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TD BANK FINANCIAL GROUP ANNUAL REPORT 2009 FINANCIAL RESULTS 109
The following table distinguishes the derivative financial instruments
held or issued for non-trading purposes between those that have
been designated in qualifying hedge accounting relationships and
Fair Value Hedges
(millions of Canadian dollars) Amounts excluded from the
Hedge assessment of hedge
Derivatives1Hedged item1
ineffectiveness
2,3 effectiveness2,4
2009
Fair value hedges
Interest rate contracts $ (456) $ 440 $ 16 $ (137)
Foreign exchange contracts (159) 144 15 (20)
Total $ (615) $ 584 $ 31 $ (157)
The following tables disclose the impact of derivatives and hedged
items, where appropriate, on the Consolidated Statement of
1In 2009, $642 million of embedded derivatives were reclassified from deposits
to derivatives.
1Amounts are recorded in net interest income, with the exception of
hedge ineffectiveness.
2Amounts are recorded in other income.
3Hedge ineffectiveness for the year ended October 31, 2008 on fair value hedges
was $9 million.
4Amounts excluded from the assessment of hedge effectiveness for the year
ended October 31, 2008 were not significant.
Cash Flow and Net Investment Hedges
(millions of Canadian dollars) Amounts Amounts
recognized reclassified Amounts excluded from the
in OCI1from OCI1Hedge assessment of hedge
on derivatives into income2
ineffectiveness
3,4 effectiveness3,5
2009
Cash flow hedges
Interest rate contracts $ 2,430 $ 1,880 $ 3 $ (1)
Foreign exchange contracts6(794) 43 – (1)
Other contracts 2–– –
Total $ 1,638 $ 1,923 $ 3 $ (2)
Net investment hedges
Foreign exchange risk $ 19 $ – $ – $ (17)
1Other comprehensive income presented in the table above are after-tax amounts.
2Amounts are recorded in net interest income.
3Amounts are recorded in other income.
4Hedge ineffectiveness for the year ended October 31, 2008 on cash flow hedges
was $1 million.
5The effect of this exclusion for the year ended October 31, 2008 was
not significant.
6Includes non-derivative instruments designated as hedging instruments
in qualifying hedge accounting relationships.
Fair Value of Non-Trading Derivative Financial Instruments
(millions of Canadian dollars) Derivative assets Derivative liabilities
Derivatives Derivatives
Derivatives not in Derivatives not in
in qualifying qualifying in qualifying qualifying
hedging hedging hedging hedging
relationships relationships Total relationships relationships Total
2009
Derivative financial instruments held or
issued for non-trading purposes
Interest rate contracts
Swaps $ 2,851 $ 2,824 $ 5,675 $ 795 $ 3,713 $ 4,508
Options written – 4 4 – 10 10
Options purchased 204 6 210 – – –
Total interest rate contracts 3,055 2,834 5,889 795 3,723 4,518
Foreign exchange contracts
Forward contracts 119 4 123 695 5 700
Swaps –1414 – – –
Cross-currency interest rate swaps 883 925 1,808 590 474 1,064
Total foreign exchange contracts 1,002 943 1,945 1,285 479 1,764
Credit derivatives
Credit default swaps – protection purchased – 164 164 – 103 103
Credit default swaps – protection sold – – – – 24 24
Total credit derivatives – 164 164 – 127 127
Other contracts
Equity contracts – 793 793 – 6941694
Total other contracts – 793 793 – 694 694
Fair value – non-trading $ 4,057 $ 4,734 $ 8,791 $ 2,080 $ 5,023 $ 7,103
those which have not been designated in qualifying hedge
accounting relationships.
Income and on other comprehensive income for the year ended
October 31, 2009.