TD Bank 2009 Annual Report Download - page 112

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TD BANK FINANCIAL GROUP ANNUAL REPORT 2009 FINANCIAL RESULTS108
Fair Value of Derivative Financial Instruments
(millions of Canadian dollars) 2009 2008
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 $3$15$2$–$1$18
Forward rate agreements 89 71 78 74 91 77
Swaps 25,992 26,557 17,590 18,166 17,144 17,953
Options written – 1,104 – 766 1 1,003
Options purchased 1,042 – 652 – 942 –
Total interest rate contracts 27,126 27,747 18,322 19,006 18,179 19,051
Foreign exchange contracts
Forward contracts 11,991 9,545 6,907 5,251 21,518 16,996
Swaps 2,712 936 2,763 801 2,513 876
Cross-currency interest rate swaps 11,066 13,200 7,472 10,627 18,452 18,284
Options written 1 866 – 730 – 1,436
Options purchased 820 – 731 – 1,408 –
Total foreign exchange contracts 26,590 24,547 17,873 17,409 43,891 37,592
Credit derivatives
Credit default swaps – protection purchased 4,913 161 1,102 287 8,658 220
Credit default swaps – protection sold 106 5,334 205 1,305 170 9,047
Other 31 20 9 – 40 14
Total credit derivative contracts 5,050 5,515 1,316 1,592 8,868 9,281
Other contracts
Equity contracts 2,586 2,656 2,159 2,122 3,872 2,523
Commodity contracts 1,333 1,397 984 920 997 1,115
Fair value – trading $ 62,685 $ 61,862 $ 40,654 $ 41,049 $ 75,807 $ 69,562
Derivative financial instruments held or issued for non-trading purposes
Interest rate contracts
Swaps $ 6,793 $ 4,636 $ 5,675 $ 4,508 $ 3,623 $ 2,709
Options written 45410––
Options purchased 356 – 210 – 273 –
Total interest rate contracts 7,153 4,641 5,889 4,518 3,896 2,709
Foreign exchange contracts
Forward contracts 854 612 123 700 1,166 881
Swaps 8–14–––
Cross-currency interest rate swaps 1,772 924 1,808 1,064 1,382 1,209
Total foreign exchange contracts 2,634 1,536 1,945 1,764 2,548 2,090
Credit derivatives
Credit default swaps – protection purchased 621 72 164 103 928 15
Credit default swaps – protection sold –5–24–6
Total credit derivative contracts 621 77 164 127 928 21
Other contracts
Equity contracts 483 302 793 6942369 91
Commodity contracts –1––––
Fair value – non-trading $ 10,891 $ 6,557 $ 8,791 $ 7,103 $ 7,741 $ 4,911
Total fair value $ 73,576 $ 68,419 $ 49,445 $ 48,152 $ 83,548 $ 74,473
1The average fair value of trading derivative financial instruments for the
year ended October 31, 2008 was: positive $41,977 million and negative
$41,464 million. Averages are calculated on a monthly basis.
2In 2009, $642 million of embedded derivatives were reclassified from deposits
to derivatives.