TD Bank 2014 Annual Report Download - page 147

TD BANK GROUP ANNUAL REPORT 2014 FINANCIAL RESULTS 145
Financial Assets, Liabilities and Commodities
(millions of Canadian dollars) As at
October 31, 2014 October 31, 2013
Carrying value Fair value Carrying value Fair value
FINANCIAL ASSETS AND COMMODITIES
Cash and due from banks $ 2,781 $ 2,781 $ 3,581 $ 3,581
Interest-bearing deposits with banks 43,773 43,773 28,583 28,583
Trading loans, securities, and other
Government and government-related securities 30,899 30,899 32,861 32,861
Other debt securities 9,019 9,019 9,628 9,628
Equity securities 45,911 45,911 45,751 45,751
Trading loans 10,142 10,142 10,219 10,219
Commodities 5,154 5,154 3,414 3,414
Retained interests 48 48 67 67
Total trading loans, securities, and other 101,173 101,173 101,940 101,940
Derivatives 55,363 55,363 49,461 49,461
Financial assets designated at fair value through profit or loss 4,745 4,745 6,532 6,532
Available-for-sale securities
Government and government-related securities 31,707 31,707 37,897 37,897
Other debt securities 28,724 28,724 38,936 38,936
Equity securities1 1,931 1,931 1,806 1,806
Debt securities reclassified from trading 646 646 905 905
Total available-for-sale securities 63,008 63,008 79,544 79,544
Held-to-maturity securities2
Government and government-related securities 34,119 34,371 25,890 25,875
Other debt securities 22,858 22,955 4,071 4,075
Total held-to-maturity securities 56,977 57,326 29,961 29,950
Securities purchased under reverse repurchase agreements 75,031 75,031 64,283 64,283
Loans 478,909 483,044 444,922 445,935
Customers’ liability under acceptances 13,080 13,080 6,399 6,399
Amounts receivable from brokers, dealers and clients 9,319 9,319 9,183 9,183
Other assets 3,590 3,590 3,469 3,469
FINANCIAL LIABILITIES
Trading deposits 59,334 59,334 50,967 50,967
Derivatives 50,776 50,776 49,471 49,471
Securitization liabilities at fair value 11,198 11,198 21,960 21,960
Other financial liabilities designated at fair value through profit or loss 3,250 3,250 12 12
Deposits 600,716 601,705 541,605 543,080
Acceptances 13,080 13,080 6,399 6,399
Obligations related to securities sold short 39,465 39,465 41,829 41,829
Obligations related to securities sold under repurchase agreements 45,587 45,587 34,414 34,414
Securitization liabilities at amortized cost 24,960 25,271 25,592 25,864
Amounts payable to brokers, dealers and clients 10,384 10,384 8,882 8,882
Other liabilities 9,926 9,958 12,839 12,857
Subordinated notes and debentures $ 7,785 $ 8,358 $ 7,982 $ 8,678
1 As at October 31, 2014, the carrying values of certain available-for-sale equity
securities of $5 million (October 31, 2013 – $6 million) are assumed to approxi-
mate fair value in the absence of quoted market prices in an active market.
2 Includes debt securities reclassified from available-for-sale to held-to-maturity.
Refer to Note 7, Securities for carrying value and fair value of the reclassified
debt securities.
Fair Value Hierarchy
IFRS requires disclosure of a three-level hierarchy for fair value
measurements based upon transparency of inputs to the valuation of
an asset or liability as of the measurement date. The three levels are
defined as follows:
Level 1: Fair value is based on quoted market prices in active markets
for identical assets or liabilities. Level 1 assets and liabilities generally
include debt and equity securities and derivative contracts that are
traded in an active exchange market, as well as certain Canadian and
U.S. Treasury bills and other Canadian and U.S. Government and
agency mortgage-backed securities, and certain securitization liabili-
ties, that are highly liquid and are actively traded in OTC markets.
Level 2: Fair value is based on observable inputs other than Level 1
prices, such as quoted market prices for similar (but not identical)
assets or liabilities in active markets, quoted market prices for identical
assets or liabilities in markets that are not active, and other inputs that
are observable or can be corroborated by observable market data for
substantially the full term of the assets or liabilities. Level 2 assets and
liabilities include debt securities with quoted prices that are traded less
frequently than exchange-traded instruments and derivative contracts
whose value is determined using valuation techniques with inputs
that are observable in the market or can be derived principally from
or corroborated by observable market data. This category generally
includes Canadian and U.S. Government securities, Canadian and U.S.
agency mortgage-backed debt securities, corporate debt securities,
certain derivative contracts, certain securitization liabilities, and certain
trading deposits.
Level 3: Fair value is based on non-observable inputs that are
supported by little or no market activity and that are significant to the
fair value of the assets or liabilities. Financial instruments classified
within Level 3 of the fair value hierarchy are initially fair valued at their
transaction price, which is considered the best estimate of fair value.
After initial measurement, the fair value of Level 3 assets and liabilities
is determined using valuation models, discounted cash flow methodol-
ogies, or similar techniques. This category generally includes retained
interests in certain loan securitizations and certain derivative contracts.
The following table presents the levels within the fair value hierarchy
for each of the financial assets and liabilities measured at fair value on
a recurring basis as at October 31.