The following table discloses the notional amount of over-the-counter and exchange-traded derivatives.


Over-the-Counter and Exchange-Traded Derivatives (millions of Canadian dollars)


October 31 2016


Trading


Over-the-Counter1 Non


Clearing house2


Notional


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 Total


1 $ – $ 388,754


4,430,548 – –


4,819,302


– – – – – –


–


4,039 439


4,478 –


246 246


–


118,517 560,316 14,841 16,717


710,391 –


1,127,778 –


556,542 32,097 32,683


1,749,100


1,541 419


1,960


47,371 22,627


69,998 $ 4,824,026 $ 2,531,449


Collateral held under a Credit Support Annex to help reduce counterparty credit risk is in the form of high quality and liquid assets such as cash and high quality government securities. Acceptable collateral is governed by the Collateralized Trading Policy.


2


Derivatives executed through a central clearing house reduces settlement risk due to the ability to net settle offsetting positions for capital purposes and therefore receive preferential capital treatment compared to those settled with non-central clearing house counterparties.


3


$ 438,709 $ 438,709 $ – –


507,271


42,543 68,989


550,241


7 – – – – –


7


– –


–


40,678 23,414


64,092


4,990,864 57,384 85,706


6,079,934 7


1,127,778 –


556,542 32,097 32,683


1,749,107


5,580 858


6,438


88,049 46,287


134,336 214


– $ 438,709 $ 261,425 507,485


1,072,602 340


2,081 1,075,237 –


32,875 –


89,241 – –


122,116


3,853 –


3,853


32,835 –


32,835


6,063,466 57,724 87,787


7,155,171 7


1,160,653 –


645,783 32,097 32,683


1,871,223


9,433 858


10,291


120,884 46,287


167,171 372,891


4,636,437 29,235 34,445


5,334,433 37


713,690 –


548,953 23,973 23,286


1,309,939


8,333 904


9,237


112,335 25,834


138,169 $ 614,340 $ 7,969,815 $ 1,234,041 $ 9,203,856 $ 6,791,778


Includes $894 billion of over-the-counter derivatives that are transacted with clearing houses (October 31, 2015 – $912 billion) and $340 billion of over-the- counter derivatives that are transacted with non-clearing houses (October 31, 2015 – $374 billion) as at October 31, 2016. There were no exchange-traded derivatives both as at October 31, 2016 and October 31, 2015.


clearing house


Exchange- traded


Non- Total trading3 Total Total As at


October 31 2015


164 TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS


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