TD Bank 2014 Annual Report Download - page 83

TD BANK GROUP ANNUAL REPORT 2014 MANAGEMENT’S DISCUSSION AND ANALYSIS 81
MARKET RISK LINKAGE TO THE BALANCE SHEET
The following table provides a breakdown of the Bank’s balance sheet
into assets and liabilities exposed to trading and non-trading market
risks. Market risk of assets and liabilities included in the calculation of
VaR and other metrics used for regulatory market risk capital purposes
is classified as trading market risk.
(millions of Canadian dollars) As at
October 31, 2014
Balance Trading Non-Trading Non-Trading Market Risk –
Sheet Market Risk Market Risk primary risk sensitivity
Assets subject to market risk
Interest-bearing deposits with banks $ 43,773 $ 377 $ 43,396 Interest rate
Trading loans, securities, and other 101,173 99,274 1,899 Interest rate
Derivatives 55,363 48,731 6,632 Equity, foreign exchange, interest rate
Financial assets designated at fair value through profit or loss 4,745 – 4,745 Interest rate
Available-for-sale securities 63,008 – 63,008 Foreign exchange, interest rate
Held-to-maturity securities 56,977 – 56,977 Foreign exchange, interest rate
Securities purchased under reverse repurchase agreements 75,031 8,154 66,877 Interest rate
Loans 481,937 – 481,937 Interest rate
Customers’ liability under acceptances 13,080 – 13,080 Interest rate
Investment in TD Ameritrade 5,569 – 5,569 Equity
Other assets1 1,434 – 1,434 Interest rate
Assets not exposed to market risk 42,652 – –
Total Assets 944,742 156,536 745,554
Liabilities subject to market risk
Trading deposits 59,334 1,793 57,541 Interest rate
Derivatives 50,776 47,050 3,726 Foreign exchange, interest rate
Securitization liabilities at fair value 11,198 10,190 1,008 Interest rate
Other financial liabilities designated at fair value through profit or loss 3,250 3,242 8 Interest rate
Deposits 600,716 – 600,716 Equity, interest rate
Acceptances 13,080 – 13,080 Interest rate
Obligations related to securities sold short 39,465 37,247 2,218 Interest rate
Obligations related to securities sold under repurchase agreements 45,587 8,242 37,345 Interest rate
Securitization liabilities at amortized cost 24,960 – 24,960 Interest rate
Subordinated notes and debentures 7,785 – 7,785 Interest rate
Other liabilities1 13,525 – 13,525 Interest rate
Liabilities and Equity not exposed to market risk 75,066 – –
Total Liabilities and equity $ 944,742 $ 107,764 $ 761,912
October 31, 2013
Assets subject to market risk
Interest-bearing deposits with banks $ 28,583 $ 285 $ 28,298 Interest rate
Trading loans, securities, and other 101,940 98,682 3,258 Interest rate
Derivatives 49,461 44,077 5,384 Equity, foreign exchange, interest rate
Financial assets designated at fair value through profit or loss 6,532 – 6,532 Interest rate
Available-for-sale securities 79,544 – 79,544 Foreign exchange, interest rate
Held-to-maturity securities 29,961 – 29,961 Foreign exchange, interest rate
Securities purchased under reverse repurchase agreements 64,283 5,331 58,952 Interest rate
Loans 447,777 – 447,777 Interest rate
Customers’ liability under acceptances 6,399 – 6,399 Interest rate
Investment in TD Ameritrade 5,300 – 5,300 Equity
Other assets1 1,465 – 1,465 Interest rate
Assets not exposed to market risk 40,776 – –
Total Assets 862,021 148,375 672,870
Liabilities subject to market risk
Trading deposits 50,967 1,531 49,436 Interest rate
Derivatives 49,471 45,655 3,816 Foreign exchange, interest rate
Securitization liabilities at fair value 21,960 10,216 11,744 Interest rate
Other financial liabilities designated at fair value through profit or loss 12 – 12 Interest rate
Deposits 541,605 – 541,605 Equity, interest rate
Acceptances 6,399 – 6,399 Interest rate
Obligations related to securities sold short 41,829 39,479 2,350 Interest rate
Obligations related to securities sold under repurchase agreements 34,414 5,825 28,589 Interest rate
Securitization liabilities at amortized cost 25,592 – 25,592 Interest rate
Subordinated notes and debentures 7,982 – 7,982 Interest rate
Other liabilities1 13,071 – 13,071 Interest rate
Liabilities and Equity not exposed to market risk 68,719 – –
Total Liabilities and equity $ 862,021 $ 102,706 $ 690,596
1 Other assets and liabilities related to retirement benefits, insurance and
special purpose entity liabilities.
MARKET RISK LINKAGE TO THE BALANCE SHEET
TABLE 54