Credit Exposure of Derivatives (millions of Canadian dollars)
Current
replacement cost
Interest rate contracts Forward rate agreements Swaps
Options purchased Total interest rate contracts
Foreign exchange contracts Forward contracts
Cross-currency interest rate swaps Options purchased
Total foreign exchange contracts
Other contracts Credit derivatives Equity contracts
Commodity contracts Total other contracts Total derivatives
Less: impact of master netting agreements Total derivatives after netting
Less: impact of collateral Net derivatives
Qualifying Central Counterparty (QCCP) Contracts Total
Current Replacement Cost of Derivatives (millions of Canadian dollars,
except as noted)
By sector Financial
Government Other
Current replacement cost
Less: impact of master netting agreements and collateral
Total current replacement cost
By location of risk2 Canada
United States
Other international United Kingdom Europe – other Other
Total Other international Total current replacement cost
1 Based on geographic location of unit responsible for recording revenue. 2 After impact of master netting agreements and collateral.
Certain of the Bank’s derivative contracts are governed by master derivative agreements having provisions that may permit the Bank’s counterparties to require, upon the occurrence of a certain contingent event: (1) the posting of collateral or other acceptable remedy such as assignment of the affected contracts to an acceptable counterparty; or (2) settlement of outstanding derivative contracts. Most often, these contingent events are in the form of a downgrade of the senior debt ratings of the Bank, either as counterparty or as guarantor of one of the Bank’s subsidiaries. At October 31, 2016, the aggregate net liability position of those contracts would require: (1) the posting of collateral or other acceptable remedy totalling $233 million (October 31, 2015 – $97 million) in the event of a one-notch or two-notch downgrade in the Bank’s senior debt ratings; and (2) funding totalling nil (October 31, 2015 – nil) following the termination and settlement of outstanding derivative contracts in the event of a one-notch or two-notch downgrade in the Bank’s senior debt ratings.
Certain of the Bank’s derivative contracts are governed by master derivative agreements having credit support provisions that permit the Bank’s counterparties to call for collateral depending on the net mark- to-market exposure position of all derivative contracts governed by that master derivative agreement. Some of these agreements may permit the Bank’s counterparties to require, upon the downgrade of the senior debt ratings of the Bank, to post additional collateral. As at October 31, 2016, the fair value of all derivative instruments with credit risk related contingent features in a net liability position was $15 billion (October 31, 2015 – $14 billion). The Bank has posted $18 billion (October 31, 2015 – $16 billion) of collateral for this exposure in the normal course of business. As at October 31, 2016, the impact of a one-notch downgrade in the Bank’s senior debt ratings would require the Bank to post an additional $111 million (October 31, 2015 – $194 million) of collateral to that posted in the normal course of business. A two-notch down grade in the Bank’s senior debt ratings would require the Bank to post an additional $123 million (October 31, 2015 – $228 million) of collateral to that posted in the normal course of business.
166 TD BANK GROUP ANNUAL REPORT 2016 FINANCIAL RESULTS
October 31 2016
$ 4,913 4,009
903
1,002 908
2,813 $ 11,735
October 31 2015
$ 4,268 4,379
256
1,496 597
2,349 $ 10,996
October 31 2016
$ 38,574 9,198 2,336
$ 50,108 Canada1
October 31 2015
$ 35,352 9,107 2,111
$ 46,570
October 31 2016
$ 4,374 80
1,128 $ 5,582
United States1 October 31
2015
$ 4,373 38
837 $ 5,248
October 31 2016
Other International1 October 31
2015
$ 6,420 2,193 1,611
$ 10,224
$ 6,405 2,830 1,725
$ 10,960
October 31 2016
$ 49,368 11,471 5,075
$ 65,914 54,179
$ 11,735 October 31
2016 % mix
41.9% 34.2
7.7 8.5 7.7
23.9 100.0% $ 132
21,542 495
22,169
17,756 23,382 542
41,680 3
1,285 777
2,065
65,914 45,646
20,268 8,533
11,735 2,106
$ 13,841 Credit
equivalent amount
$ 256
26,041 569
26,866
32,874 40,645 954
74,473 291
4,963 1,925
7,179
108,518 63,176
45,342 8,881
36,461 15,917
$ 52,378
October 31, 2016 Risk-
weighted amount
$ 64
11,577 278
11,919
5,652 9,315 198
15,165 109
1,087 516
1,712
28,796 19,856
8,940 2,146
6,794 3,234
$ 10,028 Current
replacement cost
$ 26
21,908 638
22,572
11,976 26,148 404
38,528 17
1,079 582
1,678
62,778 39,962
22,816 11,820
10,996 1,937
$ 12,933 Credit
equivalent amount
$ 67
26,915 727
27,709
20,750 52,070 688
73,508 287
4,185 1,431
5,903
107,120 58,659
48,461 12,173
36,288 14,735
$ 51,023
As at
October 31, 2015 Risk-
weighted amount
$ 21
13,869 359
14,249 4,866
16,645 166
21,677
118 954 365
1,437
37,363 24,957
12,406 3,649
8,757 2,070
$ 10,827
As at Total
October 31 2015
$ 46,130 11,975 4,673
$ 62,778 51,782
$ 10,996 October 31
2015 % mix
38.8% 39.8
2.3
13.6 5.5
21.4 100.0%
Page 1 |
Page 2 |
Page 3 |
Page 4 |
Page 5 |
Page 6 |
Page 7 |
Page 8 |
Page 9 |
Page 10 |
Page 11 |
Page 12 |
Page 13 |
Page 14 |
Page 15 |
Page 16 |
Page 17 |
Page 18 |
Page 19 |
Page 20 |
Page 21 |
Page 22 |
Page 23 |
Page 24 |
Page 25 |
Page 26 |
Page 27 |
Page 28 |
Page 29 |
Page 30 |
Page 31 |
Page 32 |
Page 33 |
Page 34 |
Page 35 |
Page 36 |
Page 37 |
Page 38 |
Page 39 |
Page 40 |
Page 41 |
Page 42 |
Page 43 |
Page 44 |
Page 45 |
Page 46 |
Page 47 |
Page 48 |
Page 49 |
Page 50 |
Page 51 |
Page 52 |
Page 53 |
Page 54 |
Page 55 |
Page 56 |
Page 57 |
Page 58 |
Page 59 |
Page 60 |
Page 61 |
Page 62 |
Page 63 |
Page 64 |
Page 65 |
Page 66 |
Page 67 |
Page 68 |
Page 69 |
Page 70 |
Page 71 |
Page 72 |
Page 73 |
Page 74 |
Page 75 |
Page 76 |
Page 77 |
Page 78 |
Page 79 |
Page 80 |
Page 81 |
Page 82 |
Page 83 |
Page 84 |
Page 85 |
Page 86 |
Page 87 |
Page 88 |
Page 89 |
Page 90 |
Page 91 |
Page 92 |
Page 93 |
Page 94 |
Page 95 |
Page 96 |
Page 97 |
Page 98 |
Page 99 |
Page 100 |
Page 101 |
Page 102 |
Page 103 |
Page 104 |
Page 105 |
Page 106 |
Page 107 |
Page 108 |
Page 109 |
Page 110 |
Page 111 |
Page 112 |
Page 113 |
Page 114 |
Page 115 |
Page 116 |
Page 117 |
Page 118 |
Page 119 |
Page 120 |
Page 121 |
Page 122 |
Page 123 |
Page 124 |
Page 125 |
Page 126 |
Page 127 |
Page 128 |
Page 129 |
Page 130 |
Page 131 |
Page 132 |
Page 133 |
Page 134 |
Page 135 |
Page 136 |
Page 137 |
Page 138 |
Page 139 |
Page 140 |
Page 141 |
Page 142 |
Page 143 |
Page 144 |
Page 145 |
Page 146 |
Page 147 |
Page 148 |
Page 149 |
Page 150 |
Page 151 |
Page 152 |
Page 153 |
Page 154 |
Page 155 |
Page 156 |
Page 157 |
Page 158 |
Page 159 |
Page 160 |
Page 161 |
Page 162 |
Page 163 |
Page 164 |
Page 165 |
Page 166 |
Page 167 |
Page 168 |
Page 169 |
Page 170 |
Page 171 |
Page 172 |
Page 173 |
Page 174 |
Page 175 |
Page 176 |
Page 177 |
Page 178 |
Page 179 |
Page 180 |
Page 181 |
Page 182 |
Page 183 |
Page 184 |
Page 185 |
Page 186 |
Page 187 |
Page 188 |
Page 189 |
Page 190 |
Page 191 |
Page 192 |
Page 193 |
Page 194 |
Page 195 |
Page 196 |
Page 197 |
Page 198 |
Page 199 |
Page 200 |
Page 201 |
Page 202 |
Page 203 |
Page 204 |
Page 205 |
Page 206 |
Page 207 |
Page 208 |
Page 209 |
Page 210 |
Page 211 |
Page 212
