Fair Value of Financial Instruments

9 Months Ended

Jul. 31, 2026

17.	Fair value of financial instruments

(a) Financial instruments designated at fair value through profit or loss

In accordance with its risk management strategy, the Bank has elected to designate certain senior note liabilities at fair value through profit or loss to reduce an accounting mismatch between fair value changes in these instruments and fair value changes in related derivatives, and where a hybrid financial liability contains one or more embedded derivatives that are not closely related to the host contract. Changes in fair value of financial liabilities arising from the Bank’s own credit risk are recognized in other comprehensive income, without subsequent reclassification to net income.

The cumulative fair value adjustment due to own credit risk is determined at a point in time by comparing the present value of expected future cash flows over the term of these liabilities discounted at the Bank’s effective funding rate, and the present value of expected future cash flows discounted at a benchmark rate.

The following table presents the fair value of liabilities designated at fair value through profit or loss and their changes in fair value.


	Fair value						Change in fair value (1) Gains/(Losses)							Cumulative change in fair value (2) Gains/(Losses)
	As at						For the three months ended							As at
($ millions)	July 31 2026		April 30 2026		July 31 2025		July 31 2026		April 30 2026		July 31 2025			July 31 2026		April 30 2026		July 31 2025
Liabilities
Senior note liabilities (3)	$	52,864	$	48,629	$	43,536	$	517	$	507	$	(1,633	)	$	4,189	$	3,672	$	4,604

(1)

Change in the difference between the contractual maturity amount and the carrying value.

(2)

The cumulative change in fair value is measured from the instrument’s date of initial recognition.

(3)

Changes in fair value attributable to changes in the Bank’s own credit risk are recorded in other comprehensive income. Other changes in fair value are recorded in

non-interest

income – trading revenues. The offsetting fair value changes from associated derivatives is also recorded in

non-interest

income – trading revenues.

The following table presents the changes in fair value attributable to changes in the Bank’s own credit risk for financial liabilities designated at fair value through profit or loss as well as their contractual maturity and carrying amounts.


	Senior note liabilities
($ millions)		Contractual maturity amount		Carrying value		Difference between contractual maturity amount and carrying value		Changes in fair value for the three months period attributable to changes in own credit risk recorded in other comprehensive income Gains/(Losses)			Cumulative changes in fair value attributable to changes in own credit risk (1) Gains/(Losses)
As at July 31, 2026	$	57,053	$	52,864	$	4,189	$	(171	)	$	(1,610	)
As at April 30, 2026	$	52,301	$	48,629	$	3,672	$	413		$	(1,439	)
As at July 31, 2025	$	48,140	$	43,536	$	4,604	$	(562	)	$	(1,227	)

(1)

The cumulative change in fair value is measured from the instruments’ date of initial recognition.

(b) Financial instruments – fair value

Fair value of financial instruments

The calculation of fair value is based on market conditions at a specific point in time and therefore may not be reflective of future fair values. The Bank has controls and processes in place to ensure that the valuation of financial instruments is appropriately determined.

Refer to Note 6 of the audited consolidated financial statements in the 2025 Annual Report for the valuation techniques used to fair value its significant financial assets and liabilities.

The following table sets out the fair values of financial instruments of the Bank and excludes

non-financial

assets, such as property and equipment, investments in associates, precious metals, goodwill and other intangible assets.


	As at
	July 31, 2026				April 30, 2026				October 31, 2025
($ millions)	Total fair value		Total carrying value		Total fair value		Total carrying value		Total fair value		Total carrying value
Assets:
Cash and deposits with financial institutions	$	62,455	$	62,455	$	79,301	$	79,301	$	65,967	$	65,967
Trading assets		162,526		162,526		157,689		157,689		152,223		152,223
Securities purchased under resale agreements and securities borrowed		273,638		273,638		253,177		253,177		203,008		203,008
Derivative financial instruments		50,531		50,531		46,709		46,709		46,531		46,531
Investment securities – FVOCI and FVTPL		130,461		130,461		127,818		127,818		126,226		126,226
Investment securities – amortized cost		21,537		22,221		21,510		21,988		23,239		23,722
Loans		769,595		770,555		754,267		757,434		769,900		771,045
Customers’ liability under acceptances		161		161		155		155		177		177
Other financial assets		28,730		28,730		27,239		27,239		28,128		28,128
Liabilities:
Deposits		1,003,369		1,006,015		979,387		981,489		965,925		966,279
Financial instruments designated at fair value through profit or loss		52,864		52,864		48,629		48,629		47,165		47,165
Acceptances		162		162		157		157		178		178
Obligations related to securities sold short		39,971		39,971		38,064		38,064		38,104		38,104
Derivative financial instruments		58,344		58,344		56,854		56,854		56,031		56,031
Obligations related to securities sold under repurchase agreements and securities lent		226,261		226,261		238,663		238,663		189,144		189,144
Subordinated debentures		6,923		6,919		5,801		5,766		7,749		7,692
Other financial liabilities		56,883		57,045		53,031		52,913		56,500		56,529

The best evidence of fair value for a financial instrument is the quoted price in an active market. Unadjusted quoted market prices for identical instruments represent a Level 1 valuation. Where possible, valuations are based on quoted prices or observable inputs obtained from active markets.

Quoted prices are not always available for

over-the-counter

transactions, as well as transactions in inactive or illiquid markets. In these instances, internal models that maximize the use of observable inputs are used to estimate fair value. The chosen valuation technique incorporates all the factors that market participants would take into account in pricing a transaction. When all significant inputs to models are observable, the valuation is classified as Level 2. Financial instruments traded in a less active market are valued using indicative market prices or other valuation techniques. Fair value estimates do not consider forced or liquidation sales.

Where financial instruments trade in inactive markets, illiquid markets or when using models where observable parameters do not exist, greater management judgement is required for valuation purposes. Valuations that require the significant use of unobservable inputs are classified as Level 3.

The following table outlines the fair value hierarchy and instruments carried at fair value on a recurring basis.


	As at
	July 31, 2026								April 30, 2026
($ millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Instruments carried at fair value on a recurring basis:
Assets:
Precious metals (1)	$	–	$	5,908	$	–	$	5,908	$	–	$	10,200	$	–	$	10,200
Trading assets
Loans		–		6,300		150		6,450		–		6,391		146		6,537
Canadian federal government and government guaranteed debt		16,781		2,465		–		19,246		15,886		4,901		–		20,787
Canadian provincial and municipal debt		9,846		3,043		–		12,889		9,498		3,308		–		12,806
U.S. treasury and other U.S. agencies’ debt		9,658		6		–		9,664		10,107		–		–		10,107
Other foreign governments’ debt		1,112		10,578		–		11,690		713		11,219		–		11,932
Corporate and other debt		7,439		5,701		–		13,140		3,352		8,216		–		11,568
Equity securities		87,881		149		8		88,038		82,338		150		17		82,505
Other		–		1,409		–		1,409		–		1,447		–		1,447
	$	132,717	$	29,651	$	158	$	162,526	$	121,894	$	35,632	$	163	$	157,689
Investment securities (2)
Canadian federal government and government guaranteed debt	$	17,224	$	7,567	$	–	$	24,791	$	14,170	$	9,273	$	–	$	23,443
Canadian provincial and municipal debt		19,235		4,860		–		24,095		17,815		6,178		–		23,993
U.S. treasury and other U.S. agencies’ debt		41,020		6,856		–		47,876		41,153		5,937		–		47,090
Other foreign governments’ debt		10,876		17,391		–		28,267		6,445		21,268		–		27,713
Corporate and other debt		904		2,127		29		3,060		192		3,053		9		3,254
Equity securities		177		263		1,931		2,371		80		335		1,910		2,325
	$	89,436	$	39,064	$	1,960	$	130,460	$	79,855	$	46,044	$	1,919	$	127,818
Derivative financial instruments
Interest rate contracts	$	–	$	10,146	$	–	$	10,146	$	–	$	9,456	$	–	$	9,456
Foreign exchange and gold contracts		–		25,040		1		25,041		–		21,996		1		21,997
Equity contracts		772		8,135		25		8,932		596		6,181		29		6,806
Credit contracts		–		195		22		217		–		169		9		178
Commodity contracts		–		6,183		12		6,195		–		8,265		7		8,272
	$	772	$	49,699	$	60	$	50,531	$	596	$	46,067	$	46	$	46,709
Liabilities:
Deposits (3)	$	–	$	464	$	–	$	464	$	–	$	448	$	–	$	448
Financial liabilities designated at fair value through profit or loss		–		52,864		–		52,864		–		48,629		–		48,629
Obligations related to securities sold short		37,355		2,615		1		39,971		33,715		4,349		–		38,064

Derivative financial instruments
Interest rate contracts		–		17,646		–		17,646		–		17,414		1		17,415
Foreign exchange and gold contracts		–		23,943		–		23,943		–		21,489		–		21,489
Equity contracts		1,348		10,021		19		11,388		848		10,074		28		10,950
Credit contracts		–		17		3		20		–		19		2		21
Commodity contracts		–		5,339		8		5,347		–		6,970		9		6,979
	$	1,348	$	56,966	$	30	$	58,344	$	848	$	55,966	$	40	$	56,854

(1)

The fair value of precious metals is determined based on quoted market prices and forward spot prices, where applicable, less the cost to sell.

(2)

Excludes debt investment securities measured at amortized cost of $22,221 (April 30, 2026 – $21,988).

(3)

These amounts represent embedded derivatives bifurcated from structured note liabilities measured at amortized cost.


	As at October 31, 2025
($ millions)	Level 1		Level 2		Level 3		Total
Instruments carried at fair value on a recurring basis:
Assets:
Precious metals (1)	$	–	$	5,156	$	–	$	5,156
Trading assets
Loans		–		8,486		1		8,487
Canadian federal government and government guaranteed debt		13,838		1,963		–		15,801
Canadian provincial and municipal debt		8,374		3,336		–		11,710
U.S. treasury and other U.S. agencies’ debt		9,132		–		–		9,132
Other foreign governments’ debt		1,837		8,451		–		10,288
Corporate and other debt		3,523		6,593		–		10,116
Equity securities		83,412		373		12		83,797
Other		–		2,892		–		2,892
	$	120,116	$	32,094	$	13	$	152,223
Investment securities (2)
Canadian federal government and government guaranteed debt	$	15,143	$	7,967	$	–	$	23,110
Canadian provincial and municipal debt		16,293		4,550		–		20,843
U.S. treasury and other U.S. agencies’ debt		42,300		6,736		–		49,036
Other foreign governments’ debt		7,099		20,627		–		27,726
Corporate and other debt		116		2,892		32		3,040
Equity securities		96		329		2,046		2,471
	$	81,047	$	43,101	$	2,078	$	126,226
Derivative financial instruments
Interest rate contracts	$	–	$	9,804	$	3	$	9,807
Foreign exchange and gold contracts		–		26,411		1		26,412
Equity contracts		816		6,452		161		7,429
Credit contracts		–		269		4		273
Commodity contracts		–		2,594		16		2,610
	$	816	$	45,530	$	185	$	46,531
Liabilities:
Deposits (3)	$	–	$	335	$	–	$	335
Financial liabilities designated at fair value through profit or loss		–		47,165		–		47,165
Obligations related to securities sold short		34,864		3,240		–		38,104

Derivative financial instruments
Interest rate contracts		–		17,181		8		17,189
Foreign exchange and gold contracts		–		25,793		–		25,793
Equity contracts		783		9,288		43		10,114
Credit contracts		–		24		2		26
Commodity contracts		–		2,897		12		2,909
	$	783	$	55,183	$	65	$	56,031

(1)

The fair value of precious metals is determined based on quoted market prices and forward spot prices, where applicable, less the cost to sell.

(2)

Excludes debt investment securities measured at amortized cost of $23,722.

(3)

These amounts represent embedded derivatives bifurcated from structured note liabilities measured at amortized cost.

Level 3 instrument fair value changes

Financial instruments categorized as Level 3 as at July 31, 2026, in the fair value hierarchy comprised of loans, corporate bonds, equity securities, derivatives and obligations related to securities sold short.

The following table summarizes the changes in Level 3 instruments carried at fair value for the three and nine months ended July 31, 2026.

All positive balances represent assets and negative balances represent liabilities. Consequently, positive amounts indicate purchases of assets or settlements of liabilities and negative amounts indicate sales of assets or issuances of liabilities.


	For the three months ended July 31, 2026
($ millions)		Fair value, beginning of the quarter			Gains/ (losses) recorded in income (1)			Gains/ (losses) recorded in OCI			Purchases/ Issuances			Sales/ Settlements			Transfers into Level 3			Transfers out of Level 3			Fair value, end of the quarter			Changes in unrealized gains/(losses) recorded in income for instruments still held (2)
Trading assets
Loans	$	146		$	4		$	–		$	–		$	–		$	–		$	–		$	150		$	4
Equity securities		17			(1	)		–			5			(8	)		1			(6	)		8			(1	)
		163			3			–			5			(8	)		1			(6	)		158			3
Investment securities
Corporate and other debt		9			–			(1	)		21			–			–			–			29			–
Equity securities		1,910			16			1			121			(117	)		–			–			1,931			16
		1,919			16			–			142			(117	)		–			–			1,960			16
Derivative financial instruments – assets
Foreign exchange and gold contracts		1			1			–			–			–			–			(1	)		1			1
Equity contracts		29			1			–			5			–			–			(10	)		25			1	(3)
Credit contracts		9			–			–			21			(8	)		–			–			22			–
Commodity contracts		7			5			–			–			–			–			–			12			5

Derivative financial instruments – liabilities
Interest rate contracts		(1	)		–			–			–			–			–			1			–			–
Equity contracts		(28	)		–			–			(10	)		–			–			19			(19	)		–
Credit contracts		(2	)		–			–			(2	)		1			–			–			(3	)		–
Commodity contracts		(9	)		–			–			–			1			–			–			(8	)		–
		6			7			–			14			(6	)		–			9			30			7
Obligations related to securities sold short		–			–			–			–			–			(1	)		–			(1	)		–
Total	$	2,088		$	26		$	–		$	161		$	(131	)	$	–		$	3		$	2,147		$	26

(1)

Gains or losses for items in Level 3 may be offset with losses or gains on related hedges in Level 1 or Level 2.

(2)

These amounts represent the gains and losses from fair value changes of Level 3 instruments still held at the end of the period that are recorded in the Consolidated Statement of Income.

(3)

Certain unrealized gains and losses on derivative assets and liabilities are largely offset by

mark-to-market

changes on other instruments included in trading revenues in the Consolidated Statement of Income, since these instruments act as an economic hedge to certain derivative assets and liabilities.

The following table summarizes the changes in Level 3 instruments carried at fair value for the three months ended July 31, 2025.


	For the three months ended July 31, 2025
($ millions)	Fair value, beginning of the quarter			Gains/ (losses) recorded in income (1)			Gains/ (losses) recorded in OCI		Purchases/ Issuances			Sales/ Settlements			Transfers into Level 3		Transfers out of Level 3		Fair value, end of the quarter
Trading assets	$	9		$	–		$	–	$	2		$	(3	)	$	179	$	(3)	$	184
Investment securities		1,988			43			3		49			(18	)		12		–		2,077
Derivative financial instruments		(8	)		(3	)		–		(6	)		12			–		3		(2	)

(1)

Gains or losses for items in Level 3 may be offset with losses or gains on related hedges in Level 1 or Level 2.


	For the nine months ended July 31, 2026
($ millions)		Fair value, beginning of the period			Gains/ (losses) recorded in income (1)			Gains/ (losses) recorded in OCI			Purchases/ Issuances			Sales/ Settlements			Transfers into Level 3			Transfers out of Level 3			Fair value, end of the period			Changes in unrealized gains/(losses) recorded in income for instruments still held (2)
Trading assets
Loans	$	1		$	(13	)	$	(3	)	$	165		$	–		$	1		$	(1	)	$	150		$	(13	)
Equity securities		12			(2	)		–			9			(11	)		12			(12	)		8			(1	)
		13			(15	)		(3	)		174			(11	)		13			(13	)		158			(14	)
Investment securities
Corporate and other debt		32			–			(3	)		22			(22	)		–			–			29			–
Equity securities		2,046			111			30			267			(523	)		–			–			1,931			111
		2,078			111			27			289			(545	)		–			–			1,960			111
Derivative financial instruments – assets
Interest rate contracts		3			(1	)		–			–			(2	)		–			–			–			(1	) (3)
Foreign exchange and gold contracts		1			1			–			–			–			1			(2	)		1			1
Equity contracts		161			(9	)		–			12			(70	)		31			(100	)		25			11	(4)
Credit contracts		4			2			–			24			(8	)		–			–			22			2
Commodity contracts		16			(4	)		–			–			–			–			–			12			(4	)

Derivative financial instruments – liabilities
Interest rate contracts		(8	)		4			–			(1	)		1			(1	)		5			–			(2	) (3)
Equity contracts		(43	)		9			–			(22	)		–			–			37			(19	)		9	(4)
Credit contracts		(2	)		–			–			(2	)		1			–			–			(3	)		–
Commodity contracts		(12	)		2			–			–			2			–			–			(8	)		2
		120			4			–			11			(76	)		31			(60	)		30			18
Obligations related to securities sold short		–			–			–			–			–			(1	)		–			(1	)		–
Total	$	2,211		$	100		$	24		$	474		$	(632	)	$	43		$	(73	)	$	2,147		$	115

(1)

Gains or losses for items in Level 3 may be offset with losses or gains on related hedges in Level 1 or Level 2.

(2)

These amounts represent the gains and losses from fair value changes of Level 3 instruments still held at the end of the period that are recorded in the Consolidated Statement of Income.

(3)

Certain unrealized gains and losses on interest rate derivative contracts are largely offset by

mark-to-market

changes on embedded derivatives on certain deposit liabilities in the Consolidated Statement of Income.

(4)

Certain unrealized gains and losses on derivative assets and liabilities are largely offset by

mark-to-market

changes on other instruments included in trading revenues in the Consolidated Statement of Income, since these instruments act as an economic hedge to certain derivative assets and liabilities.

The following table summarizes the changes in Level 3 instruments carried at fair value for the nine months ended July 31, 2025.


	For the nine months ended July 31, 2025
($ millions)	Fair value, beginning of the period			Gains/ (losses) recorded in income (1)		Gains/ (losses) recorded in OCI		Purchases/ Issuances			Sales/ Settlements			Transfers into Level 3		Transfers out of Level 3			Fair value, end of the period
Trading assets	$	25		$	1	$	–	$	6		$	(18	)	$	192	$	(22	)	$	184
Investment securities		1,901			107		62		149			(137	)		12		(17	)		2,077
Derivative financial instruments		10			(15)		–		(2	)		20			(15)		–			(2	)
Obligations related to securities sold short		(2	)		–		–		–			–			–		2			–

(1)

Gains or losses for items in Level 3 may be offset with losses or gains on related hedges in Level 1 or Level 2.

Significant transfers

Significant transfers can occur between the fair value hierarchy levels when additional or new information regarding valuation inputs and their refinement and observability become available. The Bank recognizes transfers between levels of the fair value hierarchy at the end of the reporting period during which the change has occurred.

The following significant transfers made between Level 1 and 2, were based on whether the fair value was determined using quoted market prices from an active market.

During the three months ended July 31, 2026:

•

Trading assets of $5,628 million, investment securities of $6,913 million and obligations related to securities sold short of $1,463 million were transferred out of Level 2 into Level 1.

•

Trading assets of $342 million, investment securities of $1,149 million and obligations related to securities sold short of $17 million were transferred out of Level 1 into Level 2.

During the three months ended July 31, 2025:

•

Trading assets of $868 million, investment securities of $1,077 million and obligations related to securities sold short of $517 million were transferred out of Level 2 into Level 1.

•

Trading assets of $1,004 million, investment securities of $2,047 million and obligations related to securities sold short of $466 million were transferred out of Level 1 into Level 2.

There were

significant transfers into and out of Level 3 during the three months ended July 31, 2026. During the three months ended July 31, 2025, trading loans of $178 million were transferred out of Level 2 into Level 3. Transfers were a result of the change in the observability of the price used for valuing the loans.

During the nine months ended July 31, 2026:

•

Trading assets of $2,292 million, investment securities of $5,344 million and obligations related to securities sold short of $796 million were transferred out of Level 2 into Level 1.

•

Trading assets of $632 million, investment securities of $1,838 million and obligations related to securities sold short of $65 million were transferred out of Level 1 into Level 2.

During the nine months ended July 31, 2025:

•

Trading assets of $337 million, investment securities of $971 million and obligations related to securities sold short of $133 million were transferred out of Level 2 into Level 1.

•

Trading assets of $974 million, investment securities of $1,488 million and obligations related to securities sold short of $289 million were transferred out of Level 1 into Level 2.

During the nine months ended July 31, 2026, equity derivatives of $100

million were transferred out of Level 3 into Level 2. During the nine months ended July 31, 2025, trading loans of

$178

million were transferred out of Level 2 into Level 3. Transfers were a result of the change in the observability of the price used for valuing the financial instruments.

Level 3 sensitivity

The Bank applies judgement in determining unobservable inputs used to calculate the fair value of Level 3 instruments.

Refer to Note 6 of the Bank’s audited consolidated financial statements in the 2025 Annual Report for a description of the significant unobservable inputs for Level 3 instruments and the potential effect that a change in each unobservable input may have on the fair value measurement. There have been no significant changes to the Level 3 sensitivities during the quarter.