Market Musings Global Strategy 13 October 2016 | TD Securities | Toronto

Introducing the G10 Sentiment Ranking Scorecard Index (SRSI)  We present a new analytic framework to rank

the relative appeal of G10 currencies based on market sentiment, working off indicators for positioning, volatility, technicals, and high-frequency fair value.





We run a backtest (post-crisis) to track the performance of the model against common, rulebased trading strategies. For the SRSI trading rule, our backtest results (which started in 2009) showed a return of 3.5%, outperforming standard FX trading rules, such as carry, momentum, and value. The most recent signals favor shorts in EUR, NOK, and NZD and longs in GBP, CHF, and AUD. CAD’s signal is neutral based on our current estimates.

Overview We introduce our new Sentiment Ranking Scorecard Index. It is closely related to our MRSI index, so it looks to spot the relative appeal of the major currencies based on a quantitative ranking model. However, the variables used in the SRSI model seek to rank currencies based on short-run drivers—rather than the medium-term (macro) inputs we selected for MRSI. Indeed, MRSI was designed to benchmark the relative appeal of currencies rooted in macroeconomic fundamentals. The goal of the SRSI model, on the other hand, is to benchmark the majors on the draw of sentiment-based indicators. These include proxies for positioning, volatility, technical indicators, momentum and our high-frequency fair value models. The two scorecards complement each other but were designed to have different trading themes and timing for decision making in mind. Both models present a consistent framework for analyzing major currencies. That is, they offer rule-based guides to measuring the attractiveness of major currencies, which tend to outperform common rule-based strategies. That said, we base the SRSI scores on highfrequency data sets so it offers faster turnover in the ranking stats. The MRSI index focuses on slower-moving data trends so the ranking model’s reaction time is a bit more sluggish than SRSI. Trades can last a few months. At the same time, SRSI is based on weekly signals, whereas MRSI relies on monthly. The combination of these factors generate different signals, offering investors comprehensive trading signals (that span different themes and time horizons) from both tools. Focusing on the short-run As noted above, for SRSI, the focus is on short-run, sentimentbased inputs. It is widely-known that fundamental-based models have little explanatory power for currencies in the very

short-run. Currencies are just too volatile for low-frequency macro variables to explain their intraday movements. Indeed, many investors see momentum and sentiment driving currencies in the very short-run while longer-term moves are dominated by mean reverting, structural forces that work behind the scenes. The result is that day-to-day price movements in FX tend to focus on positioning, crowding effects, flows, and other technical factors. Still, these shortterm factors tend to drive currencies well beyond estimates of fair value. These gaps create trading opportunities. With this in mind, we built the SRSI index to capture these various dimensions in the major FX market. The model ranks nine currencies using 13 variables that proxy different market drivers that impact currencies over the short-run: positioning, FX options pricing, technicals and high-frequency fair value. The bulk of research show that most of these indicators are contemporaneous, but when compared to the cross section and against each other they help discover pressure points in the FX market that seek to generate profitable trading ideas. What’s the secret sauce? The input variables attempt to measure the attractiveness of well-known short-term drivers based again on positioning, fx options pricing, technical signals and high-frequency fair value models. For positioning, we look at four variables: 3m risk reversals (25delta), current market positioning, the weekly change in market positioning and a proxy for hedge fund positioning. The CFTC does not collect data on NOK or SEK, so we substitute with the CPAIN indicators on Bloomberg. For volatility, we look at two indicators: up-down volatility (which calculates the trend of 1m implied volatility) and the slope (1y-3m) slope of the implied vol curve. On the technical side, we MACD, stochastics, RSI and Bollinger bands. Next, our high-frequency model measures the rolling zscore of the residuals from our financial fair value model, focusing on currencies that look stretched. Finally, we look at a momentum model to measure the strength of the trend from our HHFV model and yield that concentrates on the rate impact. Like the MRSI index, we use a PCA to weight the input variables. This helps to produce a robust weighting system since the inputs are weighted based on their correlation to common set of elements. For each currency, the SRSI index is a combination of the factors derived from the PCA. We then rank the most-to-update weekly scores across the nine currencies to measure the most and least attractive. The most attractive currencies have the lowest score while the weakest currencies have the highest scores. We also display the input variables in a heat map that depicts the cross section zscore of the variables. The green cells indicate a positive input for the SRSI score and red detracts from the overall rating.

Market Musings 13 October 2016 | TD Securities | Toronto

Benchmarking performance We do some testing to test the value of the SRSI scores. The first group of tests is to measure the individual predictive capacity for the nominal effective exchange rate. For this, the theoretical argument that macroeconomic variables drive longer-run currency move sticks. Notably, the individual SRSI indices explain, on average, about 19% of the variation of the majors over the past ten years. That means, short-term drivers, such as sentiment, positioning and technical explain about one-fifth of the moves in the daily NEER. This compares to the average 50% level that the MRSI explains, suggesting longer-run economic trends probably do play a pivotal role in exchange rate determination. Still, for daily and weekly moves, the evidence still favors sentiment-based drivers to understand and predict exchange rate moves (link). To test whether the SRSI scores generated a profitable trading rule, we also built a rule-based back test. For the SRSI test, we used weekly ranking signals (1 to 9) based on each currency score. The back test rule goes long an equally weighted basket of the top three ranked currencies (1 to 3) versus the worst three listed currencies (7 to 9). We measure contemporaneous signals from our model and the week ahead changes in currency pair against the USD to generate the returns. The basket is rebalanced every week to account for variations in the scores. We applied the same logic to the other strategies, so their baskets are rebalanced once a week to reflect the change in the input variables. The back test runs from March 2009 to September 2016 (see chart below).

Even so, SRSI scored well on both the Sharpe ratio and drawdown metrics. When you adjust the returns for vol, SRSI’s Sharpe ratio was 0.02 versus the sample average of – 0.05 giving it the edge there. Momentum saw the worst riskadjusted returns and also the biggest drawdown (31%). In this regard, the SRSI rule had a max drawdown of 27%, which is at touch above the sample average of 24. Across the full sample, the strategies averaged about 282 trades (see table below). The momentum strategy generated the most trades with 827 while valuation the least at 16. Since the input variables move much less, the valuation rule generates slow-moving signals. SRSI generated 393 trades. We then looked at the win/loss ratio. On this metric, the sample average rate was 1.05, but under the hood, we noticed quite a bit dispersion. Given the valuation strategy produced only 16 trades and the bulk were profitable it had the highest score in the sample at 1.29. SRSI came next with a score of 1.08, suggesting it has a decent track record of producing winning trades. Carry was also positive at 1.04 while momentum saw the worst value at 0.78.

130.00

FX Strategy Backtest Results (2009 to 2016) Carry Momentum SRSI Valuation Total Return -1.1% -25.1% 3.5% -0.2% Annual Return -0.2% -3.8% 0.5% 0.0% Annual Vol 20.4% 18.0% 18.6% 17.5% Sharpe Ratio -0.01 -0.21 0.02 0.00 Max Drawdown 23.7% 30.8% 27.4% 15.1% Correlation to SRSI 0.69 0.18 1.00 -0.69 Total Trades 57 827 393 16 Win to loss ratio 1.04 0.78 1.08 1.29

120.00

Source: Macrobond, Bloomberg, TD Securities

FX Strategy Back Test Results 140.00

We also looked at the correlation of the return series of the different rule-based strategies to see if there was a common theme. That is, did the SRSI index mirror other commonly know trading strategies or was it something else?

110.00 100.00

90.00

Sep-16

Jun-15

Carry Valuation

Mar-14

Sep-11

Mar-09

70.00

Jun-10

Momentum SRSI Index

Dec-12

80.00

Source: TD Securities,Bloomberg

The two best performing strategies over the sample period were the SRSI index and valuation (value buys and sells over/ under valued currencies based on PPP). Over the full sample, SRSI generated a total return of 3.5% versus a –0.2% loss for value. Carry came in third with a 1.1% loss while momentum racked up 25% losses over the sample. Regarding volatility, the average of the four strategies was 18.75%. With annualized vol of 21%, the carry trade was an outlier on vol performance. SRSI was close to the sample average of 18.7% with annualized vol of 18.6%.

The SRSI strategy is most correlated to carry with a correlation of 0.78. The recent drop in SRSI’s performance has closely followed carry. This reflects the improvement in valuation models since late-2014, as markets continued to work through imbalances. Still, the back test results showed SRSI produces better risk-adjusted returns (and better overall performance) than carry and it also outperformed it convincingly from 2010 to 2014. This argues that it offers a more balanced and diversified signal than carry. For the others, the correlation with valuation series is negative (-0.69) and slightly positive with momentum (0.18), making a mix of trend following and contrarian indicators. This also implies that SRSI provides some level of diversification against some of the common rulefollowing strategies. 2

Market Musings 13 October 2016 | TD Securities | Toronto

The last thing we looked at is whether SRSI has any trading biases. In other words, what are SRSI’s favorite pairs to trade? The chart below shows the results of this analysis. From the long side, it indicates that SRSI prefers CHF, EUR, and GBP. CHF is included in 16% of the long trades while EUR, and GBP follow close behind at 13% and 11%. AUD and SEK are the least actively traded on the long side. Alternatively, our model prefers to hold short trades in JPY, EUR and NZD. The EUR ends up in the short basket about 16% of the time while NZD falls into the short basket 17% of the time. The least active currencies are SEK, AUD, and CAD. SEK only falls into the basket 7% of the time while AUD and CAD account for 8% and 10% respectively. SRSI's prefered currencies, % of long/short trades 18% 16% 14%

17%

16% 13%

14% 11%

12%

16%

11% 11%

10%

11%

11%

8%

12%

9%

Short

8%

7%

8%

Long 10%

7%6%

G10 SRSI Scores (October 7, 2016) 10

sell

9 8

7 6 5 4

buy

3 2 1

0 GBP

CHF

AUD

CAD

JPY

EUR

NOK

NZD

Rounding out the other side of the long basket are CHF and AUD. CHF’s score looks average with a mix of positioning, vol, technical and other model signals favoring a long position there. Positioning is the single biggest contributor to the score with our indicators suggesting an overcrowded trade. Macro hedge funds also appear short CHF, which is another position that looks sensitive to a correction.

6% 4% 2%

0%

EUR

JPY

GBP

CAD

AUD

NZD

CHF

NOK

SEK

Source: TD Securities, Bloomberg

Who’s the winner? The current scores are listed on the table in the second column. The most recent signal favors longs in GBP, CHF and AUD and shorts in EUR, NOK, and NZD. (The heat map on the following page adds some context to this since it shows the cross section zscore of the indicators and the average weighting of the sample across the input variables. We weight the currencies individually based on the score of each indicator, but sample average provides some color about the importance of the indicators. It also displays the direction of the sign for each indicator, showing whether it is positive or negative for the overall score.) From the long side, GBP gets the strongest buy signal. The bulk of its support comes from positioning data, which shows the short GBP trade is an overcrowded. As you can see from the heat map, our positioning indicators get a high weighting, so they tend to impact the score quite a bit. Keep in mind this is a sentiment-based score so we still think fundamentals justify a weaker profile for sterling, but the risk reward is for a squeeze given the current level lopsided positioning. GBP also scores well on some of our volatility metrics and technical scores. It shows the lowest trend in implied volatility in majors, but this also is scored before the latest concerns about a hard Brexit resurfaced, which could affect the score in subsequent weeks.

For AUD, it scores well on a few technical studies we follow, which also carry a higher weighting in the model. It also scores well on momentum since its rally over the past few weeks suggests its dips may be brief and shallow. On the flipside, it does get dinged for stretched positioning, so we prefer to see a bit more downside before scaling back into long positions. We prefer short AUDCAD on valuation and positioning issues. From the short-side, SRSI pegs EUR, NOK, and NZD as the worst ranked currencies. EUR score poorly on some of the most important metrics like its technical score, high-frequency fair value and the change in market position, which shows a recent shift to long EUR. Indeed, the positioning indicator we track has seen the market cut shorts over the past eight weeks. The market has probably been trimming short exposure as opposed to getting long even though the recent shift leaves the EUR vulnerable when it is tracking well above implied valuations. Namely, our high-frequency fair value model shows the predicted level at 1.095, placing it about one standard deviation overvalued. This is also the issue with NZD, which is nearly a standard deviation rich on our HHFV model. Furthermore, NZD ’s steady uptrend since July has seen the momentum indicators shift to saturated levels. External conditions argue for a deeper correction and its poor score on some of the other indicators favor a bit more downside before buying opportunities emerge. NOK also fares poorly. It scores poorly on some of the volatility metrics and our high-frequency fair value metric. Positioning also looks stretched (presumably on the swings in oil), leaving it ripe for a correction, in particular against SEK. We also prefer long CADNOK 3

Market Musings Global Strategy 13 October 2016 | TD Securities | Toronto Finally, SRSI’s score for CAD leaves it in the middle of the pack. CAD scores poorly on technical and vol measures, keeping its score at the lower end of the sample. Indeed, it has the highest trending implied vol is the sample, which is likely a function of the market’s renewed focus on the BoC. On the plus side, it scores well on our high-frequency fair value model. Currently, our model suggests that highfrequency fair value sits near 1.31, placing it about 1.5 standard deviations from fair value. This indicates that it will have a hard time breaking the 1.33 level without 1) steeper US curve 2) higher odds of a BoC cut 3) oil prices back below $50/ bbl or 4) sharper risk correction. All four scenarios are plausible, but some are not our base case. Our sentiment indicator (which is not included in the model given data limitations for NOK and SEK) suggest big swings in positioning over the past few weeks. This could trigger a squeeze in USDCAD, although we expect brief and shallow dips that should offer better entry levels to engage. We still expect the pair to finish near 1.35 by yearend.

Mark McCormick +1 416 982 7784 G10 Sentiment Ranking Scorecard Index Heatmap (input variables, zscore) EUR JPY GBP CAD AUD NZD CHF Positioning 1.16 0.41 0.72 -0.55 -1.70 -1.38 0.68 Positioning Δ -0.85 -1.92 0.31 0.58 1.43 0.72 -0.69 Up/Down Vol 0.73 -0.44 1.62 -1.52 0.32 0.92 0.05 3-month RR -0.21 2.59 -0.30 -0.34 -0.72 -0.66 -0.17 Implied Vol Curve Slope (1y-3m) -0.47 2.14 -0.14 1.17 -0.50 -0.15 -0.96 MACD 0.64 -0.16 0.54 -2.55 0.17 0.47 0.17 TAS -0.29 1.14 -1.43 -0.94 0.65 1.23 -0.41 RSI -0.04 0.82 -1.94 -0.50 0.66 0.77 -0.07 Bollinger Bands -0.07 -0.99 1.25 0.90 -0.92 -1.11 -0.19 High Frequency Fair Value -0.45 0.14 -0.22 1.69 0.04 0.11 -0.26 Momentum -0.30 1.03 0.47 0.33 0.47 -2.11 -0.99 Yield 1.70 -1.62 -0.27 0.16 -0.71 -0.65 0.62 Macro HF Positioning -0.58 0.76 1.97 -0.53 -1.43 -0.34 -0.05 Note: for the SRSI scores we use a PCA to weight the input varibles Source: Macrobond, Bloomberg, TD Securities

NOK 0.06 0.28 -0.82 0.01 -0.67 0.71 -0.86 1.21 1.54 -1.98 0.19 -0.24 -0.88

SEK 0.61 0.13 -0.85 -0.19 -0.42 0.00 0.92 -0.92 -0.42 0.93 0.89 1.02 -0.08

Average Weights 0.21 -0.05 -0.02 0.05 0.02 -0.04 0.12 0.13 0.04 0.01 0.09 0.06 0.18

4

Market Musings 13 October 2016 | TD Securities | Toronto

GLOBAL STRATEGY TEAM Richard Kelly

Head of Global Strategy

44 20 7786 8448

Global Macro Strategy Annette Beacher

Chief Asia-Pacific Macro Strategist

65 6500 8047

Jacqui Douglas

Chief European Macro Strategist

44 20 7786 8439

James Rossiter

Senior Global Strategist

44 20 7786 8422

Brittany Baumann

Macro Strategist

1 416 982 3297

Robert Both

Macro Strategist

1 416 983 0859

Global Rates Strategy Priya Misra

Head of Global Rates Strategy

1 212 827 7156

Andrew Kelvin

Senior Rates Strategist

1 416 983 7184

Gennadiy Goldberg

Rates Strategist

1 212 827 7180

Prash Newnaha

Rates Strategist

65 6500 8047

Renuka Fernandez

Senior European Rates Strategist

Cheng Chen

Quantitative Strategist

44 20 7786 8408 1 212 827 7183

FX Strategy Ned Rumpeltin

European Head of FX Strategy

44 20 7786 8420

Mark McCormick

North American Head of FX Strategy

1 416 982 7784

Mazen Issa

Senior FX Strategist

1 212 827 7182

Emerging Markets Strategy

Global Strategy USA Canada Australia New Zealand

Cristian Maggio

Head of Emerging Markets Strategy

44 20 7786 8436

Paul Fage

Senior Emerging Markets Strategist

44 20 7786 8424

Sacha Tihanyi

Senior Emerging Markets Strategist

1 212 827 7403

Commodities Strategy Bart Melek

Head of Commodity Strategy

1 416 983 9288

Mike Dragosits

Senior Commodity Strategist

1 416 983 8075

Ryan McKay

Commodity Strategist

1 416 982 5816

UK Europe Emerging Markets FX & Commodities

Research Home Page: https://www.tdsresearch.com/currency-rates Bloomberg Page: TDGR 5

Market Musings Global Strategy 13 October 2016 | TD Securities | Toronto DISCLAIMER This material is for general informational purposes only and is not investment advice nor does it constitute an offer, recommendation or solicitation to buy or sell a particular financial instrument. It does not have regard to the specific investment objectives, financial situation, risk profile or the particular needs of any specific person who may receive this material. No representation is made that the information contained herein is accurate in all material respects, complete or up to date, or that it has been independently verified by TD Securities. Recipients of this analysis or report are to contact the representative in their local jurisdiction with regards to any matters or questions arising from, or in connection with, the analysis or report. Historic information regarding performance is not indicative of future results and investors should understand that statements regarding future prospects may not be realized. All investments entail risk, including potential loss of principal invested. Performance analysis is based on certain assumptions, the results of which may vary significantly depending on the modeling inputs assumed. This material, including all opinions, estimates and other information, constitute TD Securities’ judgment as of the date hereof and is subject to change without notice. The price, value of and income from any of the securities mentioned in this material can fall as well as rise. Any market valuations contained herein are indicative values as of the time and date indicated. Such market valuations are believed to be reliable, but TD Securities does not warrant their completeness or accuracy. Different prices and/or valuations may be available elsewhere and TD Securities suggests that valuations from other sources be obtained for comparison purposes. Any price or valuation constitutes TD Securities’ judgment and is subject to change without notice. Actual quotations could differ subject to market conditions and other factors. TD Securities disclaims any and all liability relating to the information herein, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from, the information. TD Securities is not liable for any errors or omissions in such information or for any loss or damage suffered, directly or indirectly, from the use of this information. TD Securities may have effected or may effect transactions for its own account in the securities described herein. No proposed customer or counterparty relationship is intended or implied between TD Securities and a recipient of this document. TD Securities makes no representation as to any tax, accounting, legal or regulatory issues. Investors should seek their own legal, financial and tax advice regarding the appropriateness of investing in any securities or pursuing any strategies discussed herein. Investors should also carefully consider any risks involved. Any transaction entered into is in reliance only upon the investor’s judgment as to financial, suitability and risk criteria. TD Securities does not hold itself out to be an advisor in these circumstances, nor do any of its representatives have the authority to do so. The information contained herein is not intended for distribution to, or use by, any person in any jurisdiction where such distribution or use would be contrary to applicable law or regulation or which would subject TD Securities to additional licensing or registration requirements. It may not be copied, reproduced, posted, transmitted or redistributed in any without the prior written consent of TD Securities. Australia: If you receive this document and you are domiciled in Australia, please note that this report is intended to be issued for general information purposes only and distributed through the Toronto Dominion Australia Limited (“TDAL”). TDAL does not hold itself out to be providing financial advice in these circumstances. TD Securities is a trademark and represents certain investment dealing and advisory activities of Toronto-Dominion Bank and its subsidiaries, including TDAL. The Toronto-Dominion Bank is not an authorized deposit-taking or financial services institution in Australia. TDAL is a holder of an Australian Financial Services License (404698) and is regulated by the Australian Securities and Investments Commission. New Zealand: The Toronto-Dominion Bank is not a “registered bank” in New Zealand under the Reserve Bank Act 1989. Canada: Canadian clients wishing to effect transactions in any security discussed herein should do so through a qualified salesperson of TD Securities or TD Securities Inc. TD Securities Inc. is a member of the Canadian Investor Protection Fund. China, India and South Korea: Insofar as the document is received by any persons in the People's Republic of China (“PRC”) (which, for such purposes, does not include Hong Kong, Macau or Taiwan), India and South Korea, it is intended only to be issued to persons who have the relevant qualifications to engage in the investment activity mentioned in this document. The recipient is responsible for obtaining all relevant government regulatory approvals/licenses themselves, and represents and warrants to TD Bank that the recipient's investments in those securities do not violate any law or regulation, including, but not limited to, any relevant foreign exchange regulations and/or overseas investment regulations. The Toronto-Dominion Bank has a representative office in Shanghai, Mumbai and Seoul which should be contacted for any general enquiry related to The TorontoDominion Bank or its business. However, neither any of the Toronto-Dominion Bank offshore branches/subsidiaries nor its representative offices are permitted to conduct business within the borders of the PRC, India and South Korea. In locations in Asia where the Bank does not hold licenses to conduct business in financial services, it is not our intention to, and the information contained in this document should not be construed as, conducting any regulated financial activity, including dealing in, or the provision of advice in relation to, any regulated instrument or product. This publication is for general information only, without addressing any particular needs of any individual or entity, and should not be relied upon without obtaining specific advice in the context of specific circumstances. Hong Kong: This document, which is intended to be issued in Hong Kong only to Professional Investors within the meaning of the Securities and Futures Ordinance (the "SFO") and the Securities and Futures (Professional Investor) Rules made under the SFO, has been distributed through The Toronto-Dominion Bank, Hong Kong Branch. The TorontoDominion Bank, Hong Kong Branch is regulated by the Hong Kong Monetary Authority. Japan: For Japanese residents, please note that TD Securities is not licensed in Japan and this is being provided to qualified financial institutions (“QFI”) only under a relevant exemption to the Financial Instruments and Exchange Law. Singapore: This report is distributed in Singapore by The Toronto-Dominion Bank, Singapore Branch, and recipients in Singapore of this report are to contact The TorontoDominion Bank, Singapore Branch in respect of any matters arising from, or in connection with, this report. The Toronto-Dominion Bank, Singapore Branch is regulated by the Monetary Authority of Singapore. Where this report is issued or promulgated in Singapore, it is only intended for distribution to a person who is an accredited investor, expert investor or institutional investor (as defined in the applicable Singapore laws and regulations). United Kingdom and Europe: This document is prepared, issued or approved for issuance in the UK and Europe by TD Securities Limited in respect of investment business as agent and introducer for TD Bank. The Toronto-Dominion Bank is authorised by the Prudential Regulation Authority and subject to regulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority. TD Securities Limited is authorised and regulated by the Financial Conduct Authority. Insofar as the document is issued in or to the United Kingdom or Europe, it is intended only to be issued to persons who (i) are persons falling within Article 19(5) ("Investment professional") of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended, the "Financial Promotion Order"), (ii) are persons falling within Article 49(2)(a) to (d) ("High net worth companies, unincorporated associations, etc.") of the Financial Promotion Order, or (iii) are persons to whom an invitation or inducement to engage in investment activity (within the meaning of section 21 of the Financial Services and Markets Act 2000) in connection with the issue or sale of any securities may otherwise lawfully be communicated or caused to be communicated. European clients wishing to effect transactions in any security discussed herein should do so through a qualified salesperson of TD Securities Limited. Insofar as the information in this report is issued in the U.K. and Europe, it has been issued with the prior approval of TD Securities Limited. United States: U.S. clients wishing to effect transactions in any security discussed herein must do so through a registered representative of TD Securities (USA) LLC. (a) the U.S. firm accepts responsibility for its contents, (b) persons receiving the report should effect transactions in securities discussed in the report through the U.S. firm, and (c) transactions in such securities by recipients of the report are actually effected only through the U.S. firm. If you would like to unsubscribe from our email distribution lists at any time, please contact your TD Securities Sales Contact or email us at [email protected]. You can access our Privacy Policy here (http://www.tdsecurities.com/tds/content/AU_Privacy_EandAP_en_CA). TD Securities is a trademark of the Toronto Dominion Bank and represents TD Securities Inc., TD Securities (USA) LLC and TD Securities Limited and certain investment and corporate banking activities of TD Bank and its subsidiaries. © Copyright 2014 The Toronto-Dominion Bank. All rights reserved.

6