Fair value of financial instruments (Tables)

12 Months Ended

Oct. 31, 2022

Summary of Comparison of Carrying and Fair Values for Each Classification of Financial Instrument

The following tables provide a comparison of the carrying and fair values for each classification of financial instruments. Embedded derivatives are presented on a combined basis with the host contracts. For measurement purposes, they are carried at fair value when conditions requiring separation are met.


	As at October 31, 2022
	Carrying value and fair value									Carrying value		Fair value

(Millions of Canadian dollars)	Financial instruments classified as FVTPL			Financial instruments designated as FVTPL		Financial instruments classified as FVOCI		Financial instruments designated as FVOCI		Financial instruments measured at amortized cost		Financial instruments measured at amortized cost		Total carrying amount		Total fair value
Financial assets
Interest-bearing deposits with banks	$	–		$	84,468	$	–	$	–	$	23,543	$	23,543	$	108,011	$	108,011
Securities
Trading		138,507			9,698		–		–		–		–		148,205		148,205
Investment, net of applicable allowance		–			–		92,063		828		77,127		70,073		170,018		162,964
		138,507			9,698		92,063		828		77,127		70,073		318,223		311,169
Assets purchased under reverse repurchase agreements and securities borrowed		264,665			–		–		–		53,180		53,180		317,845		317,845
Loans, net of applicable allowance
Retail		73			375		218		–		546,767		521,428		547,433		522,094
Wholesale		6,914			3,222		563		–		261,833		253,816		272,532		264,515
		6,987			3,597		781		–		808,600		775,244		819,965		786,609
Other
Derivatives		154,439			–		–		–		–		–		154,439		154,439
Other assets (1)		3,377			–		–		–		73,084		73,084		76,461		76,461
Financial liabilities
Deposits
Personal	$	298		$	21,959					$	382,675	$	380,396	$	404,932	$	402,653
Business and government (2)		447			152,119						607,304		605,102		759,870		757,668
Bank (3)		–			7,196						36,816		36,758		44,012		43,954
		745			181,274						1,026,795		1,022,256		1,208,814		1,204,275
Other
Obligations related to securities sold short		35,511			–						–		–		35,511		35,511
Obligations related to assets sold under repurchase agreements and securities loaned		–			248,835						25,112		25,112		273,947		273,947
Derivatives		153,491			–						–		–		153,491		153,491
Other liabilities (4)		(360	)		69						90,348		90,160		90,057		89,869
Subordinated debentures		–			–						10,025		9,668		10,025		9,668


	As at October 31, 2021
	Carrying value and fair value								Carrying value		Fair value

(Millions of Canadian dollars)	Financial instruments classified as FVTPL		Financial instruments designated as FVTPL		Financial instruments classified as FVOCI		Financial instruments designated as FVOCI		Financial instruments measured at amortized cost		Financial instruments measured at amortized cost		Total carrying amount		Total fair value
Financial assets
Interest-bearing deposits with banks	$	–	$	56,896	$	–	$	–	$	22,742	$	22,742	$	79,638	$	79,638
Securities
Trading		125,801		13,439		–		–		–		–		139,240		139,240
Investment, net of applicable allowance		–		–		77,802		533		67,149		66,823		145,484		145,158
		125,801		13,439		77,802		533		67,149		66,823		284,724		284,398
Assets purchased under reverse repurchase agreements and securities borrowed		265,011		–		–		–		42,892		42,892		307,903		307,903
Loans, net of applicable allowance
Retail		–		241		327		–		500,621		502,277		501,189		502,845
Wholesale		8,428		2,769		813		–		204,376		204,683		216,386		216,693
		8,428		3,010		1,140		–		704,997		706,960		717,575		719,538
Other
Derivatives		95,541		–		–		–		–		–		95,541		95,541
Other assets (1)		4,109		–		–		–		58,483		58,483		62,592		62,592
Financial liabilities
Deposits
Personal	$	321	$	18,328					$	343,839	$	344,040	$	362,488	$	362,689
Business and government (2)		739		131,630						563,984		565,106		696,353		697,475
Bank (3)		–		17,251						24,739		24,743		41,990		41,994
		1,060		167,209						932,562		933,889		1,100,831		1,102,158
Other
Obligations related to securities sold short		37,841		–						–		–		37,841		37,841
Obligations related to assets sold under repurchase agreements and securities loaned		–		236,147						26,054		26,054		262,201		262,201
Derivatives		91,439		–						–		–		91,439		91,439
Other liabilities (4)		654		171						64,746		64,749		65,571		65,574
Subordinated debentures		–		–						9,593		9,601		9,593		9,601

(1)

Includes Customers’ liability under acceptances and financial instruments recognized in Other assets.

(2)

Business and government deposits include deposits from regulated deposit-taking institutions other than banks.

(3)

Bank deposits refer to deposits from regulated banks and central banks.

(4)

Includes Acceptances and financial instruments recognized in Other liabilities.

Summary of Liabilities Designated as at Fair Value through Profit or Loss

Financial liabilities designated as fair value through profit or loss

For our financial liabilities designated as FVTPL, we take into account changes in our own credit spread and the expected duration of the instrument to measure the change in fair value attributable to changes in credit risk.



	As at or for the year ended October 31, 2022 (1)

	Contractual maturity amount		Carrying value		Difference between carrying value and contractual maturity amount			Changes in fair value attributable to changes in credit risk included in OCI for positions still held
(Millions of Canadian dollars)	Contractual maturity amount		Carrying value					During the period			Cumulative (2)
Term deposits
Personal	$	22,328	$	21,959	$	(369	)	$	(238	)	$	(166	)
Business and government (3)		160,775		152,119		(8,656	)		(2,135	)		(1,718	)
Bank (4)		7,208		7,196		(12	)		–			–
		190,311		181,274		(9,037	)		(2,373	)		(1,884	)
Obligations related to assets sold under repurchase agreements and securities loaned		248,963		248,835		(128	)		1			1
Other liabilities		69		69		–			–			–
	$	439,343	$	430,178	$	(9,165	)	$	(2,372	)	$	(1,883	)



	As at or for the year ended October 31, 2021 (1)

	Contractual maturity amount		Carrying value		Difference between carrying value and contractual maturity amount			Changes in fair value attributable to changes in credit risk included in OCI for positions still held
(Millions of Canadian dollars)	Contractual maturity amount		Carrying value					During the period			Cumulative (2)
Term deposits
Personal	$	18,205	$	18,328	$	123		$	(17	)	$	72
Business and government (3)		131,830		131,630		(200	)		(75	)		416
Bank (4)		17,253		17,251		(2	)		–			–
		167,288		167,209		(79	)		(92	)		488
Obligations related to assets sold under repurchase agreements and securities loaned		236,164		236,147		(17	)		(8	)		–
Other liabilities		171		171		–			–			–
	$	403,623	$	403,527	$	(96	)	$	(100	)	$	488

(1)

$97 million in changes in fair value attributable to changes in credit risk were recognized in income for the year ended October 31, 2022, and $97 million in cumulative changes in credit risk were included in income for positions still held life-to-date (October 31, 2021 – $nil and $nil respectively).

(2)

The cumulative change is measured from the initial designation of the liabilities as FVTPL. For the year ended October 31, 2022, $3

million of fair value gains previously included in OCI relate to financial liabilities derecognized during the year (October 31, 2021

– $25 million of fair value losses).

(3)

Business and government term deposits include amounts from regulated deposit-taking institutions other than regulated banks.

(4)

Bank term deposits refer to amounts from regulated banks and central banks.

Summary of Net Gains (Losses) From Financial Instruments Classified and Designated as at Fair Value Through Profit or Loss

Financial instruments classified as FVTPL, which includes mainly trading securities, derivatives, trading liabilities, and financial assets and liabilities designated as FVTPL are measured at fair value with realized and unrealized gains and losses recognized in

Non-interest

income.


	For the year ended

(Millions of Canadian dollars)	October 31 2022			October 31 2021
Net gains (losses) (1)
Classified as fair value through profit or loss (2)	$	(7,382	)	$	3,447
Designated as fair value through profit or loss (3)		8,543			(1,407	)
	$	1,161		$	2,040
By product line (1)
Interest rate and credit (4)	$	1,251		$	1,033
Equities		(843	)		57
Foreign exchange and commodities		753			950
	$	1,161		$	2,040

(1)

Excludes the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of Income: Net losses from financial instruments designated as FVTPL of

$2,805

million (October 31, 2021 – losses of $14 million).

(2)

Excludes derivatives designated in a hedging relationship. Refer to Note 9 for net gains (losses) on these derivatives.

(3)

For the year ended October 31, 2022, $8,536

million of net fair value gains on financial liabilities designated as FVTPL, other than those attributable to changes in our own credit risk, were included in

Non-interest

income (October 31, 2021 – losses of $1,408 million).

(4)

Includes gains (losses) recognized on cross currency interest rate swaps.

Summary of Net Interest Income From Financial Instruments

Interest and dividend income arising from financial assets and financial liabilities and the associated costs of funding are reported in Net interest income.


	For the year ended
(Millions of Canadian dollars)	October 31 2022		October 31 2021
Interest and dividend income (1), (2)
Financial instruments measured at fair value through profit or loss	$	10,999	$	4,551
Financial instruments measured at fair value through other comprehensive income		1,177		375
Financial instruments measured at amortized cost		28,595		23,219
		40,771		28,145
Interest expense (1)
Financial instruments measured at fair value through profit or loss	$	8,336	$	2,865
Financial instruments measured at amortized cost (3)		9,718		5,278
		18,054		8,143
Net interest income	$	22,717	$	20,002

(1)

Excludes

the following amounts related to our insurance operations and included in Insurance premiums, investment and fee income in the Consolidated Statements of Income: Interest income of $601 million (October 31, 2021 – $576 million), and Interest expense of $6 million (October 31, 2021 – $4 million).

(2)

Includes dividend income for the year ended October 31, 2022 of $2,954 million (October 31, 2021 – $2,436 million), which is presented in Interest and dividend income in the Consolidated Statements of Income.

(3)

Includes interest expense on lease liabilities for the year ended October 31, 2022 of $112

million (October 31, 2021

– $110 million).

Summary of Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring Basis and Classified Using Fair Value Hierarchy

Fair value of assets and liabilities measured at fair value on a recurring basis and classified using the fair value hierarchy


	As at
	October 31, 2022														October 31, 2021
	Fair value measurements using								Netting adjustments			Fair value			Fair value measurements using								Netting adjustments			Fair value
(Millions of Canadian dollars)		Level 1		Level 2			Level 3		Netting adjustments			Fair value				Level 1		Level 2			Level 3		Netting adjustments			Fair value
Financial assets
Interest-bearing deposits with banks	$	–	$	84,468		$	–		$			$	84,468		$	–	$	56,896		$	–		$			$	56,896
Securities
Trading
Debt issued or guaranteed by:
Canadian government (1)
Federal		15,024		3,779			–						18,803			8,977		2,380			–						11,357
Provincial and municipal		–		13,257			–						13,257			–		11,068			–						11,068
U.S. federal, state, municipal and agencies (1) , (2)		1,254		35,570			4						36,828			215		22,738			25						22,978
Other OECD government ( 3 )		1,325		3,452			–						4,777			2,729		5,730			–						8,459
Mortgage-backed securities (1)		–		2			–						2			–		4			–						4
Asset-backed securities
Non-CDO securities ( 4 )		–		1,308			2						1,310			–		891			2						893
Corporate debt and other debt		–		21,162			7						21,169			–		23,085			25						23,110
Equities		46,592		3,593			1,874						52,059			56,826		3,015			1,530						61,371
		64,195		82,123			1,887						148,205			68,747		68,911			1,582						139,240
Investment
Debt issued or guaranteed by:
Canadian government (1)
Federal		1,226		2,555			–						3,781			1,973		1,730			–						3,703
Provincial and municipal		–		2,124			–						2,124			–		3,132			–						3,132
U.S. federal, state, municipal and agencies (1) , (2)		440		43,918			–						44,358			12		34,815			–						34,827
Other OECD government		–		5,144			–						5,144			–		5,956			–						5,956
Mortgage-backed securities (1)		–		2,860			28						2,888			–		2,727			20						2,747
Asset-backed securities
CDO		–		7,524			–						7,524			–		7,074			–						7,074
Non-CDO securities		–		524			–						524			–		586			–						586
Corporate debt and other debt		–		25,569			151						25,720			–		19,625			152						19,777
Equities		36		395			397						828			46		153			334						533
		1,702		90,613			576						92,891			2,031		75,798			506						78,335
Assets purchased under reverse repurchase agreements and securities borrowed		–		264,665			–						264,665			–		265,011			–						265,011
Loans		–		9,673			1,692						11,365			–		11,501			1,077						12,578
Other
Derivatives
Interest rate contracts		–		39,804			263						40,067			–		33,857			320						34,177
Foreign exchange contracts		–		99,424			13						99,437			–		41,224			74						41,298
Credit derivatives		–		388			–						388			–		34			–						34
Other contracts		3,939		14,786			62						18,787			3,175		17,955			26						21,156
Valuation adjustments		–		(2,100	)		45						(2,055	)		–		(819	)		9						(810	)
Total gross derivatives		3,939		152,302			383						156,624			3,175		92,251			429						95,855
Netting adjustments										(2,185	)		(2,185	)										(314	)		(314	)
Total derivatives													154,439														95,541
Other assets		1,221		2,141			15						3,377			1,474		2,635			–						4,109
	$	71,057	$	685,985		$	4,553		$	(2,185	)	$	759,410		$	75,427	$	573,003		$	3,594		$	(314	)	$	651,710
Financial liabilities
Deposits
Personal	$	–	$	22,016		$	241		$			$	22,257		$	–	$	18,498		$	151		$			$	18,649
Business and government		–		152,566			–						152,566			–		132,369			–						132,369
Bank		–		7,196			–						7,196			–		17,251			–						17,251
Other
Obligations related to securities sold short		16,383		19,128			–						35,511			18,345		19,496			–						37,841
Obligations related to assets sold under repurchase agreements and securities loaned		–		248,835			–						248,835			–		236,147			–						236,147
Derivatives
Interest rate contracts		–		39,592			1,122						40,714			–		28,566			955						29,521
Foreign exchange contracts		–		94,310			145						94,455			–		40,484			27						40,511
Credit derivatives		–		125			–						125			–		120			–						120
Other contracts		3,847		16,663			847						21,357			3,699		17,456			419						21,574
Valuation adjustments		–		(967	)		(8	)					(975	)		–		38			(11	)					27
Total gross derivatives		3,847		149,723			2,106						155,676			3,699		86,664			1,390						91,753
Netting adjustments										(2,185	)		(2,185	)										(314	)		(314	)
Total derivatives													153,491														91,439
Other liabilities		341		(632	)		–						(291	)		258		560			7						825
	$	20,571	$	598,832		$	2,347		$	(2,185	)	$	619,565		$	22,302	$	510,985		$	1,548		$	(314	)	$	534,521

(1)

As at October 31, 2022, residential and commercial mortgage-backed securities (MBS) included in all fair value levels of trading securities were $12,273 million and $nil (October 31, 2021 – $13,124 million and $nil), respectively, and in all fair value levels of Investment securities were $23,362 million and $2,755 million (October 31, 2021 – $13,542 million and $2,592 million), respectively.

(2)

United States (U.S.).

(3)

Organisation for Economic

Co-operation

and Development (OECD).

(4)

Collateralized debt obligations (CDO).

Summary of Quantitative Information about Fair Value Measurements Using Significant Unobservable Inputs (Level 3 Instruments)

The following table presents fair values of our significant Level 3 financial instruments,

aluation techniques used to determine their fair values, ranges and weighted averages of unobservable inputs.



As at October 31, 2022 (Millions of Canadian dollars, except for prices, percentages and ratios)
		Fair value						Range of input values (1), (2)

Products	Reporting line in the fair value hierarchy table	Assets		Liabilities		Valuation techniques	Significant unobservable inputs (3)	Low		High		Weighted average / Inputs distribution
Corporate debt and related derivatives						Price-based	Prices	$	1.00	$	111.90	$	85.64
	Corporate debt and other debt	$	7			Discounted cash flows	Credit spread		1.67%		10.73%		6.20%
	Loans		1,692				Credit enhancement		11.70%		15.60%		13.00%
	Derivative related liabilities			$	130
Government debt and municipal bonds
Government debt and municipal bonds	Corporate debt and other debt		151			Discounted cash flows	Yields		7.85%		10.72%		8.92%
Private equities, hedge fund investments and related equity derivatives						Market comparable	EV/EBITDA multiples		3.97X		14.31X		8.59X
	Equities		2,271			Price-based	P/E multiples		8.47X		24.04X		12.46X
	Derivative related liabilities				2	Discounted cash flows	EV/Rev multiples		0.35X		5.77X		3.88X
							Liquidity discounts (4)		10.00%		40.00%		17.35%
							Discount rate		10.80%		10.80%		10.80%
							NAV / prices (5)		n.a.		n.a.		n.a.
Interest rate derivatives and interest-rate-linked structured notes (6), (7)						Discounted cash flows	Interest rates		1.88%		4.49%		High
	Derivative related assets		270			Option pricing model	CPI swap rates		1.98%		2.59%		Even
	Derivative related liabilities				1,216		IR-IR correlations		19.00%		67.00%		Even
							FX-IR correlations		29.00%		56.00%		Even
							FX-FX correlations		68.00%		68.00%		Even
Equity derivatives and equity-linked structured notes (6), (7)						Discounted cash flows	Dividend yields		(0.63)%		8.28%		Lower
	Derivative related assets		62			Option pricing model	Equity (EQ)-EQ correlations		33.00%		94.90%		Middle
	Deposits				241		EQ-FX correlations		(83.15)%		38.44%		Middle
	Derivative related liabilities				655		EQ volatilities		7.00%		129.00%		Upper
Other (8)
	Asset-backed securities		2
	Derivative related assets		51
	Other assets		15
	Mortgage-backed securities		28
	U.S. state, municipal and agencies debt		4
	Derivative related liabilities				103
	Other liabilities				–
Total		$	4,553	$	2,347



As at October 31, 2021 (Millions of Canadian dollars, except for prices, percentages and ratios)
		Fair value						Range of input values (1), (2)
Products	Reporting line in the fair value hierarchy table	Assets		Liabilities		Valuation techniques	Significant unobservable inputs (3)	Low		High		Weighted average / Inputs distribution
Corporate debt and related derivatives						Price-based	Prices	$	29.18	$	127.09	$	96.36
	Corporate debt and other debt	$	27			Discounted cash flows	Credit spread		1.15%		6.92%		4.04%
	Loans		1,077				Credit enhancement		11.92%		15.90%		13.25%
	Derivative related liabilities			$	9
Government debt and municipal bonds
Government debt and municipal bonds	Corporate debt and other debt		150			Discounted cash flows	Yields		3.91 %		8.17%		5.91%
Private equities, hedge fund investments and related equity derivatives						Market comparable	EV/EBITDA multiples		8.82X		26.00X		9.16X
	Equities		1,864			Price-based	P/E multiples		9.40X		38.00X		10.96X
	Derivative related liabilities				2	Discounted cash flows	EV/Rev multiples		1.14X		20.80X		5.40X
							Liquidity discounts (4)		10.00%		40.00%		16.40%
							Discount rate		10.65%		10.65%		10.65%
							NAV / prices (5)		n.a.		n.a.		n.a.
Interest rate derivatives and interest-rate-linked structured notes (6), (7)						Discounted cash flows	Interest rates		0.13%		2.46%		High
	Derivative related assets		367			Option pricing model	CPI swap rates		1.76%		2.42%		Even
	Derivative related liabilities				974		IR-IR correlations		19.00%		67.00%		Even
							FX-IR correlations		29.00%		56.00%		Even
							FX-FX correlations		68.00%		68.00%		Even
Equity derivatives and equity-linked structured notes (6), (7)						Discounted cash flows	Dividend yields		0.00%		6.37%		Lower
	Derivative related assets		25			Option pricing model	Equity (EQ)-EQ correlations		32.00%		95.00%		Middle
	Deposits				151		EQ-FX correlations		(60.60)%		27.30%		Middle
	Derivative related liabilities				381		EQ volatilities		8.00%		128.00%		Upper
Other (8)
	Asset-backed securities		2
	Derivative related assets		37
	Other assets		–
	Mortgage-backed securities		20
	U.S. state, municipal and agencies debt		25
	Derivative related liabilities				24
	Other liabilities				7
Total		$	3,594	$	1,548

(1)

The low and high input values represent the actual highest and lowest level inputs used to value a group of financial instruments in a particular product category. These input ranges do not reflect the level of input uncertainty, but are affected by the different underlying instruments within the product category. The input ranges will therefore vary from period to period based on the characteristics of the underlying instruments held at each balance sheet date. Where provided, the weighted average of the input values is calculated based on the relative fair values of the instruments within the product category. The weighted averages for derivatives are not presented in the table as they would not provide a comparable metric; instead, distribution of significant unobservable inputs within the range for each product category is indicated in the table.

(2)

Price-based inputs are significant for certain debt securities and are based on external benchmarks, comparable proxy instruments or

pre-quarter-end

trade data. For these instruments, the price input is expressed in dollars for each $100 par value. For example, with an input price of $105, an instrument is valued at a premium over its par value.

(3)

The significant unobservable inputs include the following: (i) Enterprise Value (EV); (ii) Earnings Before Interest, Taxes, Depreciation and Amortization (EBITDA); (iii) Price / Earnings (P/E); (iv) Revenue (Rev); (v) Consumer Price Index (CPI); (vi) Interest Rate (IR); (vii) Foreign Exchange (FX); and (viii) Equity (EQ).

(4)

Fair value of securities with liquidity discount inputs totalled $373 million (October 31, 2021 – $385 million).

(5)

NAV of a hedge fund is total fair value of assets less liabilities divided by the number of fund units. Private equities are valued based on NAV or valuation techniques. The range for NAV per unit or price per share has not been disclosed for the hedge funds or private equities due to the dispersion of prices given the diverse nature of the investments.

(6)

The level of aggregation and diversity within each derivative instrument category may result in certain ranges of inputs being wide and inputs being unevenly distributed across the range. In the table, we indicated whether the majority of the inputs are concentrated toward the upper, middle, or lower end of the range, or evenly distributed throughout the range.

(7)

The structured notes contain embedded equity or interest rate derivatives with unobservable inputs that are similar to those of the equity or interest rate derivatives.

(8)

Other primarily includes certain insignificant instruments such as auction rate securities, commodity derivatives, foreign exchange derivatives, contingent considerations, bank-owned life insurance and retractable shares.

n.a.

not applicable

Changes in Fair Value Measurement for Instruments Measured on a Recurring Basis and Categorized in Level 3

Changes in fair value measurement for instruments measured on a recurring basis and categorized in Level 3


	For the year ended October 31, 2022

(Millions of Canadian dollars)	Fair value at beginning of period			Gains (losses) included in earnings			Gains (losses) included in OCI (1)			Purchases (issuances)			Settlement (sales) and other (2)			Transfers into Level 3			Transfers out of Level 3			Fair value at end of period			Gains (losses) included in earnings for positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies	$	25		$	–		$	2		$	–		$	(23	)	$	–		$	–		$	4		$	–
Asset-backed securities
Non-CDO securities		2			–			–			–			–			–			–			2			–
Corporate debt and other debt		25			(3	)		–			–			(6	)		9			(18	)		7			–
Equities		1,530			14			100			314			(82	)		1			(3	)		1,874			43
		1,582			11			102			314			(111	)		10			(21	)		1,887			43
Investment
Mortgage-backed securities		20			–			8			–			–			–			–			28			n.a.
Corporate debt and other debt		152			–			2			–			–			–			(3	)		151			n.a.
Equities		334			–			51			11			(1	)		37			(35	)		397			n.a.
		506			–			61			11			(1	)		37			(38	)		576			n.a.
Loans		1,077			(25	)		(37	)		407			(466	)		802			(66	)		1,692			(78	)
Other
Net derivative balances (3)
Interest rate contracts		(635	)		(187	)		(5	)		17			64			(13	)		(100	)		(859	)		(16	)
Foreign exchange contracts		47			(103	)		(2	)		(22	)		3			5			(60	)		(132	)		(90	)
Other contracts		(393	)		165			(34	)		(245	)		70			(406	)		58			(785	)		271
Valuation adjustments		20			–			–			25			(11	)		19			–			53			–
Other assets		–			–			1			15			(1	)		–			–			15			–
	$	2,204		$	(139	)	$	86		$	522		$	(453	)	$	454		$	(227	)	$	2,447		$	130
Liabilities
Deposits	$	(151	)	$	2		$	(3	)	$	(120	)	$	26		$	(143	)	$	148		$	(241	)	$	19
Other
Other liabilities		(7	)		(1	)		–			–			8			–			–			–			–
	$	(158	)	$	1		$	(3	)	$	(120	)	$	34		$	(143	)	$	148		$	(241	)	$	19

	For the year ended October 31, 2021

(Millions of Canadian dollars)	Fair value at beginning of period			Gains (losses) included in earnings			Gains (losses) included in OCI (1)			Purchases (issuances)			Settlement (sales) and other (2)			Transfers into Level 3			Transfers out of Level 3			Fair value at end of period			Gains (losses) included in earnings for positions still held
Assets
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies	$	44		$	–		$	(2	)	$	–		$	(17	)	$	–		$	–		$	25		$	1
Asset-backed securities
Non-CDO securities		2			–			–			–			–			–			–			2			–
Corporate debt and other debt		30			(2	)		–			12			(5	)		14			(24	)		25			(1	)
Equities		1,261			96			(60	)		338			(125	)		26			(6	)		1,530			164
		1,337			94			(62	)		350			(147	)		40			(30	)		1,582			164
Investment
Mortgage-backed securities		27			–			(7	)		–			–			–			–			20			n.a.
Corporate debt and other debt		160			–			(12	)		–			4			–			–			152			n.a.
Equities		335			–			34			5			(2	)		–			(38	)		334			n.a.
		522			–			15			5			2			–			(38	)		506			n.a.
Loans		1,070			(5	)		(19	)		264			(8	)		73			(298	)		1,077			30
Other
Net derivative balances (3)
Interest rate contracts		(588	)		84			(1	)		5			(109	)		(4	)		(22	)		(635	)		84
Foreign exchange contracts		22			14			–			38			(25	)		7			(9	)		47			1
Other contracts		(301	)		(20	)		11			(142	)		102			(276	)		233			(393	)		(10	)
Valuation adjustments		40			–			–			6			(26	)		–			–			20			–
Other assets		53			(39	)		(2	)		–			(12	)		–			–			–			–
	$	2,155		$	128		$	(58	)	$	526		$	(223	)	$	(160	)	$	(164	)	$	2,204		$	269
Liabilities
Deposits	$	(139	)	$	(66	)	$	5		$	(191	)	$	51		$	(154	)	$	343		$	(151	)	$	6
Other
Other liabilities		(38	)		22			1			–			8			–			–			(7	)		23
	$	(177	)	$	(44	)	$	6		$	(191	)	$	59		$	(154	)	$	343		$	(158	)	$	29

(1)

These amounts include the foreign currency translation gains or losses arising on consolidation of foreign subsidiaries relating to the Level 3 instruments, where applicable. The unrealized gains on Investment securities recognized in OCI were

$50 million for the year ended October 31, 2022 (October 31, 2021 – gains of $46 million) excluding the translation gains or losses arising on consolidation.

(2)

Other includes amortization of premiums or discounts recognized in net income.

(3)

Net derivatives as at October 31, 2022 included derivative assets of $383 million (October 31, 2021 – $429 million) and derivative liabilities of $2,106 million (October 31, 2021 – $1,390 million).

n.a.

not applicable

Summary of Positive and Negative Fair Value Movement of Level 3 Financial Instruments from Using Reasonably Possible Alternative Assumptions

The following table summarizes the impacts to fair values of Level 3 financial instruments using reasonably possible alternative assumptions. This sensitivity disclosure is intended to illustrate the potential impact of the relative uncertainty in the fair value of Level 3 financial instruments. In reporting the sensitivities below, we offset balances in instances where: (i) the move in valuation factors cause an offsetting positive and negative fair value movement, (ii) both offsetting instruments are in Level 3, and (iii) exposures are managed and reported on a net basis. With respect to overall sensitivity, it is unlikely in practice that all reasonably possible alternative assumptions would simultaneously be realized.


	As at
	October 31, 2022								October 31, 2021

(Millions of Canadian dollars)	Level 3 fair value			Positive fair value movement from using reasonably possible alternatives		Negative fair value movement from using reasonably possible alternatives			Level 3 fair value			Positive fair value movement from using reasonably possible alternatives		Negative fair value movement from using reasonably possible alternatives
Securities
Trading
Debt issued or guaranteed by:
U.S. state, municipal and agencies	$	4		$	–	$	–		$	25		$	–	$	(1	)
Asset-backed securities		2			–		–			2			–		–
Corporate debt and other debt		7			–		–			25			1		(1	)
Equities		1,874			27		(23	)		1,530			19		(16	)
Investment
Mortgage-backed securities		28			4		(4	)		20			4		(4	)
Corporate debt and other debt		151			12		(10	)		152			14		(13	)
Equities		397			38		(39	)		334			33		(34	)
Loans		1,692			60		(62	)		1,077			23		(24	)
Derivatives		383			5		(3	)		429			7		(5	)
Other assets		15			–		–			–			–		–
	$	4,553		$	146	$	(141	)	$	3,594		$	101	$	(98	)
Deposits	$	(241	)	$	9	$	(9	)	$	(151	)	$	–	$	–
Derivatives		(2,106	)		55		(57	)		(1,390	)		30		(77	)
Other
Other liabilities		–			–		–			(7	)		–		–
	$	(2,347	)	$	64	$	(66	)	$	(1,548	)	$	30	$	(77	)

Summary of Fair Value for Financial Instruments Carried at Amortized Cost and Classified Using the Fair Value Hierarchy

Fair value for financial instruments that are carried at amortized cost and classified using the fair value hierarchy


	As at October 31, 2022
	Fair value approximates carrying value (1)		Fair value may not approximate carrying value
			Fair value measurements using								Total fair value
(Millions of Canadian dollars)			Level 1		Level 2		Level 3		Total		Total fair value
Interest-bearing deposits with banks	$	23,543	$	–	$	–	$	–	$	–	$	23,543
Amortized cost securities (2)		–		–		70,073		–		70,073		70,073
Assets purchased under reverse repurchase agreements and securities borrowed		42,224		–		10,956		–		10,956		53,180
Loans
Retail		70,162		–		446,809		4,457		451,266		521,428
Wholesale		17,943		–		230,880		4,993		235,873		253,816
		88,105		–		677,689		9,450		687,139		775,244
Other assets		72,198		–		716		170		886		73,084
		226,070		–		759,434		9,620		769,054		995,124
Deposits
Personal		271,414		–		108,549		433		108,982		380,396
Business and government		406,045		–		198,265		792		199,057		605,102
Bank		22,638		–		14,120		–		14,120		36,758
		700,097		–		320,934		1,225		322,159		1,022,256
Obligations related to assets sold under repurchase agreements and securities loaned		25,112		–		–		–		–		25,112
Other liabilities		77,801		–		1,554		10,805		12,359		90,160
Subordinated debentures		–		–		9,608		60		9,668		9,668
	$	803,010	$	–	$	332,096	$	12,090	$	344,186	$	1,147,196

	As at October 31, 2021
	Fair value approximates carrying value (1)		Fair value may not approximate carrying value
			Fair value measurements using								Total fair value
(Millions of Canadian dollars)			Level 1		Level 2		Level 3		Total		Total fair value
Interest-bearing deposits with banks	$	22,742	$	–	$	–	$	–	$	–	$	22,742
Amortized cost securities (2)		–		1,025		65,798		–		66,823		66,823
Assets purchased under reverse repurchase agreements and securities borrowed		31,368		–		11,524		–		11,524		42,892
Loans
Retail		68,377		–		429,672		4,228		433,900		502,277
Wholesale		16,228		–		184,055		4,400		188,455		204,683
		84,605		–		613,727		8,628		622,355		706,960
Other assets		57,859		–		489		135		624		58,483
		196,574		1,025		691,538		8,763		701,326		897,900
Deposits
Personal		272,675		–		70,908		457		71,365		344,040
Business and government		418,185		–		146,334		587		146,921		565,106
Bank		16,943		–		7,792		8		7,800		24,743
		707,803		–		225,034		1,052		226,086		933,889
Obligations related to assets sold under repurchase agreements and securities loaned		26,054		–		–		–		–		26,054
Other liabilities		55,495		–		1,256		7,998		9,254		64,749
Subordinated debentures		–		–		9,545		56		9,601		9,601
	$	789,352	$	–	$	235,835	$	9,106	$	244,941	$	1,034,293

(1)

Certain financial instruments have not been assigned to a level as the carrying amount approximates their fair values.

(2)

Included in Securities – Investment, net of applicable allowance on the Consolidated Balance Sheets.