TD Bank 2001 Annual Report Download - page 66

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64
FINANCIAL RESULTS
Fair value of derivative financial instruments
(millions of dollars) 2001 2000
Average1fair value for the year Year-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
Forward rate agreements $35$43$96$107$8$12
Swaps 6,858 6,582 11,275 11,287 3,974 3,337
Options written – 470 – 714 – 336
Options purchased 469 – 700 – 274 –
Total interest rate contracts 7,362 7,095 12,071 12,108 4,256 3,685
Foreign exchange contracts
Forward contracts 4,302 3,936 4,142 3,506 5,047 4,236
Swaps 286 330 352 472 226 271
Cross-currency
interest rate swaps 2,555 3,582 2,748 4,155 3,048 3,478
Options written – 101 – 104 –90
Options purchased 123 – 118 – 106 –
Total foreign exchange
contracts 7,266 7,949 7,360 8,237 8,427 8,075
Other contracts21,658 1,118 2,004 1,425 1,575 1,042
Fair value – trading $ 16,286 $ 16,162 $ 21,435 $ 21,770 $ 14,258 $ 12,802
Derivative financial instruments
held or issued for
non-trading purposes:
Interest rate contracts
Forward rate agreements $57$ 7$2$2
Swaps 2,038 2,152 689 610
Options written –19 ––
Options purchased 218 – 26 –
Total interest rate contracts 2,313 2,178 717 612
Foreign exchange contracts
Forward contracts 989 833 1,068 788
Cross-currency interest rate swaps 492 271 237 171
Total foreign exchange contracts 1,481 1,104 1,305 959
Other contracts218 – 101 5
Fair value – non-trading 3,812 3,282 2,123 1,576
Total fair value $ 25,247 $ 25,052 $ 16,381 $ 14,378
1The average fair value of trading derivative financial instruments for
the year ended October 31, 2000 was: Positive $11,632 million and
Negative $10,134 million. Averages are calculated on a monthly basis.
2Includes equity, commodity and credit derivatives.