TD Bank 2011 Annual Report Download - page 145

TD BANK GROUP ANNUAL REPORT 2011 FINANCIAL RESULTS 143
CREDIT RISK
NOTE 31
Concentration of credit risk exists where a number of borrowers or
counterparties are engaged in similar activities, are located in the
same geographic area or have comparable economic characteristics.
Their ability to meet contractual obligations may be similarly affected
by changing economic, political or other conditions. The Bank’s
portfolio could be sensitive to changing conditions in particular
geographic regions.
Concentration of Credit Risk
(millions of Canadian dollars, except as noted) Loans and customers’ liability Derivative financial
under acceptances1 Credit instruments2,3 instruments4,5
2011 2010 2011 2010 2011 2010
Canada 71% 72% 58% 56% 35% 34%
United States6 27 26 37 36 20 20
United Kingdom – 1 2 2 19 14
Europe – other7 1 1 2 2 20 24
International 1 – 1 4 6 8
Total 100% 100% 100% 100% 100% 100%
$ 311,310 $ 277,610 $ 88,575 $ 85,501 $ 59,645 $ 51,071
1 Of the total loans and customers’ liability under acceptances, the only industry
segment which equalled or exceeded 5% of the total concentration as at October 31,
2011 was: Real estate 9% (2010 – 10%).
2
As at October 31, 2011, the Bank had commitments and contingent liability
contracts in the amount of $88,575 million (2010 – $85,501 million). Included are
commitments to extend credit totalling $73,700 million (2010 – $70,940 million),
of which the credit risk is dispersed as detailed in the table above.
3 Of the commitments to extend credit, industry segments which equalled or
exceeded 5% of the total concentration were as follows as at October 31, 2011:
Financial institutions 20% (2010 – 22%); pipelines, oil and gas 12% (2010 –
11%); government, public sector entities and education 8% (2010 – 9%); sundry
manufacturing and wholesale 7% (2010 – 3%); power and utilities 7% (2010 – 6%);
telecommunications, cable and media 7% (2010 – 7%); automotive 6% (2010 – 3%).
4
As at October 31, 2011, the current replacement cost of derivative financial
instruments amounted to $59,645 million (2010 – $51,071 million). Based on the
location of the ultimate counterparty, the credit risk was allocated as detailed in
the table above. The table excludes the fair value of exchange traded derivatives.
5 The largest concentration by counterparty type was with financial institutions
(including non banking financial institutions), which accounted for 83% of the
total (2010 – 79%). The second largest concentration was with governments,
which accounted for 11% of the total (2010 – 13%). No other industry segment
exceeded 5% of the total.
6 Debt securities classified as loans were 1% (2010 – 2%) of the total loans and
customers’ liability under acceptances.
7 Debt securities classified as loans were 1% (2010 – 1%) of the total loans and
customers’ liability under acceptances.
The following table presents the maximum exposure to credit risk of
financial instruments, before taking account of any collateral held or
other credit enhancements.
Gross Maximum Credit Risk Exposure
(millions of Canadian dollars) 2011 2010
Cash and due from banks $ 2,137 $ 1,625
Interest-bearing deposits with banks 21,015 19,136
Securities1
Trading
Government and government-insured securities 29,880 23,921
Other debt securities 10,045 9,206
Retained Interest 1,289 1,437
Available-for-sale
Government and government-insured securities 83,064 59,761
Other debt securities 32,263 40,589
Held-to-maturity
Government and government-insured securities 6,488 9,119
Other debt securities 502 596
Securities purchased under reverse repurchase agreements 53,599 50,658
Loans
Residential mortgages 86,707 71,419
Consumer instalment and other personal 109,804 100,343
Credit card 8,678 8,578
Business and government 92,123 82,225
Debt securities classified as loans 6,183 7,288
Customers’ liability under acceptances 7,815 7,757
Derivatives2 100,702 85,995
Other assets 12,585 14,092
Total assets 664,879 593,745
Credit instruments3 88,575 85,501
Unconditionally cancellable commitments to extend credit
relating to personal lines of credit and credit card lines 124,731 118,255
Total credit exposure $ 878,185 $ 797,501
1 Excludes equity securities.
2 The gross maximum credit exposure for derivatives is based on the credit equivalent
amount. The amounts exclude exchange traded derivatives. See Note 7.
3 The balance represents the maximum amount of additional funds that the Bank
could be obligated to extend should the contracts be fully utilized. The actual maxi-
mum exposure may differ from the amount reported above. See Note 29.