Fair Value Measurements |
6 Months Ended |
|---|---|
Apr. 30, 2026 | |
| Fair Value Measurements [Abstract] | |
| Fair Value Measurements | NOTE 4: FAIR VALUE MEASUREMENTS There have been no significant changes to ended April 30, 2026. (a) The following table reflects the fair value Financial Assets and Liabilities not carried 1 (millions of Canadian dollars) As at April 30, 2026 October 31, 2025 Carrying Fair Carrying Fair value value value value FINANCIAL ASSETS Debt securities at amortized cost, net of allowance Government and government-related $ 175,268 $ 174,211 $ 183,593 $ 182,478 Other debt securities 63,409 63,171 56,846 56,679 Total debt securities at amortized cost, net of allowance for credit losses 238,677 237,382 240,439 239,157 Total loans, net of allowance for loan losses 964,289 965,599 953,012 956,424 Total financial assets not carried at fair value $ 1,202,966 $ 1,202,981 $ 1,193,451 $ 1,195,581 FINANCIAL LIABILITIES Deposits $ 1,243,431 $ 1,242,629 $ 1,267,104 $ 1,267,466 Securitization liabilities at amortized 16,017 15,973 14,841 14,805 Subordinated notes and debentures 10,345 10,422 10,733 10,929 Total financial liabilities not carried at fair value $ 1,269,793 $ 1,269,024 $ 1,292,678 $ 1,293,200 This table excludes financial assets and liabilities where the carrying value approximates their fair value. (b) FAIR VALUE HIERARCHY The following table presents the levels within April 30, 2026 and October 31, 2025. Fair Value Hierarchy for Assets and Liabilities Measured at Fair Value on a Recurring Basis (millions of Canadian dollars) As at April 30, 2026 October 31, 2025 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total FINANCIAL ASSETS AND COMMODITIES Trading loans, securities, and other 1 Government and government-related securities Canadian government debt Federal $ 3,767 $ 4,323 $ – $ 8,090 $ 4,892 $ 3,875 $ – $ 8,767 Provinces – 5,939 – 5,939 – 4,537 – 4,537 U.S. federal, state, municipal governments, 4,276 24,255 – 28,531 2,973 20,811 – 23,784 Other OECD 2 189 6,502 – 6,691 283 5,818 – 6,101 Mortgage-backed securities – 794 – 794 – 768 – 768 Other debt securities Canadian issuers – 7,583 48 7,631 – 6,695 67 6,762 Other issuers – 17,607 – 17,607 – 16,508 – 16,508 Equity securities 92,306 280 25 92,611 87,713 171 25 87,909 Trading loans – 30,114 426 30,540 – 30,032 – 30,032 Commodities 31,805 1,441 – 33,246 33,446 1,521 – 34,967 Retained interests – – – – – 1 – 1 132,343 98,838 499 231,680 129,307 90,737 92 220,136 Non-trading financial assets at fair value through profit or loss Securities 536 5,249 1,529 7,314 465 5,019 1,567 7,051 Loans – 780 1 781 – 344 – 344 536 6,029 1,530 8,095 465 5,363 1,567 7,395 Derivatives Interest rate contracts 6 9,749 11 9,766 6 10,990 8 11,004 Foreign exchange contracts 106 40,883 1 40,990 30 53,576 3 53,609 Credit contracts – 87 – 87 – 44 – 44 Equity contracts 179 16,305 – 16,484 162 12,534 – 12,696 Commodity and other contracts 735 6,709 64 7,508 752 4,867 – 5,619 1,026 73,733 76 74,835 950 82,011 11 82,972 Financial assets designated at fair value through profit or loss Securities 1 – 7,299 – 7,299 – 6,986 – 6,986 – 7,299 – 7,299 – 6,986 – 6,986 Financial assets at fair value through other comprehensive income Government and government-related securities Canadian government debt Federal 129 17,010 – 17,139 100 15,791 – 15,891 Provinces – 21,013 – 21,013 – 21,080 – 21,080 U.S. federal, state, municipal governments, 500 53,965 – 54,465 851 53,641 – 54,492 Other OECD government-guaranteed debt – 8,335 – 8,335 – 7,875 – 7,875 Mortgage-backed securities – 1,840 – 1,840 – 1,896 – 1,896 Other debt securities Asset-backed securities – 8,327 – 8,327 – 8,709 – 8,709 Corporate and other debt – 13,765 – 13,765 – 13,091 – 13,091 Equity securities 1,188 4 2,143 3,335 1,136 – 1,911 3,047 Loans – 393 – 393 – 288 – 288 1,817 124,652 2,143 128,612 2,087 122,371 1,911 126,369 Securities purchased under reverse repurchase agreements – 6,901 – 6,901 – 7,574 – 7,574 FINANCIAL LIABILITIES Trading deposits – 39,150 158 39,308 – 37,609 273 37,882 Derivatives Interest rate contracts 4 9,763 88 9,855 6 9,572 76 9,654 Foreign exchange contracts 75 33,505 2 33,582 24 42,496 5 42,525 Credit contracts – 378 – 378 – 440 – 440 Equity contracts – 23,570 107 23,677 – 19,528 155 19,683 Commodity and other contracts 1,190 5,822 28 7,040 806 6,193 55 7,054 1,269 73,038 225 74,532 836 78,229 291 79,356 Securitization liabilities at fair value – 26,028 – 26,028 – 25,283 – 25,283 Financial liabilities designated at fair value through profit or loss – 222,499 4 222,503 – 197,633 2 197,635 Obligations related to securities sold short 1 13,866 28,427 – 42,293 15,342 28,453 – 43,795 Obligations related to securities sold under repurchase agreements – 11,106 – 11,106 – 11,557 – 11,557 Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but 2 Organisation for Economic Co-operation and Development (OECD). (c) The Bank’s policy is to record transfers of assets reporting period. Assets and liabilities are market. Transfers Between Fair Value Hierarchy Levels (millions of Canadian dollars) For the three months ended April 30, 2026 April 30, 2025 Level 1 to Level 2 Level 2 to Level 1 Level 1 to Level 2 Level 2 to Level 1 Trading loans, securities, and other $ 1,874 $ 1,133 $ – $ 1,660 Financial assets at fair value through other income 498 627 – 3,584 Obligations related to securities sold 2,040 906 – 1,856 For the six months ended April 30, 2026 April 30, 2025 Level 1 to Level 2 Level 2 to Level 1 Level 1 to Level 2 Level 2 to Level 1 Trading loans, securities, and other $ 4,054 $ 1,641 $ – $ 1,972 Financial assets at fair value through other income 1,008 629 – 3,586 Obligations related to securities sold 3,102 1,965 – 910 There were no significant transfers between There were no significant changes to the unobservable April 30, 2026 and April 30, 2025. (d) RECONCILIATION OF CHANGES IN FAIR VALUE FOR LEVEL 3 ASSETS AND LIABILITIES The following tables set out changes in fair six months ended April 30, 2026 and April 30, Reconciliation of Changes in Fair Value for Level 3 Assets and Liabilities (millions of Canadian dollars) Change in unrealized Fair Total realized and Fair gains value as at unrealized gains (losses) Movements 1 Transfers value as at (losses) on February 1 Included Included Purchases/ Sales/ Into Out of April 30 instruments 2026 in income 2 in OCI 3,4 Issuances Settlements Level 3 Level 3 2026 still held 5 FINANCIAL ASSETS Trading loans, securities, and other Other debt securities $ 67 $ – $ – $ – $ (19) $ 1 $ (1) $ 48 $ (1) Equity securities 23 2 – – – – – 25 – Trading loans 179 (9) – 256 – – – 426 – 269 (7) – 256 (19) 1 (1) 499 (1) Non-trading financial assets at fair value through profit or loss Securities 1,622 39 (2) 50 (184) 4 – 1,529 22 Loans – – – 1 – – – 1 – 1,622 39 (2) 51 (184) 4 – 1,530 22 Financial assets at fair value through other comprehensive income Other debt securities – – – – – – – – – Equity securities 2,159 – 8 1 (25) – – 2,143 3 $ 2,159 $ – $ 8 $ 1 $ (25) $ – $ – $ 2,143 $ 3 FINANCIAL LIABILITIES Trading deposits 6 $ (224) $ 18 $ – $ (6) $ 53 $ – $ 1 $ (158) $ 20 Derivatives 7 Interest rate contracts (62) (15) – – – – – (77) (24) Foreign exchange contracts (1) – – – – – – (1) – Equity contracts (120) 19 – – (4) – (2) (107) 18 Commodity and other contracts (17) 25 – 4 – 24 – 36 25 (200) 29 – 4 (4) 24 (2) (149) 19 Financial liabilities designated at fair value through profit or loss – (7) – (3) 6 – – (4) 6 Change in unrealized Fair Total realized and Fair gains value as at unrealized gains (losses) Movements 1 Transfers value as at (losses) on November 1 Included Included Purchases/ Sales/ Into Out of April 30 instruments 2025 in income 2 in OCI 4 Issuances Settlements Level 3 Level 3 2026 still held 5 FINANCIAL ASSETS Trading loans, securities, and other Other debt securities $ 67 $ (1) $ – $ – $ (22) $ 5 $ (1) $ 48 $ (4) Equity securities 25 – – – – – – 25 – Trading loans – (123) – 549 – – – 426 – 92 (124) – 549 (22) 5 (1) 499 (4) Non-trading financial assets at fair value through profit or loss Securities 1,567 43 (6) 119 (198) 4 – 1,529 32 Loans – – – 1 – – – 1 – 1,567 43 (6) 120 (198) 4 – 1,530 32 Financial assets at fair value through other comprehensive income Other debt securities – – – – – – – – – Equity securities 1,911 – 149 171 (88) – – 2,143 8 $ 1,911 $ – $ 149 $ 171 $ (88) $ – $ – $ 2,143 $ 8 FINANCIAL LIABILITIES Trading deposits 6 $ (273) $ 39 $ – $ (6) $ 74 $ – $ 8 $ (158) $ 44 Derivatives 7 Interest rate contracts (68) (11) – – 2 – – (77) (16) Foreign exchange contracts (2) 4 – – – – (3) (1) – Equity contracts (155) 21 – – (5) 1 31 (107) 27 Commodity and other contracts (55) 64 – 4 (1) 24 – 36 76 (280) 78 – 4 (4) 25 28 (149) 87 Financial liabilities designated at fair value through profit or loss (2) (2) – (9) 9 – – (4) (2) Includes foreign exchange. 2 3 4 5 6 7 76 25 11 225 (January 31, 2026/February 1, 2026 – $ 225 291 Reconciliation of Changes in Fair Value for Level 3 Assets and Liabilities (millions of Canadian dollars) Change in unrealized Fair Total realized and Fair gains value as at unrealized gains (losses) Movements 1 Transfers value as at (losses) on February 1 Included Included Purchases/ Sales/ Into Out of April 30 instruments 2025 in income 2 in OCI 3 Issuances Settlements Level 3 Level 3 2025 still held 4 FINANCIAL ASSETS Trading loans, securities, and other Other debt securities $ 11 $ – $ – $ – $ (7) $ 2 $ – $ 6 $ – Equity securities 8 – – 20 – – – 28 – 19 – – 20 (7) 2 – 34 – Non-trading financial assets at fair value through profit or loss Securities 1,287 (40) – 39 (20) – (13) 1,253 (43) 1,287 (40) – 39 (20) – (13) 1,253 (43) Financial assets at fair value through other comprehensive income Other debt securities 3 – – – (3) – – – (3) Equity securities 3,174 – 3 1 (370) – – 2,808 (357) $ 3,177 $ – $ 3 $ 1 $ (373) $ – $ – $ 2,808 $ (360) FINANCIAL LIABILITIES Trading deposits 5 $ (459) $ 24 $ – $ (52) $ 103 $ – $ – $ (384) $ 27 Derivatives 6 Interest rate contracts (155) 74 – – – – – (81) 68 Foreign exchange contracts 21 (23) – – (1) 2 – (1) (8) Equity contracts (29) (98) – – – (4) – (131) (95) Commodity and other contracts (4) (16) – – – – – (20) (12) (167) (63) – – (1) (2) – (233) (47) Financial liabilities designated at fair value through profit or loss (1) 7 – (7) – – – (1) 7 Change in unrealized Fair Total realized and Fair gains value as at unrealized gains (losses) Movements 1 Transfers value as at (losses) on November 1 Included Included Purchases/ Sales/ Into Out of April 30 instruments 2024 in income 2 in OCI 3 Issuances Settlements Level 3 Level 3 2025 still held 4 FINANCIAL ASSETS Trading loans, securities, and other Other debt securities $ 26 $ – $ – $ – $ (22) $ 2 $ – $ 6 $ – Equity securities 12 1 – 22 (7) – – 28 – 38 1 – 22 (29) 2 – 34 – Non-trading financial assets at fair value through profit or loss Securities 1,233 (14) – 54 (37) 30 (13) 1,253 (30) 1,233 (14) – 54 (37) 30 (13) 1,253 (30) Financial assets at fair value through other comprehensive income Other debt securities 7 – – – (7) – – – – Equity securities 3,355 – 3 3 (553) – – 2,808 – $ 3,362 $ – $ 3 $ 3 $ (560) $ – $ – $ 2,808 $ – FINANCIAL LIABILITIES Trading deposits 5 $ (505) $ 28 $ – $ (124) $ 217 $ – $ – $ (384) $ 34 Derivatives 6 Interest rate contracts (158) 67 – – 10 – – (81) 70 Foreign exchange contracts 1 (16) – – 3 9 2 (1) (5) Equity contracts (24) (103) – – (2) (2) – (131) (102) Commodity and other contracts (10) (10) – – – – – (20) (9) (191) (62) – – 11 7 2 (233) (46) Financial liabilities designated at fair value through profit or loss (24) 6 – (14) 31 – – (1) 6 Includes foreign exchange. 2 3 4 5 6 32 38 30 265 (January 31, 2025/February 1, 2025 – $ 205 221 |