Fair Value Measurements (Tables)

6 Months Ended

Apr. 30, 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
	April 30, 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	$	103,750	$	104,223	$	78,275	$	78,374
Other debt securities		56,635		55,671		52,222		52,370
Total debt securities at amortized cost, net of allowance for credit losses		160,385		159,894		130,497		130,744
Total loans, net of allowance for loan losses		746,970		750,367		684,608		688,154
Total financial assets not carried at fair value	$	907,355	$	910,261	$	815,105	$	818,898
FINANCIAL LIABILITIES
Deposits	$	1,078,306	$	1,080,445	$	886,977	$	892,597
Securitization liabilities at amortized cost		14,516		13,473		14,086		14,258
Subordinated notes and debentures		14,024		14,555		10,725		11,323
Total financial liabilities not carried at fair value	$	1,106,846	$	1,108,473	$	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

Reconciliation of Changes in Fair Value for Level 3 Assets and Liabilities
(millions of Canadian dollars)	Fair value as at February 1 2020			Total realized and unrealized gains (losses)						Movements						Transfers						Fair value as at April 30 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		–			–			–			–			–			–			–			–			–
Other issuers		9			–			–			7			–			3			(4	)		15			3
		17			–			–			7			(8	)		3			(4	)		15			3
Non-trading financial assets at fair value through profit or loss
Securities		500			(12	)		–			28			(20	)		–			–			496			(17	)
Loans		5			–			–			–			(2	)		–			–			3			–
		505			(12	)		–			28			(22	)		–			–			499			(17	)
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			–			(4	)		–			–			–			–			20			–
Equity securities
Common shares		1,518			–			(1	)		9			76			–			–			1,602			–
Preferred shares		45			–			(19	)		1			–			–			–			27			(19	)
	$	1,587		$	–		$	(24	)	$	10		$	76		$	–		$	–		$	1,649		$	(19	)
FINANCIAL LIABILITIES
Trading deposits6	$	(4,209	)	$	628		$	–		$	(1,083	)	$	334		$	–		$	8		$	(4,322	)	$	573
Derivatives7
Interest rate contracts		(85	)		(12	)		–			–			–			–			–			(97	)		(10	)
Foreign exchange contracts		–			11			–			–			2			–			–			13			11
Equity contracts		(1,024	)		490			–			(27	)		31			(1	)		–			(531	)		485
Commodity contracts		(19	)		(66	)		–			–			22			–			–			(63	)		(50	)
		(1,128	)		423			–			(27	)		55			(1	)		–			(678	)		436
Financial liabilities designated at fair value through profit or loss		(5	)		58			–			(66	)		6			–			–			(7	)		58
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 April 30, 2020, consists of derivative assets of $0.3 billion (February 1, 2020 – $0.6 billion) and derivative liabilities of $1.0 billion (February 1, 2020 – $1.7 billion), which have been netted in this table for presentation purposes only.

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 April 30 2020			Change in unrealized gains (losses) on instruments still held4
				Included in income1			Included in OCI2			Purchases/ Issuances			Sales/ Settlements3			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			–			–			7			(1	)		12			(4	)		15			3
		12			–			–			7			(10	)		12			(6	)		15			3
Non-trading financial assets at fair value through profit or loss
Securities		493			(4	)		–			53			(46	)		–			–			496			(14	)
Loans		5			–			–			–			(2	)		–			–			3			–
		498			(4	)		–			53			(48	)		–			–			499			(14	)
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			–			(4	)		–			–			–			–			20			–
Equity securities
Common shares		1,507			–			(1	)		18			78			–			–			1,602			1
Preferred shares		44			–			(18	)		1			–			–			–			27			(18	)
	$	1,575		$	–		$	(23	)	$	19		$	78		$	–		$	–		$	1,649		$	(17	)
FINANCIAL LIABILITIES
Trading deposits5	$	(4,092	)	$	523		$	–		$	(1,797	)	$	1,036		$	–		$	8		$	(4,322	)	$	494
Derivatives6
Interest rate contracts		(83	)		(22	)		–			–			8			–			–			(97	)		(15	)
Foreign exchange contracts		(1	)		10			–			–			3			1			–			13			11
Equity contracts		(925	)		357			–			(58	)		96			(1	)		–			(531	)		351
Commodity contracts		(17	)		(69	)		–			–			23			–			–			(63	)		(53	)
		(1,026	)		276			–			(58	)		130			–			–			(678	)		294
Financial liabilities designated at fair value through profit or loss		(21	)		65			–			(105	)		54			–			–			(7	)		65
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  Includes realized gains/losses transferred to retained earnings on disposal of equities designated at FVOCI.

³  Includes foreign exchange.

⁴  Changes in unrealized gains (losses) on financial assets at FVOCI are recognized in AOCI.

⁵  Issuances and repurchases of trading deposits are reported on a gross basis.

⁶  As at April 30, 2020, consists of derivative assets of $0.3 billion (November 1, 2019 – $0.6 billion) and derivative liabilities of $1.0 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 February 1 2019			Total realized and unrealized gains (losses)						Movements						Transfers						Fair value as at April 30 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	$	–		$	(1	)	$	–		$	–		$	–		$	47		$	–		$	46		$	(1	)
Other debt securities
Canadian issuers		1			–			–			–			–			1			–			2			–
Other issuers		9			–			–			–			(9	)		18			–			18			–
		10			(1	)		–			–			(9	)		66			–			66			(1	)
Non-trading financial assets at fair value through profit or loss
Securities		495			56			1			65			(170	)		–			–			447			5
Loans		21			–			–			–			(1	)		–			–			20			–
		516			56			1			65			(171	)		–			–			467			5
Financial assets at fair value through other comprehensive income
Government and government- related securities
Other OECD government guaranteed debt		210			14			–			–			(224	)		–			–			–			–
Other debt securities
Asset-backed securities		559			–			–			–			–			–			(559	)		–			–
Corporate and other debt		23			–			–			–			–			–			–			23			–
Equity securities
Common shares		1,495			–			(1	)		14			24			–			–			1,532			(1	)
Preferred shares		57			–			(8	)		1			–			–			–			50			(9	)
	$	2,344		$	14		$	(9	)	$	15		$	(200	)	$	–		$	(559	)	$	1,605		$	(10	)
FINANCIAL LIABILITIES
Trading deposits6	$	(3,465	)		(188	)		–			(82	)		56			–			–			(3,679	)		(189	)
Derivatives7
Interest rate contracts		(64	)		(12	)		–			–			(1	)		–			–			(77	)		(11	)
Foreign exchange contracts		2			–			–			–			–			(4	)		–			(2	)		–
Equity contracts		(699	)		(190	)		–			(37	)		101			–			–			(825	)		(179	)
Commodity contracts		(8	)		34			–			–			(11	)		–			–			15			23
		(769	)		(168	)		–			(37	)		89			(4	)		–			(889	)		(167	)
Financial liabilities designated at fair value through profit or loss		(3	)		18			–			(32	)		4			–			–			(13	)		14
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 April 30, 2019, consists of derivative assets of $0.6 billion (February 1, 2019 – $0.5 billion) and derivative liabilities of $1.5 billion (February 1, 2019 – $1.3 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 April 30 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		$	(1	)	$	–		$	–		$	(3	)	$	47		$	–		$	46		$	(1	)
Other debt securities
Canadian issuers		1			–			–			–			–			1			–			2			–
Other issuers		16			1			–			–			(17	)		19			(1	)		18			–
		20			–			–			–			(20	)		67			(1	)		66			(1	)
Non-trading financial assets at fair value through profit or loss
Securities		408			58			2			136			(178	)		21			–			447			6
Loans		19			1			–			1			(1	)		–			–			20			1
		427			59			2			137			(179	)		21			–			467			7
Financial assets at fair value through other comprehensive income
Government and government- related securities
Other OECD government guaranteed debt		200			24			–			–			(224	)		–			–			–			–
Other debt securities
Asset-backed securities		562			–			–			–			–			–			(562	)		–			–
Corporate and other debt		24			–			(1	)		–			–			–			–			23			(1	)
Equity securities
Common shares		1,492			–			–			19			21			–			–			1,532			(1	)
Preferred shares		135			–			(11	)		1			(74	)		–			(1	)		50			(17	)
	$	2,413		$	24		$	(12	)	$	20		$	(277	)	$	–		$	(563	)	$	1,605		$	(19	)
FINANCIAL LIABILITIES
Trading deposits6	$	(3,024	)		(287	)		–			(378	)		10			–			–			(3,679	)		(255	)
Derivatives7
Interest rate contracts		(63	)		(16	)		–			–			2			–			–			(77	)		(15	)
Foreign exchange contracts		1			(1	)		–			–			2			(4	)		–			(2	)		–
Equity contracts		(624	)		(295	)		–			(75	)		169			–			–			(825	)		(281	)
Commodity contracts		27			(4	)		–			–			(8	)		–			–			15			3
		(659	)		(316	)		–			(75	)		165			(4	)		–			(889	)		(293	)
Financial liabilities designated at fair value through profit or loss		(14	)		40			–			(49	)		10			–			–			(13	)		30
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 April 30, 2019, consists of derivative assets of $0.6 billion (November 1, 2018 – $0.5 billion) and derivative liabilities of $1.5 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
	April 30, 2020								October 31, 2019
	Level 1		Level 2		Level 3		Total1		Level 1		Level 2		Level 3		Total1
FINANCIAL ASSETS AND COMMODITIES
Trading loans, securities, and other2
Government and government-related securities
Canadian government debt
Federal	$	3,017	$	17,867	$	–	$	20,884	$	395	$	10,521	$	–	$	10,916
Provinces		–		8,586		–		8,586		–		8,510		8		8,518
U.S. federal, state, municipal governments, and agencies debt		–		18,829		–		18,829		–		19,133		–		19,133
Other OECD government guaranteed debt		–		4,115		–		4,115		–		4,132		–		4,132
Mortgage-backed securities		–		2,224		–		2,224		–		1,746		–		1,746
Other debt securities
Canadian issuers		–		5,252		–		5,252		–		5,129		3		5,132
Other issuers		–		14,938		15		14,953		–		13,547		1		13,548
Equity securities
Common shares		30,964		25		–		30,989		56,058		61		–		56,119
Preferred shares		36		–		–		36		57		–		–		57
Trading loans		–		13,156		–		13,156		–		12,482		–		12,482
Commodities		12,392		397		–		12,789		13,761		437		–		14,198
Retained interests		–		17		–		17		–		19		–		19
		46,409		85,406		15		131,830		70,271		75,717		12		146,000
Non-trading financial assets at fair value through profit or loss
Securities		235		5,261		496		5,992		229		3,985		493		4,707
Loans		–		2,673		3		2,676		–		1,791		5		1,796
		235		7,934		499		8,668		229		5,776		498		6,503
Derivatives
Interest rate contracts		19		22,019		–		22,038		22		14,794		–		14,816
Foreign exchange contracts		32		43,075		14		43,121		24		30,623		3		30,650
Credit contracts		–		88		–		88		–		16		–		16
Equity contracts		3		5,263		289		5,555		1		1,298		589		1,888
Commodity contracts		445		2,555		34		3,034		266		1,246		12		1,524
		499		73,000		337		73,836		313		47,977		604		48,894
Financial assets designated at fair value through profit or loss
Securities2		–		3,579		–		3,579		–		4,040		–		4,040
		–		3,579		–		3,579		–		4,040		–		4,040
Financial assets at fair value through other comprehensive income
Government and government-related securities
Canadian government debt
Federal		–		16,560		–		16,560		–		9,663		–		9,663
Provinces		–		15,838		–		15,838		–		12,927		–		12,927
U.S. federal, state, municipal governments, and agencies debt		–		42,515		–		42,515		–		40,737		–		40,737
Other OECD government guaranteed debt		–		13,584		–		13,584		–		14,407		–		14,407
Mortgage-backed securities		–		4,640		–		4,640		–		5,437		–		5,437
Other debt securities
Asset-backed securities		–		12,781		–		12,781		–		15,888		–		15,888
Non-agency collateralized mortgage obligation portfolio		–		198		–		198		–		247		–		247
Corporate and other debt		–		8,885		20		8,905		–		7,810		24		7,834
Equity securities
Common shares		856		1		1,602		2,459		89		2		1,507		1,598
Preferred shares		163		–		27		190		198		–		44		242
Loans		–		3,035		–		3,035		–		2,124		–		2,124
		1,019		118,037		1,649		120,705		287		109,242		1,575		111,104
Securities purchased under reverse repurchase agreements		–		6,291		–		6,291		–		4,843		–		4,843
FINANCIAL LIABILITIES
Trading deposits		–		22,076		4,322		26,398		–		22,793		4,092		26,885
Derivatives
Interest rate contracts		14		22,962		97		23,073		19		14,404		83		14,506
Foreign exchange contracts		26		40,069		1		40,096		21		29,374		4		29,399
Credit contracts		–		215		–		215		–		420		–		420
Equity contracts		–		5,633		820		6,453		–		2,877		1,514		4,391
Commodity contracts		768		2,288		97		3,153		266		1,040		29		1,335
		808		71,167		1,015		72,990		306		48,115		1,630		50,051
Securitization liabilities at fair value		–		13,473		–		13,473		–		13,058		–		13,058
Financial liabilities designated at fair value through profit or loss		–		94,157		7		94,164		–		105,110		21		105,131
Obligations related to securities sold short2		1,599		27,132		–		28,731		878		28,778		–		29,656
Obligations related to securities sold under repurchase agreements		–		2,120		–		2,120		–		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).