2016 Annual Report

Equity options give the purchaser of the option, for a premium, the right, but not the obligation, to buy from or sell to the writer of an option, an underlying stock index, basket of stocks or single stock at a contracted price. Options are transacted both OTC and through exchanges.

Equity index futures are standardized contracts transacted on an exchange. They are based on an agreement to pay or receive a cash amount based on the difference between the contracted price level

Fair Value of Derivatives – Held or Issued for Trading Purposes (millions of Canadian dollars)

Average fair value for the year1

Positive

Interest rate contracts Futures

Forward rate agreements Swaps

Options written Options purchased Total interest rate contracts

Foreign exchange contracts Futures

Forward contracts Swaps

Cross-currency interest rate swaps Options written

Options purchased Total foreign exchange contracts

Credit derivatives Credit default swaps – protection purchased Credit default swaps – protection sold

Total credit derivative contracts

Other contracts Equity contracts

Commodity contracts Total other contracts Fair value – trading

1 $ – 101

26,086 –

516 26,703 –

13,511 –

20,046 –

477 34,034

12 11

23

816 748

1,564 $ 62,324

The average fair value of trading derivatives over a 12-month period had a positive fair value and a negative fair value of $56.6 billion and $55.4 billion, respectively, for the year ended October 31, 2015.

Fair Value of Derivatives – Held or Issued for Non-Trading Purposes (millions of Canadian dollars)

Negative $

12 44

22,225 466 –

22,747 –

14,296 –

19,883 476 –

34,655

66 11

77

1,340 852

2,192 $ 59,671 $

of an underlying stock index and its corresponding market price level at a specified future date. There is no actual delivery of stocks that comprise the underlying index. These contracts are in standard amounts with standard settlement dates.

Commodity contracts include commodity forwards, futures, swaps, and options, such as precious metals and energy-related products in both OTC and exchange markets.

October 31, 2016 Fair value as at

Positive 1 122

24,069 –

452 24,644 –

16,087 –

17,470 –

542 34,099

– –

–

798 873

1,671 $ 60,414

balance sheet date Negative

$ – 49

20,232 414 –

20,695 –

16,743 –

18,613 568 –

35,924

101 2

103

1,413 663

2,076 $ 58,798 $ Positive

– 3

23,520 –

609 24,132 –

8,783 –

19,630 –

404 28,817 9

11 20

890 726

1,616 $ 54,585

October 31, 2015 Fair value as at

balance sheet date Negative

$

32 26

19,983 495 –

20,536 –

9,724 –

18,224 427 –

28,375

55 8

63

1,317 954

2,271 $ 51,245

October 31, 2016 Fair value as at

Positive

Interest rate contracts Forward rate agreements Swaps

Options written Options purchased Total interest rate contracts

Foreign exchange contracts Forward contracts Swaps

Cross-currency interest rate swaps Total foreign exchange contracts

Credit derivatives Credit default swaps – protection purchased

Total credit derivative contracts

Other contracts Equity contracts

Total other contracts Fair value – non-trading $ 1

2,676 –

47 2,724

1,870 –

5,912 7,782

– –

1,322 1,322

$ 11,828

balance sheet date Negative

$ –

1,492 3 –

1,495

393 –

3,239 3,632

154 154

1,346 1,346

$ 6,627 $ Positive –

3,806 –

32 3,838

3,408 –

6,518 9,926

43 43

1,046 1,046

$ 14,853

October 31, 2015 Fair value as at

balance sheet date Negative

$ –

2,543 2 –

2,545

455 –

1,788 2,243

227 227

958 958

$ 5,973

TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS 161

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