| Summary of Carrying Amount and Fair Value of Transferred Assets Did Not Qualify for Derecognition |
The following table provides information on the carrying amount and fair value of the transferred assets that did not qualify for derecognition, and their associated liabilities.
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October 31, 2021 |
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(Millions of Canadian dollars) |
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Canadian
residential
mortgage
loans (1), (2) |
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Securities
sold under
repurchase
agreements (3) |
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Canadian
residential
mortgage
loans (1), (2) |
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Securities
sold under
repurchase
agreements (3) |
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Carrying amount of transferred assets that do
not qualify for derecognition |
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$ |
34,052 |
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$ |
252,920 |
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$ |
9,281 |
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$ |
296,253 |
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Carrying amount of associated liabilities |
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33,769 |
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252,920 |
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9,281 |
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295,970 |
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Fair value of transferred assets |
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$ |
34,142 |
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$ |
252,920 |
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$ |
9,281 |
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$ |
296,343 |
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Fair value of associated liabilities |
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34,073 |
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252,920 |
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9,281 |
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296,274 |
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Fair value of net position |
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$ |
69 |
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$ |
– |
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$ |
– |
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$ |
69 |
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| (1) |
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Includes Canadian residential mortgage loans transferred primarily to Canada Housing Trust at the initial securitization and other permitted investments used for funding requirements after the initial securitization. |
| (2) |
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CMB investors have legal recourse only to the transferred assets, and do not have recourse to our general assets. |
| (3) |
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Does not include over-collateralization of assets pledged. |
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