MARKET RISK

Market risk capital is calculated using internal models and comprises three components: (1) Value-at-Risk (VaR); (2) Stressed VaR; and (3) Incremental Risk Charge (IRC). In addition, the Bank calculates market risk capital using the Standardized approach for a limited number of portfolios.

Calculating VaR

TD computes total VaR on a daily basis by combining the General Market Risk (GMR) and Idiosyncratic Debt Specific Risk (IDSR) associated with the Bank's trading positions.

GMR is determined by creating a distribution of potential changes in the market value of the current portfolio using historical simulation. The Bank values the current portfolio using the market price and rate changes of the most recent 259 trading days for equity, interest rate, foreign exchange, credit, and commodity products. GMR is computed as the threshold level that portfolio losses are not expected to exceed more than one out of every 100 trading days. A one-day holding period is used for GMR calculation, which is scaled up to ten days for regulatory capital calculation purposes.

IDSR measures idiosyncratic (single-name) credit spread risk for credit exposures in the trading portfolio using Monte Carlo simulation. The IDSR model is based on the historical behaviour of five-year idiosyncratic credit spreads. Similar to GMR, IDSR is computed as the threshold level that portfolio losses are not expected to exceed more than one out of every 100 trading days. IDSR is measured for a ten-day holding period.

The following graph discloses daily one-day VaR usage and trading net revenue, reported on a taxable equivalent basis, within Wholesale Banking. Trading net revenue includes trading income and net interest income related to positions within the Bank's market risk capital trading books. For the quarter ended January 31, 2020, there was one day of trading losses and trading net revenue was positive for 98% of the trading days. Losses in the quarter did not exceed VaR on any trading day.

LOGO

VaR is a valuable risk measure but it should be used in the context of its limitations, for example:

•

VaR uses historical data to estimate future events, which limits its forecasting abilities;

•

it does not provide information on losses beyond the selected confidence level; and

•

it assumes that all positions can be liquidated during the holding period used for VaR calculation.

The Bank continuously improves its VaR methodologies and incorporates new risk measures in line with market conventions, industry best practices, and regulatory requirements. In the first quarter of 2020, the Bank implemented infrastructure enhancements to improve its interest rate and foreign exchange modelling in VaR.

To mitigate some of the shortcomings of VaR, the Bank uses additional metrics designed for risk management and capital purposes. These include Stressed VaR, IRC, Stress Testing Framework, as well as limits based on the sensitivity to various market risk factors.

Calculating Stressed VaR

In addition to VaR, the Bank also calculates Stressed VaR, which includes Stressed GMR and Stressed IDSR. Stressed VaR is designed to measure the adverse impact that potential changes in market rates and prices could have on the value of a portfolio over a specified period of stressed market conditions. Stressed VaR is determined using similar techniques and assumptions in GMR and IDSR VaR. However, instead of using the most recent 259 trading days (one year), the Bank uses a selected year of stressed market conditions. In the first quarter of 2020, Stressed VaR was calculated using the one-year period that began on February 1, 2008. The appropriate historical one-year period to use for Stressed VaR is determined on a quarterly basis. Stressed VaR is a part of regulatory capital requirements.

Calculating the Incremental Risk Charge

The IRC is applied to all instruments in the trading book subject to migration and default risk. Migration risk represents the risk of changes in the credit ratings of the Bank's exposures. TD applies a Monte Carlo simulation with a one-year horizon and a 99.9% confidence level to determine IRC, which is consistent with regulatory requirements. IRC is based on a "constant level of risk" assumption, which requires banks to assign a liquidity horizon to positions that are subject to IRC. IRC is a part of regulatory capital requirements.

The following table presents the end of quarter, average, high, and low usage of TD's portfolio metrics.

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

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

(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

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

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.

Average VaR increased compared to the prior quarter due to changes in US interest rate risk positions and decreased compared to the first quarter last year due to changes in financial and government bond positions. Average Stressed VaR decreased compared to the first quarter last year due to changes in financial and government bond positions.

Average IRC decreased compared to the prior quarter and the same quarter last year due to positions in Canadian banks and provinces.

Validation of VaR Model

The Bank uses a back-testing process to compare the actual and theoretical profit and losses to VaR to ensure that they are consistent with the statistical results of the VaR model. The theoretical profit or loss is generated using the daily price movements on the assumption that there is no change in the composition of the portfolio. Validation of the IRC model must follow a different approach since the one-year horizon and 99.9% confidence level preclude standard back-testing techniques. Instead, key parameters of the IRC model such as transition and correlation matrices are subject to independent validation by benchmarking against external study results or through analysis using internal or external data.

Structural (Non-Trading) Interest Rate Risk

The Bank's structural interest rate risk arises from traditional personal and commercial banking activity and is generally the result of mismatches between the maturities and repricing dates of the Bank's assets and liabilities. The measurement of interest rate risk in the banking book does not include exposures from TD's Wholesale Banking or Insurance businesses.

As of January 31, 2020, the Bank's structural interest rate risk measures changed to be consistent with the updated OSFI Guideline B-12 for Interest Rate Risk in the Banking Book (IRRBB). The primary measures for this risk are Economic Value of Shareholders' Equity (EVE) Sensitivity and Net Interest Income Sensitivity (NIIS).

The EVE Sensitivity is defined as the difference between the change in present value of the Bank's banking book assets, liabilities, and certain off-balance sheet items, excluding shareholders' equity and product margins, for a specified change in interest rates. The updated EVE Sensitivity reflects a measurement of the potential present value impact on shareholders' equity without an assumed term profile for the management of the Bank's own equity. A target term profile for equity was included in the Bank's previous Economic Value at Risk measure.

The NIIS measures the NII change for a specified change in interest rates for banking book assets, liabilities, and certain off-balance sheet items over a twelve-month horizon assuming a constant balance sheet over the period. The Bank's previous NIIS primarily focused on the risk arising from "mismatched positions". Mismatched positions arise when asset and liability principal and interest cash flows (determined based on contractual cash flows, product optionality and target-modeled maturity profiles for non-maturity products) have different interest payment or maturity dates.

The Bank policy as approved by the Risk Committee sets overall limits on the structural interest rate risk measures. These limits are periodically reviewed and approved by the Risk Committee. In addition to Board policy limits, book-level risk limits consistent with the overall Board Market Risk Policy are set for the Bank's management of non-trading interest rate risk by Risk Management. The Bank has recalibrated its limits for the new EVE and NII Sensitivity risk measures to be consistent with the Bank's enterprise risk appetite. Exposures against these limits are routinely monitored and reported, and breaches of the Board limits, if any, are escalated to both the Asset/Liability and Capital Committee (ALCO) and the Risk Committee of the Board.

The following table shows the potential before-tax impact of an immediate and sustained 100 bps increase or decrease in interest rates on the EVE Sensitivity and NIIS measures.

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

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

)

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

As at January 31, 2020, an immediate and sustained 100 bps increase in interest rates would have had a negative impact to the Bank's EVE of $2,021 million, an increase of $189 million from last quarter, and a positive impact to the Bank's NII of $909 million, an increase of $19 million from last quarter. An immediate and sustained 100 bps decrease in interest rates would have had a positive impact to the Bank's EVE of $803 million, an increase of $185 million from last quarter, and a negative impact to the Bank's NII of $1,282 million, an increase of $51 million from last quarter. The quarter-over-quarter change in EVE and NII Sensitivity is primarily attributed to an increase in net asset sensitivity resulting in higher repricing risk over the next 12 months. Note that the October 31, 2019 EVE and revised NII Sensitivities were not previously reported but are included for comparative purposes. EVE and revised NII Sensitivity results for January 31, 2019 are not included in the table as the new EVE and revised NII Sensitivity measures are not available prior to October 31, 2019.

Liquidity Risk

Liquidity risk is the risk of having insufficient cash or collateral to meet financial obligations and an inability to, in a timely manner, raise funding or monetize assets at a non-distressed price. Financial obligations can arise from deposit withdrawals, debt maturities, commitments to provide credit or liquidity support or the need to pledge additional collateral.

TD'S LIQUIDITY RISK APPETITE

The Bank maintains a prudent and disciplined approach to managing its potential exposure to liquidity risk. The Bank targets a 90-day survival horizon under a combined bank-specific and market-wide stress scenario, and a minimum buffer over regulatory requirements prescribed by the OSFI Liquidity Adequacy Requirements (LAR) guideline. Under the LAR guideline, Canadian banks are required to maintain a Liquidity Coverage Ratio (LCR) at the minimum of 100% and beginning January 2020 a Net Stable Funding Ratio (NSFR) at the minimum of 100%. The Bank's funding program emphasizes maximizing deposits as a core source of funding, and having ready access to wholesale funding markets across diversified terms, funding types, and currencies that is designed to ensure low exposure to a sudden contraction of wholesale funding capacity and to minimize structural liquidity gaps. The Bank also maintains a comprehensive contingency funding plan to enhance preparedness for recovery from potential liquidity stress events. The resultant management strategies and actions comprise an integrated liquidity risk management program that is designed to ensure low exposure to liquidity risk and compliance with regulatory requirements.

LIQUIDITY RISK MANAGEMENT RESPONSIBILITY

The Bank's ALCO oversees the Bank's liquidity risk management program. It ensures there are effective management structures and practices in place to properly measure and manage liquidity risk. The GLF, a subcommittee of the ALCO comprised of senior management from Treasury Balance Sheet Management (TBSM), Risk Management and Wholesale Banking, identifies and monitors the Bank's liquidity risks. The management of liquidity risk is the responsibility of the Head of TBSM, while oversight and challenge is provided by the ALCO and independently by Risk Management. The Risk Committee of the Board regularly reviews the Bank's liquidity position and approves the Bank's Liquidity Risk Management Framework bi-annually and the related policies annually.

The Bank has established TDGUS, as TD's U.S. IHC, and a Combined U.S. Operations (CUSO) reporting unit that consists of the IHC and TD's U.S. branch and agency network. Both TDGUS and CUSO are managed to the U.S. Enhanced Prudential Standards liquidity requirements in addition to the Bank's liquidity management framework.

The Bank's liquidity risk appetite and liquidity risk management approach have not substantially changed from that described in the Bank's 2019 Annual Report. For a complete discussion of liquidity risk, refer to the "Liquidity Risk" section in the Bank's 2019 Annual Report.

LIQUID ASSETS

The unencumbered liquid assets the Bank holds to meet its liquidity requirements must be high-quality securities that the Bank believes can be monetized quickly in stress conditions with minimum loss in market value. The liquidity value of unencumbered liquid assets considers estimated market or trading depths, settlement timing, and/or other identified impediments to potential sale or pledging. Overall, the Bank expects any reduction in market value of its liquid asset portfolio to be modest given the underlying high credit quality and demonstrated liquidity.

Assets held by the Bank to meet liquidity requirements are summarized in the following tables. The tables do not include assets held within the Bank's insurance businesses due to investment restrictions.

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

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

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

Liquid assets are held in The Toronto-Dominion Bank and multiple domestic and foreign subsidiaries and branches and are summarized in the following table.

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

FUNDING

The Bank has access to a variety of unsecured and secured funding sources. The Bank's funding activities are conducted in accordance with the liquidity management policy that requires assets be funded to the appropriate term and to a prudent diversification profile.

The Bank's primary approach to managing funding activities is to maximize the use of deposits raised through personal and commercial banking channels. The following table illustrates the Bank's large base of personal and commercial, wealth, and TD Ameritrade sweep deposits (collectively, "P&C deposits") that make up over 70% of total 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

WHOLESALE FUNDING

The Bank actively maintains various registered external wholesale term (greater than 1 year) funding programs to provide access to diversified funding sources, including asset securitization, covered bonds, and unsecured wholesale debt. The Bank also raises term funding through Senior Notes, NHA MBS, Canada Mortgage Bonds, and notes backed by credit card receivables (Evergreen Credit Card Trust). The Bank's wholesale funding is diversified by geography, by currency, and by funding types. The Bank raises short-term (1 year and less) funding using certificates of deposit and commercial paper.

The Bank maintains depositor concentration limits against short-term wholesale deposits so that it does not depend on small groups of depositors for funding. The Bank further limits short-term wholesale funding maturity concentration in an effort to mitigate exposures to refinancing risk during a stress event.

MATURITY ANALYSIS OF ASSETS, LIABILITIES, AND OFF-BALANCE SHEET COMMITMENTS

The following table summarizes on-balance sheet and off-balance sheet categories by remaining contractual maturity. Off-balance sheet commitments include contractual obligations to make future payments on operating capital lease commitments, certain purchase obligations, and other liabilities. The values of credit instruments reported in the following table represent the maximum amount of additional credit that the Bank could be obligated to extend should such instruments be fully drawn or utilized. Since a significant portion of guarantees and commitments are expected to expire without being drawn upon, the total of the contractual amounts is not representative of expected future liquidity requirements. These contractual obligations have an impact on the Bank's short-term and long-term liquidity and capital resource needs.

The maturity analysis presented does not depict the degree of the Bank's maturity transformation or the Bank's exposure to interest rate and liquidity risk. The Bank ensures that assets are appropriately funded to protect against borrowing cost volatility and potential reductions to funding market availability. The Bank utilizes stable non-maturity deposits (chequing and savings accounts) and term deposits as the primary source of long-term funding for the Bank's non-trading assets including personal and business term loans and the stable balance of revolving lines of credit. The Bank issues long-term funding based primarily on the projected net growth of non-trading assets and raises short term funding primarily to finance trading assets. The liquidity of trading assets under stressed market conditions is considered when determining the appropriate term of the funding.

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

–

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

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

190

113

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

)

134,854

Securities purchased under reverse repurchase agreements²

101,815

39,711

16,816

4,348

2,733

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

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

–

14,155

Investment in TD Ameritrade

–

9,456

Goodwill³

–

17,047

Other intangibles³

–

2,422

Land, buildings, equipment, and other depreciable assets^3,4

325

4,044

5,182

9,624

Deferred tax assets

–

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

–

112,040

Deposits^5,6

Personal

5,861

9,590

9,621

7,584

7,702

9,424

9,457

459,392

518,655

Banks

6,956

944

482

–

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

–

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

–

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

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 commitments^7,8

17,833

21,339

16,232

12,480

16,386

28,516

111,912

5,828

1,300

231,826

Other commitments⁹

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

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

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

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
Deposits^5,6
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 commitments^9,10	$	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

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

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

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.