IFRS 7 Disclosure |
6 Months Ended |
|---|---|
Apr. 30, 2024 | |
| IFRS 7 Disclosure [Abstract] | |
| IFRS 7 Disclosure | MARKET RISK Market risk capital is calculated using the Standardized and control market risk. Calculating VaR The Bank computes total VaR on a daily basis by combining the General Bank’s trading positions. GMR is determined by creating a distribution current portfolio using the market price and rate 259 products. GMR is computed as the threshold one 100 one-day period is used for GMR calculation. IDSR measures idiosyncratic (single-name) credit based on the historical behaviour of five-year idiosyncratic expected to exceed more than one 100 ten-day The following graph discloses daily one-day trading income and net interest income related one day 98 % of the trading days, reflecting normal VaR on any trading day. VaR is a valuable risk measure but it should be used in the context ● ● ● The Bank continuously improves its VaR methodologies and incorporates regulatory requirements. To mitigate some of the shortcomings of VaR, the Bank uses additional metrics designed for risk as sensitivities to various market risk factors. The following table presents the end of quarter, average, high, TABLE 29: PORTFOLIO MARKET RISK MEASURES (millions of Canadian dollars) For the three months ended For the six months ended April 30 January 31 April 30 April 30 April 30 2024 2024 2023 2024 2023 As at Average High Low Average Average Average Average Interest rate risk $ 18.3 $ 20.8 $ 27.7 $ 15.6 $ 17.8 $ 28.6 $ 19.3 $ 26.3 Credit spread risk 31.1 26.5 33.1 18.9 29.4 31.8 27.9 30.5 Equity risk 9.0 7.5 9.8 5.2 7.2 11.4 7.3 11.0 Foreign exchange risk 5.0 3.1 7.0 1.4 2.4 4.4 2.7 4.6 Commodity risk 3.8 3.9 6.6 2.2 3.7 3.6 3.8 5.9 Idiosyncratic debt specific risk 20.1 18.9 22.8 15.7 20.9 36.0 19.9 37.5 Diversification effect 1 (56.8) (52.8) n/m 2 n/m (51.2) (65.9) (51.9) (64.4) Total Value-at-Risk (one-day) 30.5 27.9 34.7 24.0 30.2 49.9 29.0 51.4 The aggregate VaR is less than the sum of the VaR 2 Validation of VaR Model The Bank uses a back-testing process Structural (Non-Trading) Interest Rate The Bank’s maturities and repricing dates of the Bank’s assets Wholesale Banking or Insurance businesses. The primary measures for this risk are Economic The EVE Sensitivity measures the impact and certain off-balance sheet items. It reflects a management of the Bank’s own equity and excludes The NIIS measures the NII change over balance sheet items assuming a constant balance The Bank’s Market Risk policy sets overall limits Committee. In addition to the Board policy Exposures against these limits are routinely Committee (ALCO) and the Risk Committee. The following table shows the potential before-tax measures. Interest rate floors are applied currencies set to a floor of -25 bps. TABLE 30: STRUCTURAL INTEREST RATE SENSITIVITY MEASURES (millions of Canadian dollars) As at April 30, 2024 January 31, 2024 April 30, 2023 EVE NII EVE NII EVE NII Sensitivity Sensitivity 1 Sensitivity Sensitivity 1 Sensitivity Sensitivity 1 Canada U.S. Total Canada U.S. Total Total Total Total Total Before-tax impact of $ (502) $ (1,810) $ (2,312) $ 457 $ 418 $ 875 $ (2,136) $ 969 $ (1,682) $ 785 385 1,476 1,861 (484) (569) (1,053) 1,722 (1,152) 1,106 (910) Represents the twelve-month net interest income (NII) exposure to an immediate and sustained shock in rates. As at April 30, 2024, an immediate and sustained 2,312 increase of $ 176 875 94 sustained 100 bps decrease in interest rates 1,861 139 and a negative impact to the Bank’s NII of $ 1,053 99 primarily due to an increase in the interest is primarily due to Treasury hedging activity. Liquidity Risk Liquidity risk is the risk of having insufficient cash at a non-distressed price. Financial obligations to pledge additional collateral. TD’S LIQUIDITY RISK APPETITE The Bank applies an established set of practices under a combined bank-specific and market-wide Requirements (LAR) other than during periods of financial stress maximizing deposits as a core source of that is designed to ensure low exposure contingency funding plan to enhance preparedness liquidity risk management program that is designed LIQUIDITY RISK MANAGEMENT RESPONSIBILITY The Bank’s ALCO oversees the Bank’s liquidity risk measure and manage liquidity risk. The Global Risk Management and Wholesale Banking, identifies member responsible for Treasury, while oversight and challenge are provided regularly reviews the Bank’s liquidity position The Bank has established TD Group US Holding (CUSO) reporting unit that consists of Standards liquidity requirements in addition The Bank’s liquidity risk appetite and liquidity risk For a complete discussion of liquidity risk, Liquid assets The unencumbered liquid assets the Bank holds in stress conditions with minimum loss in timing, and/or other identified impediments Assets held by the Bank to meet liquidity insurance businesses as these are used to TABLE 31: SUMMARY OF LIQUID ASSETS BY TYPE AND CURRENCY 1,2 (millions of Canadian dollars, except as noted) As at Securities received as collateral from securities financing and Bank-owned derivative Total % of Encumbered Unencumbered liquid assets transactions liquid assets total liquid assets liquid assets April 30, 2024 Cash and central bank reserves $ 25,184 $ – $ 25,184 3 % $ 737 $ 24,447 Canadian government obligations 23,108 89,065 112,173 13 51,323 60,850 National Housing Act Mortgage-Backed Securities (NHA MBS) 41,366 – 41,366 4 1,393 39,973 Obligations of provincial governments, public sector entities and multilateral development banks 3 41,497 25,839 67,336 8 36,592 30,744 Corporate issuer obligations 21,088 5,672 26,760 3 5,662 21,098 Equities 11,643 2,987 14,630 2 13,637 993 Total Canadian dollar-denominated 163,886 123,563 287,449 33 109,344 178,105 Cash and central bank reserves 58,173 – 58,173 7 255 57,918 U.S. government obligations 73,624 62,310 135,934 16 75,498 60,436 U.S. federal agency obligations, including U.S. federal agency mortgage-backed obligations 79,327 12,748 92,075 11 27,419 64,656 Obligations of other sovereigns, public sector entities and multilateral development banks 3 65,458 37,119 102,577 12 38,977 63,600 Corporate issuer obligations 78,482 14,856 93,338 11 26,992 66,346 Equities 52,202 36,828 89,030 10 49,879 39,151 Total non-Canadian dollar-denominated 407,266 163,861 571,127 67 219,020 352,107 Total $ 571,152 $ 287,424 $ 858,576 100 % $ 328,364 $ 530,212 October 31, 2023 Cash and central bank reserves $ 28,548 $ – $ 28,548 3 % $ 506 $ 28,042 Canadian government obligations 15,214 94,000 109,214 13 67,457 41,757 NHA MBS 38,760 – 38,760 4 1,043 37,717 Obligations of provincial governments, public sector entities and multilateral development banks 3 40,697 22,703 63,400 8 31,078 32,322 Corporate issuer obligations 19,507 4,815 24,322 3 4,512 19,810 Equities 10,555 2,288 12,843 1 8,890 3,953 Total Canadian dollar-denominated 153,281 123,806 277,087 32 113,486 163,601 Cash and central bank reserves 66,094 – 66,094 8 180 65,914 U.S. government obligations 72,808 64,449 137,257 16 63,688 73,569 U.S. federal agency obligations, including U.S. federal agency mortgage-backed obligations 80,047 15,838 95,885 11 29,487 66,398 Obligations of other sovereigns, public sector entities and multilateral development banks 3 65,996 54,321 120,317 13 56,652 63,665 Corporate issuer obligations 84,853 9,656 94,509 11 15,228 79,281 Equities 38,501 38,388 76,889 9 47,653 29,236 Total non-Canadian dollar-denominated 408,299 182,652 590,951 68 212,888 378,063 Total $ 561,580 $ 306,458 $ 868,038 100 % $ 326,374 $ 541,664 Liquid assets include collateral received that can be re-hypothecated or otherwise redeployed. 2 3 Unencumbered liquid assets held in The are summarized in the following table. TABLE 32: SUMMARY OF UNENCUMBERED LIQUID ASSETS BY (millions of Canadian dollars) As at April 30 October 31 2024 2023 The Toronto-Dominion Bank (Parent) $ 231,560 $ 205,408 Bank subsidiaries 280,336 291,915 Foreign branches 18,316 44,341 Total $ 530,212 $ 541,664 FUNDING The Bank has access to a variety of unsecured management policies that require assets be The following table illustrates the Bank’s base of personal approximately 70 % (October 31, 2023 – 70 %) of the Bank’s total funding. TABLE 40: SUMMARY OF DEPOSIT FUNDING (millions of Canadian dollars) As at April 30 October 31 2024 2023 P&C deposits – Canadian $ 542,967 $ 529,078 P&C deposits – U.S. 1 432,778 446,355 Total $ 975,745 $ 975,433 P&C deposits in U.S. are presented on a Canadian equivalent basis and therefore period-over-period movements rate. WHOLESALE FUNDING The Bank maintains various registered external asset securitization, covered bonds, and card receivables (Evergreen Credit Card currency, and by funding types. The Bank raises short-term (1 The Bank maintains depositor concentration The Bank further limits short-term wholesale MATURITY ANALYSIS OF ASSETS, LIABILITIES, AND OFF-BALANCE SHEET COMMITMENTS The following table summarizes on-balance contractual obligations to make future payments instruments reported in the following be fully drawn or utilized. Since a significant amounts is not representative of expected future liquidity and capital resource needs. The maturity analysis presented does not depict Bank’s objective is to fund its assets appropriately utilizes stable non-maturity deposits (chequing assets including personal and business such non-trading assets and raises short considered when determining the appropriate TABLE 43: REMAINING CONTRACTUAL MATURITY (millions of Canadian dollars) As at April 30, 2024 No Less than 1 to 3 3 to 6 6 to 9 9 months Over 1 to Over 2 to Over specific 1 month months months months to 1 year 2 years 5 years 5 years maturity Total Assets Cash and due from banks $ 6,308 $ – $ – $ – $ – $ – $ – $ – $ – $ 6,308 Interest-bearing deposits with banks 83,379 348 – – – – – 129 3,809 87,665 Trading loans, securities, and other 1 4,456 4,716 5,738 2,726 5,461 12,381 28,002 25,313 77,553 166,346 Non-trading financial assets at fair value through profit or loss 480 451 199 115 272 998 554 952 1,625 5,646 Derivatives 10,945 10,369 5,215 5,060 3,875 10,725 20,347 15,654 – 82,190 Financial assets designated at fair value through profit or loss 415 630 390 276 302 899 1,739 1,274 – 5,925 Financial assets at fair value through other comprehensive income 1,009 6,022 2,036 2,228 2,564 6,967 19,643 31,086 3,691 75,246 Debt securities at amortized cost, net of allowances for credit losses 1,011 15,656 3,433 4,991 4,698 24,556 106,707 132,544 (2) 293,594 Securities purchased under reverse repurchase agreements 2 134,900 27,558 26,496 8,370 3,737 2,773 474 – 1,414 205,722 Loans Residential mortgages 1,220 7,143 13,485 14,905 13,109 62,773 133,296 80,101 – 326,032 Consumer instalment and other personal 1,035 1,732 2,408 3,765 5,981 27,519 85,289 35,212 58,256 221,197 Credit card – – – – – – – – 39,421 39,421 Business and government 54,592 13,033 15,848 16,652 13,993 44,136 100,095 64,920 25,750 349,019 Total loans 56,847 21,908 31,741 35,322 33,083 134,428 318,680 180,233 123,427 935,669 Allowance for loan losses – – – – – – – – (7,545) (7,545) Loans, net of allowance for loan losses 56,847 21,908 31,741 35,322 33,083 134,428 318,680 180,233 115,882 928,124 Customers’ liability under acceptances 2,934 1,249 – – – – – – – 4,183 Investment in Schwab – – – – – – – – 9,866 9,866 Goodwill 3 – – – – – – – – 18,658 18,658 Other intangibles 3 – – – – – – – – 2,897 2,897 Land, buildings, equipment, and other depreciable assets, and right-of-use assets 3 – 8 10 16 10 76 619 3,162 5,616 9,517 Deferred tax assets – – – – – – – – 4,806 4,806 Amounts receivable from brokers, dealers, and clients 33,537 28 – – – – – – – 33,565 Other assets 4,814 7,254 838 369 287 215 265 140 12,228 26,410 Total assets $ 341,035 $ 96,197 $ 76,096 $ 59,473 $ 54,289 $ 194,018 $ 497,030 $ 390,487 $ 258,043 $ 1,966,668 Liabilities Trading deposits $ 3,231 $ 3,168 $ 5,102 $ 2,836 $ 2,216 $ 4,977 $ 7,982 $ 1,709 $ – $ 31,221 Derivatives 9,733 10,857 3,972 4,654 3,515 7,983 13,414 15,614 – 69,742 Securitization liabilities at fair value – 1,257 391 852 321 2,282 7,529 5,021 – 17,653 Financial liabilities designated at fair value through profit or loss 40,812 49,002 50,264 23,720 23,846 313 3 1 144 188,105 Deposits 4,5 Personal 7,520 19,133 28,227 20,828 18,726 19,170 22,250 705 492,424 628,983 Banks 11,333 97 – 6,237 2,408 1 3 1 12,383 32,463 Business and government 22,462 25,086 13,456 12,174 6,940 41,251 78,084 20,190 322,682 542,325 Total deposits 41,315 44,316 41,683 39,239 28,074 60,422 100,337 20,896 827,489 1,203,771 Acceptances 2,934 1,249 – – – – – – – 4,183 Obligations related to securities sold short 1 283 2,956 1,396 888 1,351 5,915 11,994 12,067 1,295 38,145 Obligations related to securities sold under repurchase agreements 2 168,705 16,980 2,966 557 128 1,346 49 – 1,508 192,239 Securitization liabilities at amortized cost – 1,065 682 740 825 1,495 4,689 3,085 – 12,581 Amounts payable to brokers, dealers, and clients 31,726 28 – – – – – – – 31,754 Insurance contract liabilities 344 432 440 347 319 934 1,522 650 836 5,824 Other liabilities 11,229 12,719 6,509 2,611 962 687 1,910 4,178 7,345 48,150 Subordinated notes and debentures – – – – – 197 – 11,121 – 11,318 Equity – – – – – – – – 111,982 111,982 Total liabilities and equity $ 310,312 $ 144,029 $ 113,405 $ 76,444 $ 61,557 $ 86,551 $ 149,429 $ 74,342 $ 950,599 $ 1,966,668 Off-balance sheet commitments Credit and liquidity commitments 6,7 $ 26,026 $ 34,061 $ 28,274 $ 20,780 $ 23,491 $ 47,618 $ 165,624 $ 5,495 $ 1,891 $ 353,260 Other commitments 8 97 141 196 345 235 928 1,418 383 57 3,800 Unconsolidated structured entity commitments – 110 61 861 46 903 – – – 1,981 Total off-balance sheet commitments $ 26,123 $ 34,312 $ 28,531 $ 21,986 $ 23,772 $ 49,449 $ 167,042 $ 5,878 $ 1,948 $ 359,041 Amount has been recorded according to the remaining contractual maturity of the underlying security. 2 3 4 5 66 1 3 1 2 in ‘over 9 months to 1 year’, $ 19 34 6 6 517 7 8 . TABLE 43: REMAINING CONTRACTUAL MATURITY (continued) (millions of Canadian dollars) As at October 31, 2023 No Less than 1 to 3 3 to 6 6 to 9 9 months Over 1 to Over 2 to Over specific 1 month months months months to 1 year 2 years 5 years 5 years maturity Total Assets Cash and due from banks $ 6,721 $ – $ – $ – $ – $ – $ – $ – $ – $ 6,721 Interest-bearing deposits with banks 91,966 559 – – – – – – 5,823 98,348 Trading loans, securities, and other 1 4,328 6,329 5,170 3,008 4,569 13,226 27,298 25,677 62,485 152,090 Non-trading financial assets at fair value through profit or loss – – 354 1,538 199 1,664 828 1,351 1,406 7,340 Derivatives 10,145 10,437 5,246 4,244 3,255 11,724 25,910 16,421 – 87,382 Financial assets designated at fair value through profit or loss 374 496 375 695 324 838 1,470 1,246 – 5,818 Financial assets at fair value through other comprehensive income 745 2,190 1,200 5,085 2,223 9,117 15,946 29,845 3,514 69,865 Debt securities at amortized cost, net of allowance for credit losses 1,221 4,020 4,073 16,218 3,480 22,339 116,165 140,502 (2) 308,016 Securities purchased under reverse repurchase agreements 2 124,253 33,110 29,068 7,381 7,298 955 506 – 1,762 204,333 Loans Residential mortgages 1,603 2,616 5,860 10,575 14,181 57,254 168,475 59,733 44 320,341 Consumer instalment and other personal 894 1,580 2,334 3,830 5,974 27,166 85,487 34,183 56,106 217,554 Credit card – – – – – – – – 38,660 38,660 Business and government 37,656 10,058 13,850 14,886 16,964 42,460 96,952 67,190 26,512 326,528 Total loans 40,153 14,254 22,044 29,291 37,119 126,880 350,914 161,106 121,322 903,083 Allowance for loan losses – – – – – – – – (7,136) (7,136) Loans, net of allowance for loan losses 40,153 14,254 22,044 29,291 37,119 126,880 350,914 161,106 114,186 895,947 Customers’ liability under acceptances 14,804 2,760 5 – – – – – – 17,569 Investment in Schwab – – – – – – – – 8,907 8,907 Goodwill 3 – – – – – – – – 18,602 18,602 Other intangibles 3 – – – – – – – – 2,771 2,771 Land, buildings, equipment, other depreciable assets, and right-of-use assets 3 – 8 6 8 14 79 573 3,153 5,593 9,434 Deferred tax assets 4 – – – – – – – – 3,951 3,951 Amounts receivable from brokers, dealers, and clients 30,416 – – – – – – – – 30,416 Other assets 4 5,267 1,869 5,619 208 194 137 129 82 14,124 27,629 Total assets 4 $ 330,393 $ 76,032 $ 73,160 $ 67,676 $ 58,675 $ 186,959 $ 539,739 $ 379,383 $ 243,122 $ 1,955,139 Liabilities Trading deposits $ 1,272 $ 1,684 $ 5,278 $ 4,029 $ 4,153 $ 6,510 $ 6,712 $ 1,342 $ – $ 30,980 Derivatives 9,068 9,236 4,560 3,875 2,559 8,345 16,589 17,408 – 71,640 Securitization liabilities at fair value 2 498 345 1,215 391 1,651 6,945 3,375 – 14,422 Financial liabilities designated at fair value through profit or loss 48,197 30,477 37,961 42,792 32,473 112 – – 118 192,130 Deposits 5,6 Personal 6,044 19,095 22,387 14,164 19,525 17,268 20,328 51 507,734 626,596 Banks 19,608 68 29 – – – 4 1 11,515 31,225 Business and government 25,663 16,407 24,487 11,819 9,658 33,723 74,300 19,652 324,660 540,369 Total deposits 51,315 35,570 46,903 25,983 29,183 50,991 94,632 19,704 843,909 1,198,190 Acceptances 14,804 2,760 5 – – – – – – 17,569 Obligations related to securities sold short 1 135 1,566 1,336 1,603 1,309 5,471 19,991 11,971 1,279 44,661 Obligations related to securities sold under repurchase agreements 2 146,559 10,059 6,607 457 1,142 150 46 – 1,834 166,854 Securitization liabilities at amortized cost – 526 355 1,073 703 2,180 4,956 2,917 – 12,710 Amounts payable to brokers, dealers, and clients 30,872 – – – – – – – – 30,872 Insurance contract liabilities 4 243 305 327 258 253 694 1,131 501 2,134 5,846 Other liabilities 4 11,923 9,808 7,986 1,276 1,198 918 1,979 4,226 8,260 47,574 Subordinated notes and debentures – – – – – 196 – 9,424 – 9,620 Equity 4 – – – – – – – – 112,071 112,071 Total liabilities and equity 4 $ 314,390 $ 102,489 $ 111,663 $ 82,561 $ 73,364 $ 77,218 $ 152,981 $ 70,868 $ 969,605 $ 1,955,139 Off-balance sheet commitments Credit and liquidity commitments 7,8 $ 22,242 $ 24,178 $ 26,399 $ 21,450 $ 22,088 $ 47,826 $ 166,891 $ 5,265 $ 1,487 $ 337,826 Other commitments 9 109 279 214 197 204 889 1,364 424 73 3,753 Unconsolidated structured entity commitments – 836 3 239 95 729 – – – 1,902 Total off-balance sheet commitments $ 22,351 $ 25,293 $ 26,616 $ 21,886 $ 22,387 $ 49,444 $ 168,255 $ 5,689 $ 1,560 $ 343,481 Amount has been recorded according to the remaining contractual maturity of the underlying security. 2 3 4 details. 5 6 57 6 3 1 months to 1 year’, $ 12 31 4 7 573 8 9 |