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TD BANK FINANCIAL GROUP ANNUAL REPORT 2006 Financial Results
98
Interest Rate Risk
(billions of Canadian dollars)
Total Non-
Floating Within 3 months within 1 year to Over interest
2006 rate 3 months to 1 year 1 year 5 years 5 years sensitive Total
Assets
Cash resources and other $ 4.1 $ 3.4 $ .5 $ 8.0 $ – $ – $ 2.8 $ 10.8
Effective yield 3.5% 4.7%
Investment securities $ .3 $ 6.1 $ 9.9 $ 16.3 $ 26.5 $ 1.8 $ 2.4 $ 47.0
Effective yield 4.4% 1.7% 3.7% 5.2%
Trading securities $ 77.5 $ – $ – $ 77.5 $ – $ – $ – $ 77.5
Securities purchased under resale
agreements $ 5.2 $ 17.7 $ 4.7 $ 27.6 $ – $ 2.0 $ 1.3 $ 30.9
Effective yield 4.3% 5.1% 5.5%
Loans $ 15.3 $ 70.0 $ 17.8 $ 103.1 $ 51.0 $ 6.2 $ .3 $ 160.6
Effective yield 5.7% 5.8% 5.5% 5.8%
Other $ 37.4 $ – $ – $ 37.4 $ – $ – $ 28.7 $ 66.1
Total assets $139.8 $ 97.2 $ 32.9 $ 269.9 $ 77.5 $10.0 $ 35.5 $ 392.9
Liabilities and shareholders’ equity
Deposits $ 54.6 $ 78.8 $ 49.7 $ 183.1 $ 31.6 $ .9 $ 45.3 $ 260.9
Effective yield 3.2% 3.9% 3.4% 4.9%
Obligations related to securities
sold short $ 27.1 $ – $ – $ 27.1 $ – $ – $ – $ 27.1
Obligations related to securities sold
under repurchase agreements $ 2.6 $ 13.3 $ 2.1 $ 18.0 $ – $ – $ .7 $ 18.7
Effective yield 4.1% 4.3%
Subordinated notes and debentures $ – $ – $ – $ – $ .2 $ 6.7 $ – $ 6.9
Effective yield 7.1% 5.7%
Other $ 38.0 $ – $ .4 $ 38.4 $ .9 $ .6 $ 19.8 $ 59.7
Shareholders’ equity $ – $ – $ – $ – $ – $ .4 $ 19.2 $ 19.6
Total liabilities and shareholders’
equity $122.3 $ 92.1 $ 52.2 $ 266.6 $ 32.7 $ 8.6 $ 85.0 $ 392.9
On-balance sheet position $ 17.5 $ 5.1 $ (19.3) $ 3.3 $ 44.8 $ 1.4 $(49.5) $ –
Total pay side instruments1$– $ (93.3) $ (18.7) $(112.0) $(86.8) $ (1.5) $ – $(200.3)
Effective yield 4.5%2.9%3.0% 4.2%
Total receive side instruments1$ – $ 81.3 $ 32.5 $ 113.8 $ 84.6 $ 1.9 $ – $ 200.3
Effective yield 3.7% 3.7% 2.9% 6.3%
Off-balance sheet position $ – $ (12.0) $ 13.8 $ 1.8 $ (2.2) $ .4 $ – $ –
Net position $ 17.5 $ (6.9) $ (5.5) $ 5.1 $ 42.6 $ 1.8 $(49.5) $ –
1Notional principal amounts.
Interest Rate Risk by Currency
(billions of Canadian dollars)
Total Non-
Floating Within 3 months within 1 year to Over interest
2006 rate 3months to 1 year 1year 5 years 5 years sensitive Total
Canadian currency on-balance
sheet position $(2.0) $35.1 $(14.1) $19.0 $35.3 $(1.0) $(47.8) $ 5.5
Foreign currency on-balance
sheet position 19.5 (30.0) (5.2) (15.7) 9.5 2.4 (1.7) (5.5)
On-balance sheet position 17.5 5.1 (19.3) 3.3 44.8 1.4 (49.5) –
Canadian currency off-balance
sheet position –(14.9) 10.9 (4.0) 27.2 .3 – 23.5
Foreign currency off-balance
sheet position – 2.9 2.9 5.8 (29.4) .1 – (23.5)
Off-balance sheet position – (12.0) 13.8 1.8 (2.2) .4 – –
Net position $17.5 $ (6.9) $ (5.5) $ 5.1 $42.6 $ 1.8 $(49.5) $ –
Interest Rate Risk
(billions of Canadian dollars)
Total Non-
Floating Within 3 months within 1 year to Over interest
2005 rate 3 months to 1 year 1 year 5 years 5 years sensitive Total
Total assets $133.1 $100.9 $26.1 $260.1 $61.5 $7.7 $ 35.9 $365.2
Total liabilities and shareholders’ equity 96.3 114.4 40.8 251.5 29.9 8.8 75.0 365.2
On-balance sheet position 36.8 (13.5) (14.7) 8.6 31.6 (1.1) (39.1) –
Off-balance sheet position – (21.8) 21.6 (.2) (.7) .9 – –
Net position $36.8 $ (35.3) $ 6.9 $ 8.4 $30.9 $ (.2) $ (39.1) $ –