TD Bank 2007 Annual Report Download - page 116

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TD BANK FINANCIAL GROUP ANNUAL REPORT 2007 Financial Results112
Fair Value of Derivative Financial Instruments
(millions of Canadian dollars) 2007 2006
Average fair value for the year1Year-end fair value Year-end fair value
Positive Negative Positive Negative Positive Negative
Derivative financial instruments held or issued
for trading purposes:
Interest rate contracts
Futures $ 8 $ 2 $ – $ 4 $ – $ –
Forward rate agreements 6 7 12 7613
Swaps 8,535 9,647 7,935 9,138 9,536 10,586
Options written –752 –621 –1,101
Options purchased 735 –603 –1,128 –
Total interest rate contracts 9,284 10,408 8,550 9,770 10,670 11,700
Foreign exchange contracts
Forward contracts 3,861 3,868 6,777 7,361 2,837 2,717
Swaps 2,956 758 3,923 840 3,008 850
Cross-currency interest rate swaps 6,622 7,657 10,811 12,913 4,987 6,133
Options written –655 –919 –457
Options purchased 644 –845 –446 –
Total foreign exchange contracts 14,083 12,938 22,356 22,033 11,278 10,157
Other contracts
Credit derivatives 1,321 1,532 1,436 1,525 938 1,169
Other contracts24,350 5,496 3,710 5,700 4,959 6,311
Fair value – trading 29,038 30,374 36,052 39,028 27,845 29,337
Derivative financial instruments held or issued
for non-trading purposes:
Interest rate contracts
Forward rate agreements – – – – 1 –
Swaps 743 626 841 618 482 404
Options written –– – – – –
Options purchased 25 –15 –5 –
Total interest rate contracts 768 626 856 618 488 404
Foreign exchange contracts
Forward contracts 645 694 1,082 1,923 523 222
Cross-currency interest rate swaps – 3 – 34 – –
Options purchased 1 – 16 –– –
Total foreign exchange contracts 646 697 1,098 1,957 523 222
Other contracts
Credit derivatives 835 18 18 836
Other contracts2606 18 894 –810 –
Fair value – non-trading 2,028 1,376 2,866 2,593 1,829 662
Total fair value $ 31,066 $ 31,750 $ 38,918 $ 41,621 $ 29,674 $ 29,999
1 The average fair value of trading derivative financial instruments for the
year ended October 31, 2006 was: Positive $32,878 million and Negative
$33,744 million. Averages are calculated on a monthly basis.
2 Includes equity and commodity derivatives.