Carrying Amount and Maximum Exposure to Unconsolidated Structured Entities1 (millions of Canadian dollars)
October 31, 2016 Securitizations FINANCIAL ASSETS
Trading loans, securities, and other
Derivatives2
Financial assets designated at fair value through profit or loss Available-for-sale securities Held-to-maturity securities Loans Other
Total assets
FINANCIAL LIABILITIES Derivatives2
Obligations related to securities sold short
Total liabilities Off-balance sheet exposure3
Maximum exposure to loss from involvement with unconsolidated structured entities
Size of sponsored unconsolidated structured entities4
1 2
$ 5,793 –
16
42,083 48,575 2,891 9
99,367 –
3,002 3,002
16,274 112,639 $ 14,215
$ 642 30
172 509 – – –
1,353
346 265
611 131 873 $ 1,005 $
– –
26 95 – –
2,903 3,024
– –
– 3,776 6,800 $ 1,750
Certain comparative amounts have been restated to conform with the presentation adopted in the current period.
Derivatives primarily subject to vanilla interest rate or foreign exchange risk are not included in these amounts as those derivatives are designed to align the structured entity’s cash flows with risks absorbed by investors and are not predominantly designed to expose the Bank to variable returns created by the entity.
3
For the purposes of this disclosure, off balance-sheet exposure represents the notional value of liquidity facilities, guarantees, or other off-balance sheet commitments without considering the effect of collateral or other credit enhancements.
Sponsored Unconsolidated Structured Entities in which the Bank has no Significant Investment at the End of the Period
Sponsored unconsolidated structured entities in which the Bank has no significant investment at the end of the period are predominantly investment funds and trusts created for the asset management business. The Bank would not typically hold investments, with the exception of seed capital, in these structured entities. However, the Bank continues to earn fees from asset management services provided to these entities, some of which could be based on the performance of the fund. Fees payable are generally senior in the entity’s priority of payment and would
also be backed by collateral, limiting the Bank’s exposure to loss from these entities. The Bank’s non-interest income received from its involvement with these asset management entities was $1.7 billion (October 31, 2015 − $1.6 billion) for the year ended October 31, 2016. The total AUM in these entities as at October 31, 2016, was $191.6 billion (October 31, 2015 − $178.9 billion). Any assets transferred by the Bank during the period are co-mingled with assets obtained from third parties in the market. Except as previously disclosed, the Bank has no contractual or non-contractual arrangements to provide financial support to unconsolidated structured entities.
4
$ 6,435 30
214
42,687 48,575 2,891 2,912
103,744 346
3,267 3,613
20,181 120,312 $ 16,970
$ 6,148 –
12
42,415 43,820 3,081 7
95,483 –
3,023 3,023
11,869 104,329 $ 10,404
$ 1,123 156
108 388 – – –
1,775
195 232
427 353 1,701 $ 252 $
– –
39
122 – –
2,717 2,878
– –
– 1,832 4,710 $ 1,750
$ 7,271 156
159
42,925 43,820 3,081 2,724
100,136 195
3,255 3,450
14,054 110,740 $ 12,406
The size of sponsored unconsolidated structured entities is provided based on the most appropriate measure of size for the type of entity: (1) The par value of notes issued by securitization conduits and similar liability issuers; (2) the total AUM of investment funds and trusts; and (3) the total fair value of partnership or equity shares in issue for partnerships and similar equity issuers.
Investment funds and trusts
Other Total Securitizations
Investment funds and trusts
Other
As at October 31, 2015 Total
TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS 159
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