IFRS 7 Disclosure (Tables)

3 Months Ended

Jan. 31, 2020

Text Block [Abstract]

Portfolio Market Risk Measures

TABLE 29:  PORTFOLIO MARKET RISK MEASURES

(millions of Canadian dollars)	For the three months ended
		January 31 2020											October 31 2019			January 31 2019
		As at			Average			High			Low		Average			Average
Interest rate risk	$	19.2		$	13.8		$	22.8		$	8.4	$	8.0		$	12.9
Credit spread risk		10.5			9.5			12.2			6.9		11.0			19.7
Equity risk		5.7			6.9			9.4			5.7		6.2			7.1
Foreign exchange risk		2.4			4.4			6.9			2.4		2.7			6.5
Commodity risk		1.4			2.0			3.0			1.4		1.7			2.6
Idiosyncratic debt specific risk		21.3			14.5			22.5			10.9		13.1			20.2
Diversification effect1		(32.6	)		(31.6	)		n/m	2		n/m		(25.4	)		(41.4	)
Total Value-at-Risk (one-day)		27.9			19.5			28.8			15.1		17.3			27.6
Stressed Value-at-Risk (one-day)		54.1			44.9			55.2			31.3		43.7			60.5
Incremental Risk Capital Charge (one-year)	$	239.5		$	209.8		$	246.1		$	164.8	$	224.5		$	232.6

¹ The aggregate VaR is less than the sum of the VaR of the different risk types due to risk offsets resulting from portfolio diversification.

² Not meaningful. It is not meaningful to compute a diversification effect because the high and low may occur on different days for different risk types.

Sensitivity of After-tax Economic Value at Risk by Currency

TABLE 30:  STRUCTURAL INTEREST RATE SENSITIVITY MEASURES

(millions of Canadian dollars)																						As at
													January 31, 2020						October 31, 2019
	EVE Sensitivity									NII1 Sensitivity									EVE Sensitivity			NII Sensitivity
		Canada			U.S.			Total			Canada			U.S.			Total			Total			Total
Before-tax impact of
100 bps increase in rates	$	(259	)	$	(1,762	)	$	(2,021	)	$	490		$	419		$	909		$	(1,832	)	$	890
100 bps decrease in rates		118			685			803			(604	)		(678	)		(1,282	)		618			(1,231	)

¹ Represents the 12-month NII exposure to an immediate and sustained shock in rates.

Summary of Liquid Assets by Type and Currency

TABLE 31:  SUMMARY OF LIQUID ASSETS BY TYPE AND CURRENCY^1,2

(millions of Canadian dollars, except as noted)												As at
	Bank-owned liquid assets		Securities received as collateral from securities financing and derivative transactions		Total liquid assets		% of total			Encumbered liquid assets		Unencumbered liquid assets
													January 31, 2020
Cash and due from banks	$	3,949	$	–	$	3,949		1	%	$	609	$	3,340
Canadian government obligations		10,379		82,740		93,119		14			61,653		31,466
National Housing Act Mortgage-Backed Securities (NHA MBS)		37,342		15		37,357		5			3,635		33,722
Provincial government obligations		16,433		26,410		42,843		6			33,597		9,246
Corporate issuer obligations		12,159		3,745		15,904		2			4,145		11,759
Equities		14,139		3,160		17,299		3			12,181		5,118
Other marketable securities and/or loans		2,833		279		3,112		–			1,075		2,037
Total Canadian dollar-denominated		97,234		116,349		213,583		31			116,895		96,688
Cash and due from banks		27,078		–		27,078		4			52		27,026
U.S. government obligations		37,568		54,566		92,134		13			45,339		46,795
U.S. federal agency obligations, including U.S. federal agency mortgage-backed obligations		62,612		10,895		73,507		11			20,488		53,019
Other sovereign obligations		45,605		47,966		93,571		14			37,206		56,365
Corporate issuer obligations		83,640		2,083		85,723		13			6,126		79,597
Equities		52,664		39,361		92,025		13			44,596		47,429
Other marketable securities and/or loans		5,576		13		5,589		1			382		5,207
Total non-Canadian dollar-denominated		314,743		154,884		469,627		69			154,189		315,438
Total	$	411,977	$	271,233	$	683,210		100	%	$	271,084	$	412,126
													October 31, 2019
Cash and due from banks	$	5,140	$	–	$	5,140		1	%	$	566	$	4,574
Canadian government obligations		13,872		77,275		91,147		14			56,337		34,810
NHA MBS		38,138		15		38,153		6			3,816		34,337
Provincial government obligations		15,679		25,151		40,830		6			31,287		9,543
Corporate issuer obligations		11,149		3,623		14,772		2			3,882		10,890
Equities		13,636		2,770		16,406		3			11,225		5,181
Other marketable securities and/or loans		2,512		311		2,823		–			1,078		1,745
Total Canadian dollar-denominated		100,126		109,145		209,271		32			108,191		101,080
Cash and due from banks		19,225		–		19,225		3			33		19,192
U.S. government obligations		34,103		47,803		81,906		13			37,367		44,539
U.S. federal agency obligations, including U.S. federal agency mortgage-backed obligations		58,222		11,873		70,095		11			20,939		49,156
Other sovereign obligations		47,854		49,304		97,158		15			39,500		57,658
Corporate issuer obligations		84,835		1,856		86,691		13			7,070		79,621
Equities		40,550		34,607		75,157		12			39,403		35,754
Other marketable securities and/or loans		4,658		667		5,325		1			712		4,613
Total non-Canadian dollar-denominated		289,447		146,110		435,557		68			145,024		290,533
Total	$	389,573	$	255,255	$	644,828		100	%	$	253,215	$	391,613

¹  Positions stated include gross asset values pertaining to securities financing transactions.

²  Liquid assets include collateral received that can be re-hypothecated or otherwise redeployed.

Summary of Unencumbered Liquid Assets by Bank, Subsidiaries, and Branches

TABLE 32:  SUMMARY OF UNENCUMBERED LIQUID ASSETS BY BANK, SUBSIDIARIES, AND BRANCHES

(millions of Canadian dollars)			As at
		January 31 2020		October 31 2019
The Toronto-Dominion Bank (Parent)	$	136,556	$	139,550
Bank subsidiaries		245,138		228,978
Foreign branches		30,432		23,085
Total	$	412,126	$	391,613

Summary of Deposit Funding

TABLE 39:  SUMMARY OF DEPOSIT FUNDING

(millions of Canadian dollars)			As at
	January 31 2020		October 31 2019
P&C deposits – Canadian Retail	$	390,736	$	382,252
P&C deposits – U.S. Retail		370,595		360,761
Other deposits		23		23
Total	$	761,354	$	743,036

Summary of Remaining Contractual Maturity

TABLE 42:  REMAINING CONTRACTUAL MATURITY

(millions of Canadian dollars)	As at
	January 31, 2020
	Less than 1 month		1 to 3 months		3 to 6 months		6 to 9 months		9 months to 1 year		Over 1 to 2 years		Over 2 to 5 years		Over 5 years		No specific maturity			Total
Assets
Cash and due from banks	$	5,067	$	6	$	–	$	–	$	–	$	–	$	–	$	–	$	–		$	5,073
Interest-bearing deposits with banks		31,682		795		639		–		–		–		–		–		941			34,057
Trading loans, securities, and other1		1,790		4,633		5,407		1,951		4,127		16,500		24,035		24,417		79,615			162,475
Non-trading financial assets at fair value through profit or loss		317		105		672		64		307		1,987		1,759		1,483		478			7,172
Derivatives		6,186		5,092		3,338		2,645		2,320		5,045		8,410		12,568		–			45,604
Financial assets designated at fair value through profit or loss		331		56		190		113		30		505		2,174		215		–			3,614
Financial assets at fair value through other comprehensive income		1,981		3,375		6,844		6,228		3,580		23,394		31,366		28,526		2,578			107,872
Debt securities at amortized cost, net of allowance for credit losses		692		1,220		1,447		741		2,091		8,185		51,202		69,277		(1	)		134,854
Securities purchased under reverse repurchase agreements2		101,815		39,711		16,816		4,348		2,733		59		313		–		–			165,795
Loans
Residential mortgages		792		4,879		10,523		12,560		9,501		34,837		126,554		38,914		–			238,560
Consumer instalment and other personal		3,812		2,998		3,833		4,037		4,811		15,727		74,053		16,759		54,473			180,503
Credit card		–		–		–		–		–		–		–		–		37,169			37,169
Business and government		24,897		5,433		10,195		8,167		7,997		20,354		80,957		60,888		22,729			241,617
Total loans		29,501		13,310		24,551		24,764		22,309		70,918		281,564		116,561		114,371			697,849
Allowance for loan losses		–		–		–		–		–		–		–		–		(4,683	)		(4,683	)
Loans, net of allowance for loan losses		29,501		13,310		24,551		24,764		22,309		70,918		281,564		116,561		109,688			693,166
Customers' liability under acceptances		11,895		2,212		48		–		–		–		–		–		–			14,155
Investment in TD Ameritrade		–		–		–		–		–		–		–		–		9,456			9,456
Goodwill3		–		–		–		–		–		–		–		–		17,047			17,047
Other intangibles3		–		–		–		–		–		–		–		–		2,422			2,422
Land, buildings, equipment, and other depreciable assets3,4		2		4		6		6		9		46		325		4,044		5,182			9,624
Deferred tax assets		–		–		–		–		–		–		–		–		1,803			1,803
Amounts receivable from brokers, dealers, and clients		26,338		–		–		–		–		–		–		–		–			26,338
Other assets		2,092		3,834		237		107		112		129		146		1,441		8,804			16,902
Total assets	$	219,689	$	74,353	$	60,195	$	40,967	$	37,618	$	126,768	$	401,294	$	258,532	$	238,013		$	1,457,429
Liabilities
Trading deposits	$	2,659	$	5,454	$	4,238	$	3,372	$	3,177	$	2,948	$	3,910	$	1,586	$	–		$	27,344
Derivatives		5,231		5,271		2,991		1,950		2,574		4,713		8,816		13,989		–			45,535
Securitization liabilities at fair value		207		412		557		387		511		1,843		7,257		1,908		–			13,082
Financial liabilities designated at fair value through profit or loss		18,084		31,780		29,253		27,149		5,192		570		–		12		–			112,040
Deposits5,6
Personal		5,861		9,590		9,621		7,584		7,702		9,424		9,457		24		459,392			518,655
Banks		6,956		944		482		7		7		–		3		7		8,817			17,223
Business and government		17,468		15,839		12,520		10,696		8,827		32,116		45,105		4,888		225,080			372,539
Total deposits		30,285		26,373		22,623		18,287		16,536		41,540		54,565		4,919		693,289			908,417
Acceptances		11,895		2,212		48		–		–		–		–		–		–			14,155
Obligations related to securities sold short1		466		1,152		1,849		1,041		639		4,061		11,596		15,466		1,218			37,488
Obligations related to securities sold under repurchase agreements2		108,453		14,878		2,501		269		143		52		–		–		–			126,296
Securitization liabilities at amortized cost		–		1,275		355		343		1,052		1,386		6,691		2,988		–			14,090
Amounts payable to brokers, dealers, and clients		28,162		–		–		–		–		–		–		–		–			28,162
Insurance-related liabilities		247		346		354		280		284		963		1,625		898		1,980			6,977
Other liabilities4		2,846		1,752		1,548		280		2,524		1,914		1,903		5,122		6,441			24,330
Subordinated notes and debentures		–		–		–		–		–		–		–		10,711		–			10,711
Equity		–		–		–		–		–		–		–		–		88,802			88,802
Total liabilities and equity	$	208,535	$	90,905	$	66,317	$	53,358	$	32,632	$	59,990	$	96,363	$	57,599	$	791,730		$	1,457,429
Off-balance sheet commitments
Credit and liquidity commitments7,8	$	17,833	$	21,339	$	16,232	$	12,480	$	16,386	$	28,516	$	111,912	$	5,828	$	1,300		$	231,826
Other commitments9		52		114		186		150		212		652		1,015		1,217		–			3,598
Unconsolidated structured entity commitments		–		680		1,438		506		456		–		–		–		–			3,080
Total off-balance sheet commitments	$	17,885	$	22,133	$	17,856	$	13,136	$	17,054	$	29,168	$	112,927	$	7,045	$	1,300		$	238,504

¹  Amount has been recorded according to the remaining contractual maturity of the underlying security.

²  Certain contracts considered short-term are presented in 'less than 1 month' category.

³  Certain non-financial assets have been recorded as having 'no specific maturity'.

⁴  Upon adoption of IFRS 16, ROU assets recognized are included in 'Land, buildings, equipment, and other depreciable assets' and lease liabilities recognized are included in 'Other liabilities'.

⁵  As the timing of demand deposits and notice deposits is non-specific and callable by the depositor, obligations have been included as having 'no specific maturity'.

⁶  Includes $39 billion of covered bonds with remaining contractual maturities of $2 billion in 'over 1 month to 3 months', $2 billion in 'over 3 months to 6 months', $1 billion in 'over 9 months to 1 year', $15 billion in 'over 1 to 2 years', $16 billion in 'over 2 to 5 years', and $3 billion in 'over 5 years'.

⁷  Includes $344 million in commitments to extend credit to private equity investments.

⁸  Commitments to extend credit exclude personal lines of credit and credit card lines, which are unconditionally cancellable at the Bank's discretion at any time.

⁹  Includes various purchase commitments as well as commitments for leases not yet commenced.

TABLE 42:  REMAINING CONTRACTUAL MATURITY (continued)¹

(millions of Canadian dollars)	As at
	October 31, 2019
	Less than 1 month		1 to 3 months		3 to 6 months		6 to 9 months		9 months to 1 year		Over 1 to 2 years		Over 2 to 5 years		Over 5 years		No specific maturity			Total
Assets
Cash and due from banks	$	4,857	$	6	$	–	$	–	$	–	$	–	$	–	$	–	$	–		$	4,863
Interest-bearing deposits with banks		23,412		1,137		77		–		–		–		–		–		957			25,583
Trading loans, securities, and other2		1,197		3,990		3,916		3,171		2,873		15,672		25,939		19,014		70,228			146,000
Non-trading financial assets at fair value through profit or loss		147		2		37		668		314		1,301		1,803		1,488		743			6,503
Derivatives		5,786		8,472		3,255		2,109		2,222		5,610		8,652		12,788		–			48,894
Financial assets designated at fair value through profit or loss		195		696		156		82		83		404		1,725		699		–			4,040
Financial assets at fair value through other comprehensive income		1,431		3,818		4,161		6,339		6,426		18,205		40,289		28,594		1,841			111,104
Debt securities at amortized cost, net of allowance for credit losses		1,878		5,233		2,254		1,050		764		8,791		45,127		65,401		(1	)		130,497
Securities purchased under reverse repurchase agreements3		98,904		34,839		24,000		6,331		1,765		44		52		–		–			165,935
Loans
Residential mortgages		2,006		5,595		8,013		9,832		11,719		34,029		101,591		62,855		–			235,640
Consumer instalment and other personal		850		1,819		3,170		3,620		3,544		17,256		61,736		28,236		60,103			180,334
Credit card		–		–		–		–		–		–		–		–		36,564			36,564
Business and government		29,460		5,573		7,970		9,496		8,830		21,078		71,071		61,266		21,773			236,517
Total loans		32,316		12,987		19,153		22,948		24,093		72,363		234,398		152,357		118,440			689,055
Allowance for loan losses		–		–		–		–		–		–		–		–		(4,447	)		(4,447	)
Loans, net of allowance for loan losses		32,316		12,987		19,153		22,948		24,093		72,363		234,398		152,357		113,993			684,608
Customers' liability under acceptances		11,127		2,211		152		4		–		–		–		–		–			13,494
Investment in TD Ameritrade		–		–		–		–		–		–		–		–		9,316			9,316
Goodwill4		–		–		–		–		–		–		–		–		16,976			16,976
Other intangibles4		–		–		–		–		–		–		–		–		2,503			2,503
Land, buildings, equipment, and other depreciable assets4		–		–		–		–		–		–		–		–		5,513			5,513
Deferred tax assets		–		–		–		–		–		–		–		–		1,799			1,799
Amounts receivable from brokers, dealers, and clients		20,575		–		–		–		–		–		–		–		–			20,575
Other assets		2,548		1,391		2,830		168		103		169		157		97		9,624			17,087
Total assets	$	204,373	$	74,782	$	59,991	$	42,870	$	38,643	$	122,559	$	358,142	$	280,438	$	233,492		$	1,415,290
Liabilities
Trading deposits	$	5,837	$	3,025	$	4,166	$	2,606	$	3,185	$	2,430	$	4,014	$	1,622	$	–		$	26,885
Derivatives		7,180		7,968		3,603		2,062		1,763		5,546		8,148		13,781		–			50,051
Securitization liabilities at fair value		–		668		412		494		387		1,656		7,499		1,942		–			13,058
Financial liabilities designated at fair value through profit or loss		22,193		25,370		15,799		20,496		20,907		356		1		9		–			105,131
Deposits5,6
Personal		5,218		8,990		9,459		7,691		7,583		9,374		9,670		21		445,424			503,430
Banks		6,771		1,459		150		1		6		–		3		7		8,354			16,751
Business and government7		18,576		10,049		7,569		10,482		10,670		34,130		46,188		7,594		221,538			366,796
Total deposits		30,565		20,498		17,178		18,174		18,259		43,504		55,861		7,622		675,316			886,977
Acceptances		11,127		2,211		152		4		–		–		–		–		–			13,494
Obligations related to securities sold short2		384		654		398		819		1,171		3,351		9,882		12,115		882			29,656
Obligations related to securities sold under repurchase agreements3		101,856		20,224		2,993		694		30		47		12		–		–			125,856
Securitization liabilities at amortized cost		–		513		1,274		355		342		2,098		6,586		2,918		–			14,086
Amounts payable to brokers, dealers, and clients		23,746		–		–		–		–		–		–		–		–			23,746
Insurance-related liabilities		190		315		388		330		318		940		1,612		874		1,953			6,920
Other liabilities8		2,845		3,142		1,334		1,293		641		3,339		1,663		138		6,609			21,004
Subordinated notes and debentures		–		–		–		–		–		–		–		10,725		–			10,725
Equity		–		–		–		–		–		–		–		–		87,701			87,701
Total liabilities and equity	$	205,923	$	84,588	$	47,697	$	47,327	$	47,003	$	63,267	$	95,278	$	51,746	$	772,461		$	1,415,290
Off-balance sheet commitments
Credit and liquidity commitments9,10	$	19,388	$	21,652	$	18,391	$	13,537	$	12,034	$	27,207	$	111,281	$	5,856	$	1,294		$	230,640
Operating lease commitments11		82		165		250		247		244		936		2,332		3,365		–			7,621
Other purchase obligations		82		182		185		206		177		753		1,031		556		–			3,172
Unconsolidated structured entity commitments		408		793		1,360		461		97		81		–		–		–			3,200
Total off-balance sheet commitments	$	19,960	$	22,792	$	20,186	$	14,451	$	12,552	$	28,977	$	114,644	$	9,777	$	1,294		$	244,633

¹  Certain comparative amounts have been reclassified to conform with the presentation adopted in the current period.

²  Amount has been recorded according to the remaining contractual maturity of the underlying security.

³  Certain contracts considered short-term are presented in 'less than 1 month' category.

⁴  Certain non-financial assets have been recorded as having 'no specific maturity'.

⁵  As the timing of demand deposits and notice deposits is non-specific and callable by the depositor, obligations have been included as having 'no specific maturity'.

⁶  Includes $40 billion of covered bonds with remaining contractual maturities of $1 billion in less than 1 month, $2 billion in over 3 months to 6 months, $2 billion in over 6 months to 9 months, $14 billion in 'over 1 to 2 years', $18 billion in 'over 2 to 5 years', and $3 billion in 'over 5 years'.

⁷  On June 30, 2019, TD Capital Trust IV redeemed all of the outstanding $550 million TD Capital Trust IV Notes – Series 1 at a redemption price of 100% of the principal amount plus any accrued and unpaid interest payable on the date of redemption.

⁸  Includes $83 million of capital lease commitments with remaining contractual maturities of $2 million in 'less than 1 month', $4 million in '1 month to 3 months', $5 million in '3 months to 6 months', $5 million in '6 months to 9 months', $5 million in '9 months to 1 year', $22 million in 'over 1 to 2 years', $39 million in 'over 2 to 5 years', and $1 million in 'over 5 years'.

⁹  Includes $374 million in commitments to extend credit to private equity investments.

¹⁰  Commitments to extend credit exclude personal lines of credit and credit card lines, which are unconditionally cancellable at the Bank's discretion at any time.

¹¹  Includes rental payments, related taxes, and estimated operating expenses.