Fair Value Measurements (Tables)

3 Months Ended

Jan. 31, 2020

Statement [LineItems]

Schedule of Financial Assets and Liabilities not Carried at Fair Value

Financial Assets and Liabilities not carried at Fair Value¹

(millions of Canadian dollars)	As at
	January 31, 2020				October 31, 2019
	Carrying value		Fair  value		Carrying value		Fair value
FINANCIAL ASSETS
Debt securities at amortized cost, net of allowance for credit losses
Government and government-related securities	$	81,265	$	81,672	$	78,275	$	78,374
Other debt securities		53,589		53,910		52,222		52,370
Total debt securities at amortized cost, net of allowance for credit losses		134,854		135,582		130,497		130,744
Total loans, net of allowance for loan losses		693,166		698,403		684,608		688,154
Total financial assets not carried at fair value	$	828,020	$	833,985	$	815,105	$	818,898
FINANCIAL LIABILITIES
Deposits	$	908,417	$	914,044	$	886,977	$	892,597
Securitization liabilities at amortized cost		14,090		14,283		14,086		14,258
Subordinated notes and debentures		10,711		11,438		10,725		11,323
Total financial liabilities not carried at fair value	$	933,218	$	939,765	$	911,788	$	918,178

¹  This table excludes financial assets and liabilities where the carrying amount is a reasonable approximation of fair value.

Schedule of Reconciliation of Changes in Fair Value for Level 3 Assets and Liabilities

The following tables reconcile changes in fair value of all assets and liabilities measured at fair value using significant Level 3 unobservable inputs for the three months ended January 31.

Reconciliation of Changes in Fair Value for Level 3 Assets and Liabilities
(millions of Canadian dollars)	Fair value as at November 1 2019			Total realized and unrealized gains (losses)					Movements						Transfers						Fair value as at January 31 2020			Change in unrealized gains (losses) on instruments still held5
				Included in income1			Included in OCI2,3		Purchases/ Issuances			Sales/ Settlements4			Into Level 3			Out of Level 3
FINANCIAL ASSETS
Trading loans, securities, and other
Government and government- related securities
Canadian government debt
Provinces	$	8		$	–		$	–	$	–		$	–		$	–		$	–		$	8		$	–
Other debt securities
Canadian issuers		3			–			–		–			(1	)		–			(2	)		–			–
Other issuers		1			–			–		–			(1	)		9			–			9			–
		12			–			–		–			(2	)		9			(2	)		17			–
Non-trading financial assets at fair value through profit or loss
Securities		493			8			–		25			(26	)		–			–			500			3
Loans		5			–			–		–			–			–			–			5			–
		498			8			–		25			(26	)		–			–			505			3
Financial assets at fair value through other comprehensive income
Government and government- related securities
Other OECD government guaranteed debt		–			–			–		–			–			–			–			–			–
Other debt securities
Asset-backed securities		–			–			–		–			–			–			–			–			–
Corporate and other debt		24			–			–		–			–			–			–			24			–
Equity securities
Common shares		1,507			–			–		9			2			–			–			1,518			1
Preferred shares		44			–			1		–			–			–			–			45			1
	$	1,575		$	–		$	1	$	9		$	2		$	–		$	–		$	1,587		$	2
FINANCIAL LIABILITIES
Trading deposits6	$	(4,092	)	$	(105	)	$	–	$	(712	)	$	700		$	–		$	–		$	(4,209	)	$	(45	)
Derivatives7
Interest rate contracts		(83	)		(10	)		–		–			8			–			–			(85	)		(5	)
Foreign exchange contracts		(1	)		(1	)		–		–			1			1			–			–			–
Equity contracts		(925	)		(133	)		–		(31	)		65			–			–			(1,024	)		(134	)
Commodity contracts		(17	)		(3	)		–		–			1			–			–			(19	)		(6	)
		(1,026	)		(147	)		–		(31	)		75			1			–			(1,128	)		(145	)
Financial liabilities designated at fair value through profit or loss		(21	)		7			–		(39	)		48			–			–			(5	)		7
Obligations related to securities sold short		–			–			–		–			–			(3	)		–			(3	)		–

¹  Gains (losses) on financial assets and liabilities are recognized within Non-interest income on the Interim Consolidated Statement of Income.

²  Other comprehensive income.

³  Includes realized gains/losses transferred to retained earnings on disposal of equities designated at fair value through other comprehensive income (FVOCI).

⁴  Includes foreign exchange.

⁵  Changes in unrealized gains (losses) on financial assets at FVOCI are recognized in accumulated other comprehensive income (AOCI).

⁶  Issuances and repurchases of trading deposits are reported on a gross basis.

⁷ As at January 31, 2020, consists of derivative assets of $0.6 billion (November 1, 2019 – $0.6 billion) and derivative liabilities of $1.7 billion (November 1, 2019 – $1.6 billion), which have been netted in this table for presentation purposes only.

Reconciliation of Changes in Fair Value for Level 3 Assets and Liabilities¹ 

(millions of Canadian dollars)	Fair value as at November 1 2018			Total realized and unrealized gains (losses)						Movements						Transfers					Fair value as at January 31 2019			Change in unrealized gains (losses) on instruments still held5
				Included in income2			Included in OCI3			Purchases/ Issuances			Sales/ Settlements4			Into Level 3		Out of Level 3
FINANCIAL ASSETS
Trading loans, securities, and other
Government and government- related securities
Canadian government debt
Provinces	$	3		$	–		$	–		$	–		$	(3	)	$	–	$	–		$	–		$	–
Other debt securities
Canadian issuers		1			–			–			–			–			–		–			1			–
Other issuers		16			1			–			–			(8	)		1		(1	)		9			1
		20			1			–			–			(11	)		1		(1	)		10			1
Non-trading financial assets at fair value through profit or loss
Securities		408			2			2			71			(9	)		21		–			495			(1	)
Loans		19			1			–			1			–			–		–			21			1
		427			3			2			72			(9	)		21		–			516			–
Financial assets at fair value through other comprehensive income
Government and government- related securities
Other OECD government guaranteed debt		200			1			9			–			–			–		–			210			9
Other debt securities
Asset-backed securities		562			–			(3	)		–			–			–		–			559			(3	)
Corporate and other debt		24			–			(1	)		–			–			–		–			23			(1	)
Equity securities
Common shares		1,492			–			1			5			(3	)		–		–			1,495			1
Preferred shares		135			–			(2	)		–			(75	)		–		(1	)		57			(8	)
	$	2,413		$	1		$	4		$	5		$	(78	)	$	–	$	(1	)	$	2,344		$	(2	)
FINANCIAL LIABILITIES
Trading deposits6	$	(3,024	)	$	(99	)	$	–		$	(295	)	$	(47	)	$	–	$	–		$	(3,465	)	$	(80	)
Derivatives7
Interest rate contracts		(63	)		(3	)		–			–			2			–		–			(64	)		(4	)
Foreign exchange contracts		1			(1	)		–			–			2			–		–			2			–
Equity contracts		(624	)		(105	)		–			(38	)		68			–		–			(699	)		(103	)
Commodity contracts		27			(38	)		–			–			3			–		–			(8	)		(26	)
		(659	)		(147	)		–			(38	)		75			–		–			(769	)		(133	)
Financial liabilities designated at fair value through profit or loss		(14	)		23			–			(17	)		5			–		–			(3	)		17
Obligations related to securities sold short		–			–			–			–			–			–		–			–			–

¹  Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period.

²  Gains (losses) on financial assets and liabilities are recognized within Non-interest income on the Interim Consolidated Statement of Income.

³  Includes realized gains/losses transferred to retained earnings on disposal of equities designated at FVOCI.

⁴  Includes foreign exchange.

⁵  Changes in unrealized gains (losses) on financial assets at FVOCI are recognized in AOCI.

⁶  Issuances and repurchases of trading deposits are reported on a gross basis.

⁷ As at January 31, 2019, consists of derivative assets of $0.5 billion (November 1, 2018 – $0.5 billion) and derivative liabilities of $1.3 billion (November 1, 2018 – $1.2 billion), which have been netted in this table for presentation purposes only.

At fair value [member]

Statement [LineItems]

Schedule of Fair Value Hierarchy for Assets and Liabilities

Fair Value Hierarchy for Assets and Liabilities Measured at Fair Value on a Recurring Basis

(millions of Canadian dollars)																	As at
		January 31, 2020									October 31, 2019
		Level 1		Level 2		Level 3		Total	1		Level 1		Level 2		Level 3		Total	1
FINANCIAL ASSETS AND COMMODITIES
Trading loans, securities, and other2
Government and government-related securities
Canadian government debt
Federal	$	868	$	8,672	$	–	$	9,540		$	395	$	10,521	$	–	$	10,916
Provinces		–		8,312		8		8,320			–		8,510		8		8,518
U.S. federal, state, municipal governments, and agencies debt		–		25,232		–		25,232			–		19,133		–		19,133
Other OECD government guaranteed debt		–		6,033		–		6,033			–		4,132		–		4,132
Mortgage-backed securities		–		1,636		–		1,636			–		1,746		–		1,746
Other debt securities
Canadian issuers		–		5,422		–		5,422			–		5,129		3		5,132
Other issuers		–		14,001		9		14,010			–		13,547		1		13,548
Equity securities
Common shares		67,055		17		–		67,072			56,058		61		–		56,119
Preferred shares		69		–		–		69			57		–		–		57
Trading loans		–		12,541		–		12,541			–		12,482		–		12,482
Commodities		12,228		354		–		12,582			13,761		437		–		14,198
Retained interests		–		18		–		18			–		19		–		19
		80,220		82,238		17		162,475			70,271		75,717		12		146,000
Non-trading financial assets at fair value through profit or loss
Securities		234		4,236		500		4,970			229		3,985		493		4,707
Loans		–		2,197		5		2,202			–		1,791		5		1,796
		234		6,433		505		7,172			229		5,776		498		6,503
Derivatives
Interest rate contracts		16		14,630		–		14,646			22		14,794		–		14,816
Foreign exchange contracts		29		26,804		4		26,837			24		30,623		3		30,650
Credit contracts		–		15		–		15			–		16		–		16
Equity contracts		1		1,717		617		2,335			1		1,298		589		1,888
Commodity contracts		253		1,509		9		1,771			266		1,246		12		1,524
		299		44,675		630		45,604			313		47,977		604		48,894
Financial assets designated at fair value through profit or loss
Securities2		–		3,614		–		3,614			–		4,040		–		4,040
		–		3,614		–		3,614			–		4,040		–		4,040
Financial assets at fair value through other comprehensive income
Government and government-related securities
Canadian government debt
Federal		–		9,036		–		9,036			–		9,663		–		9,663
Provinces		–		13,381		–		13,381			–		12,927		–		12,927
U.S. federal, state, municipal governments, and agencies debt		–		40,307		–		40,307			–		40,737		–		40,737
Other OECD government guaranteed debt		–		12,433		–		12,433			–		14,407		–		14,407
Mortgage-backed securities		–		5,028		–		5,028			–		5,437		–		5,437
Other debt securities
Asset-backed securities		–		14,214		–		14,214			–		15,888		–		15,888
Non-agency collateralized mortgage obligation portfolio		–		218		–		218			–		247		–		247
Corporate and other debt		–		8,217		24		8,241			–		7,810		24		7,834
Equity securities
Common shares		1,095		1		1,518		2,614			89		2		1,507		1,598
Preferred shares		205		–		45		250			198		–		44		242
Loans		–		2,150		–		2,150			–		2,124		–		2,124
		1,300		104,985		1,587		107,872			287		109,242		1,575		111,104
Securities purchased under reverse repurchase agreements		–		6,582		–		6,582			–		4,843		–		4,843
FINANCIAL LIABILITIES
Trading deposits		–		23,135		4,209		27,344			–		22,793		4,092		26,885
Derivatives
Interest rate contracts		14		14,530		85		14,629			19		14,404		83		14,506
Foreign exchange contracts		25		24,907		4		24,936			21		29,374		4		29,399
Credit contracts		–		412		–		412			–		420		–		420
Equity contracts		–		2,328		1,641		3,969			–		2,877		1,514		4,391
Commodity contracts		359		1,202		28		1,589			266		1,040		29		1,335
		398		43,379		1,758		45,535			306		48,115		1,630		50,051
Securitization liabilities at fair value		–		13,082		–		13,082			–		13,058		–		13,058
Financial liabilities designated at fair value through profit or loss		–		112,035		5		112,040			–		105,110		21		105,131
Obligations related to securities sold short2		1,218		36,267		3		37,488			878		28,778		–		29,656
Obligations related to securities sold under repurchase agreements		–		3,043		–		3,043			–		2,973		–		2,973

¹  Fair value is the same as carrying value.

²  Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).