27,320
Foreign exchange contracts 385 19,322 170 19,877
Credit contracts – 167 21 188
Equity contracts 11 2,742 557 3,310
Commodity contracts 150 620 5 775
$ 550 $ 50,121 $ 799 $ 51,470
Financial assets designated at fair value through profit or loss
Securities $ 722 $ 1,319 $ 24 $ 2,065
Loans – 68 17 85
$ 722 $ 1,387 $ 41 $ 2,150
Available-for-sale securities1
Government and government-related securities
Canadian government debt
Federal $ 10,850 $ 820 $ – $ 11,670
Provinces – 388 – 388
U.S. federal, state, municipal governments, and agencies debt 127 11,115 – 11,242
Other OECD government guaranteed debt – 19,920 – 19,920
Mortgage-backed securities – 135 – 135
Other debt securities
Asset-backed securities – 20,161 – 20,161
Corporate and other debt 39 16,745 24 16,808
Equity securities
Common shares2 104 122 1,544 1,770
Preferred shares 105 – 58 163
Debt securities reclassified from trading3 – 4,164 64 4,228
$ 11,225 $ 73,570 $ 1,690 $ 86,485
FINANCIAL LIABILITIES
Trading deposits $ – $ 21,881 $ 1,110 $ 22,991
Derivatives
Interest rate contracts $ 3 $ 24,531 $ 90 $ 24,624
Foreign exchange contracts 452 22,814 85 23,351
Credit contracts – 180 43 223
Equity contracts – 2,721 922 3,643
Commodity contracts 71 630 10 711
$ 526 $ 50,876 $ 1,150 $ 52,552
Securitization liabilities at fair value $ – $ 27,256 $ – $ 27,256
Other financial liabilities designated at fair value through profit or loss $ – $ – $ 31 $ 31
Obligations related to securities sold short $ 10,846 $ 12,815 $ 30 $ 23,691
1
As at November 1, 2010, certain available-for-sale securities with a carrying value
of $202 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 November 1, 2010, common shares includes the fair value of Federal Reserve
Stock and Federal Home Loan Bank stock of $1,050 million which are redeemable
by the issuer at cost for which cost approximates 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 November 1, 2010, includes other debt securities of $4,210 million and fair
value of government and government-insured securities of $18 million.
There were no significant transfers between Level 1 and Level 2 for the
twelve months ended October 31, 2012 and October 31, 2011.