The following table summarizes the Bank’s average monthly LCR position for the fourth quarter of 2016, calculated in accordance with OSFI’s LAR guideline.
T ABLE 60 AVERAGE BASEL III LIQUIDITY COVERAGE RATIO1 (millions of Canadian dollars, except as noted)
Average for the three months ended October 31, 2016 Total
Total
unweighted value
(average)2
High-quality liquid assets Total high-quality liquid assets
Cash outflows
Retail deposits and deposits from small business customers, of which: Stable deposits5
Less stable deposits Unsecured wholesale funding, of which:
Operational deposits (all counterparties) and deposits in networks of cooperative banks6 Non-operational deposits (all counterparties) Unsecured debt
Secured wholesale funding Additional requirements, of which:
Outflows related to derivative exposures and other collateral requirements Outflows related to loss of funding on debt products Credit and liquidity facilities
Other contractual funding obligations Other contingent funding obligations7
Total cash outflows
Cash inflows Secured lending
Inflows from fully performing exposures Other cash inflows
Total cash inflows $
$ 399,760 173,541 226,219 218,112 100,863 89,011 28,238
n/a4
158,176 23,356 7,678
127,142 13,903
513,344 n/a4
$ 119,380 14,223 9,082
$ 142,685
$ 27,828 5,206
22,622 98,703 23,873 46,592 28,238 6,594
39,990 6,116 7,678
26,196 8,321 7,559
$ 188,995
$ 17,532 8,059 9,082
$ 34,673
Average for the three months ended October 31
2016
Total adjusted value
Total high-quality liquid assets8 Total net cash outflows9 Liquidity coverage ratio10
1 The average is comprised of the three month ends that are in the fiscal quarter. 2
Unweighted inflow and outflow values are outstanding balances maturing or callable within 30 days.
Weighted values are calculated after the application of respective HQLA haircuts or inflow and outflow rates, as prescribed by the OSFI LAR guidelines. 4 Not applicable.
3 8 5
As defined by OSFI LAR, stable deposits from retail and small medium-sized enterprise (SME) customers are deposits that are insured, and are either held in transactional accounts or the depositors have an established relationship with the Bank that make deposit withdrawal highly unlikely.
6
Operational deposits from non-SME business customers are deposits kept with the Bank in order to facilitate their access and ability to conduct payment and settlement activities. These activities include clearing, custody, or cash management services.
The Bank’s average LCR of 130% for quarter ended October 31, 2016, continues to meet the regulatory requirement. The Bank holds a variety of liquid assets commensurate with the liquidity needs of the organization. Many of these assets qualify as HQLA under the OSFI LAR guidelines. The average HQLA of the Bank for the quarter ended October 31, 2016, was $200.3 billion (July 31, 2016 – $189.8 billion), with level 1 assets representing 84%.
7
$ 200,328 154,322
130%
July 31 2016
Total adjusted value
$ 189,802 144,086
132%
Includes uncommitted credit and liquidity facilities, stable value money market mutual funds, outstanding debt securities with remaining maturity greater than 30 days, and other contractual cash outflows. TD has no contractual obligation to buyback these outstanding TD debt securities, and as a result, a 0% outflow rate is applied under the OSFI LAR guideline.
Adjusted HQLA includes both asset haircut and applicable caps, as prescribed by the OSFI LAR (HQLA assets after haircuts are capped at 40% for Level 2 and 15% for Level 2B).
9
Adjusted Net Cash Outflows include both inflow and outflow rates and applicable caps, as prescribed by the OSFI LAR (inflows are capped at 75% of outflows).
10
The LCR percentage is calculated as the simple average of the three month-end LCR percentages.
The Bank’s reported HQLA excludes excess HQLA from the U.S. Retail operations, as required by the OSFI LAR, to reflect liquidity transfer considerations between U.S. Retail and its affiliates as a result of U.S. Federal Reserve Board’s regulations. By excluding excess HQLA, the U.S. Retail LCR is effectively capped at 100% prior to total Bank consolidation.
$ n/a4
weighted value
(average)3 $ 200,328
96 TD BANK GROUP ANNUAL REPORT 2016 MANAGEMENT’S DISCUSSION AND ANALYSIS
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