IFRS 7 Disclosure (Tables)

6 Months Ended

Apr. 30, 2020

Text Block [Abstract]

Portfolio Market Risk Measures

TABLE 28:  PORTFOLIO MARKET RISK MEASURES

(millions of Canadian dollars)	For the three months ended																	For the six months ended
											April 30 2020		January 31 2020			April 30 2019			April 30 2020			April 30 2019
		As at			Average			High			Low		Average			Average			Average			Average
Interest rate risk	$	24.1		$	19.7		$	32.9		$	7.6	$	13.8		$	8.6		$	16.7		$	10.8
Credit spread risk		68.6			47.9			109.3			9.2		9.5			12.2			28.7			16.0
Equity risk		18.3			10.5			32.4			3.5		6.9			6.7			8.7			6.9
Foreign exchange risk		6.8			4.8			10.4			1.9		4.4			5.4			4.6			6.0
Commodity risk		6.4			2.9			7.0			1.2		2.0			2.2			2.4			2.4
Idiosyncratic debt specific risk		47.4			34.2			55.3			15.9		14.5			15.1			24.3			17.6
Diversification effect1		(111.8	)		(68.6	)		n/m	2		n/m		(31.6	)		(29.2	)		(50.0	)		(35.4	)
Total Value-at-Risk (one-day)		59.8			51.4			118.8			20.0		19.5			21.0			35.4			24.3
Stressed Value-at-Risk (one-day)		54.3			76.6			126.9			49.9		44.9			43.5			60.8			52.6
Incremental Risk Capital Charge(one-year)	$	450.2		$	338.0		$	481.1		$	170.5	$	209.8		$	204.2		$	273.9		$	219.5

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.

Structural Interest Rate Sensitivity Measures

TABLE 29:  STRUCTURAL INTEREST RATE SENSITIVITY MEASURES

(millions of Canadian dollars)																									As at
	April 30, 2020																		January 31, 2020						October 31, 2019
	EVE Sensitivity									NII1 Sensitivity									EVE Sensitivity			NII Sensitivity			EVE Sensitivity			NII Sensitivity
		Canada			U.S.			Total			Canada			U.S.			Total			Total			Total			Total			Total
Before-tax impact of
100 bps increase in rates	$	(114	)	$	(2,005	)	$	(2,119	)	$	723		$	879		$	1,602		$	(2,021	)	$	909		$	(1,832	)	$	890
100 bps decrease in rates		(110	)		432			322			(565	)		(575	)		(1,140	)		803			(1,282	)		618			(1,231	)

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

Summary of Liquid Assets by Type and Currency

TABLE 30:  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
													April 30, 2020
Cash and due from banks	$	49,945	$	–	$	49,945		6	%	$	1,861	$	48,084
Canadian government obligations		33,621		82,321		115,942		15			63,623		52,319
National Housing Act Mortgage-Backed Securities (NHA MBS)		40,722		27		40,749		5			1,745		39,004
Provincial government obligations		20,742		27,119		47,861		6			34,045		13,816
Corporate issuer obligations		12,592		7,985		20,577		3			3,738		16,839
Equities		6,587		3,642		10,229		1			7,293		2,936
Other marketable securities and/or loans		3,441		246		3,687		–			1,268		2,419
Total Canadian dollar-denominated		167,650		121,340		288,990		36			113,573		175,417
Cash and due from banks		95,796		–		95,796		12			40		95,756
U.S. government obligations		42,478		44,281		86,759		11			47,965		38,794
U.S. federal agency obligations, including U.S. federal agency mortgage-backed obligations		74,412		7,493		81,905		10			21,078		60,827
Other sovereign obligations		52,216		44,996		97,212		12			41,557		55,655
Corporate issuer obligations		87,208		2,215		89,423		11			6,784		82,639
Equities		22,031		30,220		52,251		7			31,504		20,747
Other marketable securities and/or loans		5,097		2,959		8,056		1			801		7,255
Total non-Canadian dollar-denominated		379,238		132,164		511,402		64			149,729		361,673
Total	$	546,888	$	253,504	$	800,392		100	%	$	263,302	$	537,090
													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 31:  SUMMARY OF UNENCUMBERED LIQUID ASSETS BY BANK, SUBSIDIARIES, AND BRANCHES

(millions of Canadian dollars)			As at
		April 30 2020		October 31 2019
The Toronto-Dominion Bank (Parent)	$	216,998	$	139,550
Bank subsidiaries		300,632		228,978
Foreign branches		19,460		23,085
Total	$	537,090	$	391,613

Summary of Deposit Funding

TABLE 38: SUMMARY OF DEPOSIT FUNDING

(millions of Canadian dollars)			As at
	April 30 2020		October 31 2019
P&C deposits – Canadian Retail	$	430,366	$	382,252
P&C deposits – U.S. Retail		461,376		360,761
Other deposits		23		23
Total	$	891,765	$	743,036

Summary of Remaining Contractual Maturity

TABLE 41:  REMAINING CONTRACTUAL MATURITY

(millions of Canadian dollars)	As at
	April 30, 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	$	5,292	$	5	$	–	$	–	$	–	$	–	$	–	$	–	$	–		$	5,297
Interest-bearing deposits with banks		143,732		742		–		–		–		–		–		–		2,286			146,760
Trading loans, securities, and other1		1,298		5,701		7,154		3,183		8,929		13,979		21,817		26,019		43,750			131,830
Non-trading financial assets at fair value through profit or loss		959		835		580		12		299		1,791		2,037		1,394		761			8,668
Derivatives		7,385		9,935		6,210		5,414		3,576		8,621		13,589		19,106		–			73,836
Financial assets designated at fair value through profit or loss		209		230		104		46		191		537		1,649		613		–			3,579
Financial assets at fair value through other comprehensive income		2,827		8,910		7,809		3,820		6,593		32,170		22,659		33,264		2,653			120,705
Debt securities at amortized cost, net of allowance for credit losses		863		3,999		3,406		2,150		1,611		10,244		59,023		79,091		(2	)		160,385
Securities purchased under reverse repurchase agreements2		108,891		33,122		13,521		3,408		8,437		49		321		42		–			167,791
Loans
Residential mortgages		1,076		5,575		12,212		9,237		8,317		34,429		130,192		42,412		–			243,450
Consumer instalment and other personal		2,515		1,858		2,692		3,246		4,352		14,353		78,765		14,368		60,521			182,670
Credit card		–		–		–		–		–		–		–		–		34,242			34,242
Business and government		35,411		8,458		9,551		10,736		10,730		33,224		92,371		66,474		26,578			293,533
Total loans		39,002		15,891		24,455		23,219		23,399		82,006		301,328		123,254		121,341			753,895
Allowance for loan losses		–		–		–		–		–		–		–		–		(6,925	)		(6,925	)
Loans, net of allowance for loan losses		39,002		15,891		24,455		23,219		23,399		82,006		301,328		123,254		114,416			746,970
Customers’ liability under acceptances		11,679		2,358		358		–		–		–		–		–		–			14,395
Investment in TD Ameritrade		–		–		–		–		–		–		–		–		10,175			10,175
Goodwill3		–		–		–		–		–		–		–		–		17,823			17,823
Other intangibles3		–		–		–		–		–		–		–		–		2,369			2,369
Land, buildings, equipment, and other depreciable assets3,4		3		6		10		9		10		299		1,236		2,886		5,399			9,858
Deferred tax assets		–		–		–		–		–		–		–		–		1,623			1,623
Amounts receivable from brokers, dealers, and clients		31,427		–		–		–		–		–		–		–		–			31,427
Other assets		4,657		769		344		234		3,369		149		117		118		10,497			20,254
Total assets	$	358,224	$	82,503	$	63,951	$	41,495	$	56,414	$	149,845	$	423,776	$	285,787	$	211,750		$	1,673,745
Liabilities
Trading deposits	$	4,973	$	2,707	$	4,329	$	3,555	$	1,641	$	4,040	$	3,808	$	1,345	$	–		$	26,398
Derivatives		7,562		10,170		4,888		6,083		3,287		7,365		13,550		20,085		–			72,990
Securitization liabilities at fair value		–		607		387		526		135		2,793		6,854		2,171		–			13,473
Financial liabilities designated at fair value through profit or loss		8,802		25,770		35,536		13,492		10,535		2		4		23		–			94,164
Deposits5,6
Personal		6,007		10,495		9,010		7,661		8,399		9,814		9,018		35		544,227			604,666
Banks		12,706		1,047		232		7		28		–		3		7		10,515			24,545
Business and government		30,272		19,486		12,022		9,063		14,591		26,129		48,518		5,112		283,902			449,095
Total deposits		48,985		31,028		21,264		16,731		23,018		35,943		57,539		5,154		838,644			1,078,306
Acceptances		11,679		2,358		358		–		–		–		–		–		–			14,395
Obligations related to securities sold short1		90		1,401		354		703		409		3,361		8,809		12,237		1,367			28,731
Obligations related to securities sold under repurchase agreements2		116,329		15,652		8,142		369		23,071		50		–		104		–			163,717
Securitization liabilities at amortized cost		–		360		342		1,055		225		1,579		8,222		2,733		–			14,516
Amounts payable to brokers, dealers, and clients		29,419		–		–		–		–		–		–		–		–			29,419
Insurance-related liabilities		217		324		365		296		291		965		1,615		923		1,926			6,922
Other liabilities4		1,215		2,373		509		2,517		1,379		1,812		2,029		1,081		10,441			23,356
Subordinated notes and debentures		–		–		–		–		–		–		–		14,024		–			14,024
Equity		–		–		–		–		–		–		–		–		93,334			93,334
Total liabilities and equity	$	229,271	$	92,750	$	76,474	$	45,327	$	63,991	$	57,910	$	102,430	$	59,880	$	945,712		$	1,673,745
Off-balance sheet commitments
Credit and liquidity commitments7,8	$	19,462	$	24,423	$	18,116	$	15,744	$	19,717	$	31,904	$	97,580	$	6,147	$	1,367		$	234,460
Other commitments9		90		95		154		211		164		644		988		1,305		–			3,651
Unconsolidated structured entity commitments		–		1,348		1,488		13		480		–		–		–		–			3,329
Total off-balance sheet commitments	$	19,552	$	25,866	$	19,758	$	15,968	$	20,361	$	32,548	$	98,568	$	7,452	$	1,367		$	241,440

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 $43 billion of covered bonds with remaining contractual maturities of $2 billion in ‘over 1 month to 3 months’, $2 billion in ‘over 6 months to 9 months’, $3 billion in ‘over 9 months to 1 year’, $14 billion in ‘over 1 to 2 years’, $19 billion in ‘over 2 to 5 years’, and $3 billion in ‘over 5 years’.

⁷  Includes $332 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 41:  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.