TD Bank 2014 Annual Report Download - page 148

TD BANK GROUP ANNUAL REPORT 2014 FINANCIAL RESULTS146
Fair Value Hierarchy for Assets and Liabilities Measured at Fair Value on a Recurring Basis
(millions of Canadian dollars) As at
October 31, 2014
October 31, 2013
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 $ 302 $ 12,229 $ – $ 12,531 $ 304 $ 12,908 $ – $ 13,212
Provinces – 5,454 – 5,454 1 4,518 – 4,519
U.S. federal, state, municipal governments, and agencies debt – 8,698 – 8,698 105 11,250 – 11,355
Other OECD government guaranteed debt – 3,427 – 3,427 – 2,685 – 2,685
Mortgage-backed securities – 789 – 789 – 1,090 – 1,090
Other debt securities
Canadian issuers – 2,805 20 2,825 – 2,943 5 2,948
Other issuers – 6,128 66 6,194 – 6,596 84 6,680
Equity securities
Common shares 40,695 5,172 4 45,871 38,020 7,652 15 45,687
Preferred shares 40 – – 40 64 – – 64
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
46,191 54,844 138 101,173 41,908 59,861 171 101,940
Derivatives
Interest rate contracts 2 23,413 – 23,415 1 25,690 – 25,691
Foreign exchange contracts 56 24,852 16 24,924 168 14,106 13 14,287
Credit contracts – 18 – 18 – 60 3 63
Equity contracts – 5,577 1,033 6,610 – 8,131 958 9,089
Commodity contracts 53 341 2 396 60 263 8 331
111 54,201 1,051 55,363 229 48,250 982 49,461
Financial assets designated at
fair value through profit or loss
Securities 202 4,538 – 4,740 372 6,151 – 6,523
Loans – – 5 5 – – 9 9
202 4,538 5 4,745 372 6,151 9 6,532
Available-for-sale securities
Government and government-related securities
Canadian government debt
Federal 199 8,205 – 8,404 – 9,329 – 9,329
Provinces – 4,494 51 4,545 – 2,588 – 2,588
U.S. federal, state, municipal governments, and agencies debt – 12,130 – 12,130 – 15,176 – 15,176
Other OECD government guaranteed debt – 3,317 5 3,322 – 7,986 8 7,994
Mortgage-backed securities – 3,306 – 3,306 – 2,810 – 2,810
Other debt securities
Asset-backed securities – 18,903 – 18,903 – 29,320 – 29,320
Non-agency collateralized mortgage obligation portfolio – 1,722 – 1,722 – 963 – 963
Corporate and other debt – 8,080 19 8,099 – 8,634 19 8,653
Equity securities
Common shares1,2 210 242 1,303 1,755 197 222 1,215 1,634
Preferred shares 29 1 141 171 30 – 136 166
Debt securities reclassified from trading – 337 309 646 – 677 228 905
438 60,737 1,828 63,003 227 77,705 1,606 79,538
Securities purchased under reverse
repurchase agreements $ – $ 8,154 $ – $ 8,154 $ – $ 5,331 $ – $ 5,331
FINANCIAL LIABILITIES
Trading deposits $ – $ 57,703 $ 1,631 $ 59,334 $ – $ 49,571 $ 1,396 $ 50,967
Derivatives
Interest rate contracts 2 20,026 81 20,109 1 22,789 58 22,848
Foreign exchange contracts 43 22,975 14 23,032 149 15,535 12 15,696
Credit contracts – 325 – 325 – 355 3 358
Equity contracts – 5,275 1,537 6,812 – 8,892 1,350 10,242
Commodity contracts 52 440 6 498 56 266 5 327
97 49,041 1,638 50,776 206 47,837 1,428 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 – 3,242 8 3,250 – – 12 12
Obligations related to securities sold short 14,305 25,126 34 39,465 17,698 24,124 7 41,829
Obligations related to securities sold
under repurchase agreements $ – $ 8,242 $ – $ 8,242 $ – $ 5,825 $ – $ 5,825
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 approximate
fair value in the absence of quoted market prices in an active market.
2 As at October 31, 2014, common shares include the fair value of Federal Reserve
Stock and Federal Home Loan Bank stock of $972 million (October 31, 2013 –
$930 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.