TD Bank 2010 Annual Report Download - page 109

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TD BANK GROUP ANNUAL REPORT 2010 FINANCIAL RESULTS 107
The following tables disclose the impact of derivatives and hedged
items, where appropriate, in the Consolidated Statement of Income
and in other comprehensive income for the years ended October 31,
2010 and 2009.
During the years ended October 31, 2010 and October 31, 2009, the
Bank did not recognize any net gain or loss in earnings as a result of
hedged firm commitments that no longer qualified as fair value hedges.
Over the next 12 months, the Bank expects an estimated $745 million
as at October 31, 2010 ($999 million as at October 31, 2009) in net gains
reported in other comprehensive income to be reclassified to net income.
The maximum length of time over which the Bank is hedging its exposure
to the variability in future cash flows for anticipated transactions is
29 years. During the year ended October 31, 2010, there were no
significant instances where forecasted transactions failed to occur.
The following table presents gains (losses) on non-trading deriva-
tives that have not been designated in qualifying hedge accounting
relationships for the year ended October 31, 2010. These gains (losses)
are partially offset by gains (losses) recorded in the Consolidated
Statement of Income and in other comprehensive income on related
non-derivative instruments.
Gains (Losses) on Non-Trading Derivatives not Designated in
Qualifying Hedge Accounting Relationships1
(millions of Canadian dollars) 2010 2009
Interest rate contracts $ (247) $ (518)
Foreign exchange contracts (4) (13)
Credit derivatives (14) (866)
Equity 214 116
Other contracts (2) (2)
Total $ (53) $ (1,283)
1
Amounts are recorded in non-interest income.
Fair Value Hedges
(millions of Canadian dollars) Amounts Amounts Amounts excluded
recognized in recognized in from the
income on income on Hedge assessment of hedge
derivatives1 hedged items1 ineffectiveness2 effectiveness3
2010
Fair value hedges
Interest rate contracts $ (286) $ 274 $ (12) $ (93)
Foreign exchange contracts – – – –
Total income (loss) $ (286) $ 274 $ (12) $ (93)
2009
Fair value hedges
Interest rate contracts $ (424) $ 440 $ 16 $ (137)
Foreign exchange contracts 159 (144) 15 (20)
Total income (loss) $ (265) $ 296 $ 31 $ (157)
Cash Flow and Net Investment Hedges
(millions of Canadian dollars) Amounts excluded
Amounts Amounts from the
recognized in reclassified from Hedge assessment of hedge
OCI on derivatives1 OCI into income1,2 ineffectiveness3 effectiveness3
2010
Cash flow hedges
Interest rate contracts $ 3,399 $ 2,224 $ (3) $ –
Foreign exchange contracts (225) (20) – –
Other contracts 192 179 1 –
Total income (loss) $ 3,366 $ 2,383 $ (2) $ –
Net investment hedges
Foreign exchange contracts4 $ 1,205 $ (11) $ – $ –
2009
Cash flow hedges
Interest rate contracts $ 2,430 $ 1,880 $ 3 $ (1)
Foreign exchange contracts (794) 43 – (1)
Other contracts 2 – – –
Total income (loss) $ 1,638 $ 1,923 $ 3 $ (2)
Net investment hedges
Foreign exchange contracts4 $ 1,984 $ – $ – $ (11)
1
Amounts are recorded in net interest income.
2
Amounts are recorded in non-interest income.
3
Amounts are recorded in non-interest income and represent excluded components
on the derivatives. The amount is predominantly offset in net interest income by
the basis amortization of hedged items.
1
Other comprehensive income is presented on a pre-tax basis.
2
Amounts are recorded in net interest income.
3
Amounts are recorded in non-interest income.
4
Includes non-derivative instruments designated as hedging instruments
in qualifying hedge accounting relationships.