TD Bank 2011 Annual Report Download - page 116

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TD BANK GROUP ANNUAL REPORT 2011 FINANCIAL RESULTS114
The following table distinguishes the derivatives held or issued for
non-trading purposes between those that have been designated in
qualifying hedge accounting relationships and those which have not
been designated in qualifying hedge accounting relationships.
Fair Value of Non-Trading Derivatives
(millions of Canadian dollars) Derivative assets Derivative liabilities
Derivatives Derivatives
Derivatives in not in Derivatives in not in
qualifying qualifying qualifying qualifying
hedging hedging hedging hedging
relationships relationships Total relationships relationships Total
2011
Derivatives held or issued for non-trading purposes
Interest rate contracts
Forward rate agreements $ – $ – $ – $ 1 $ 1 $ 2
Swaps 3,707 3,851 7,558 517 4,628 5,145
Options written – 6 6 – 32 32
Options purchased – 16 16 – 2 2
Total interest rate contracts 3,707 3,873 7,580 518 4,663 5,181
Foreign exchange contracts
Forward contracts 1,010 13 1,023 522 5 527
Swaps – – – – – –
Cross-currency interest rate swaps 535 719 1,254 1,057 365 1,422
Total foreign exchange contracts 1,545 732 2,277 1,579 370 1,949
Credit derivatives
Credit default swaps – protection purchased – 72 72 – 102 102
Total credit derivatives – 72 72 – 102 102
Other contracts
Equity contracts 340 907 1,247 7 908 915
Total other contracts 340 907 1,247 7 908 915
Fair value – non-trading $ 5,592 $ 5,584 $ 11,176 $ 2,104 $ 6,043 $ 8,147
2010
Derivatives held or issued for non-trading purposes
Interest rate contracts
Forward rate agreements $ – $ 5 $ 5 $ – $ 7 $ 7
Swaps 3,660 3,312 6,972 595 4,620 5,215
Options written – 7 7 – 5 5
Options purchased 30 – 30 – 3 3
Total interest rate contracts 3,690 3,324 7,014 595 4,635 5,230
Foreign exchange contracts
Forward contracts 841 4 845 517 6 523
Swaps 27 – 27 – – –
Cross-currency interest rate swaps 453 738 1,191 960 334 1,294
Total foreign exchange contracts 1,321 742 2,063 1,477 340 1,817
Credit derivatives
Credit default swaps – protection purchased – 66 66 – 93 93
Total credit derivatives – 66 66 – 93 93
Other contracts
Equity contracts 303 861 1,164 3 868 871
Total other contracts 303 861 1,164 3 868 871
Fair value – non-trading $ 5,314 $ 4,993 $ 10,307 $ 2,075 $ 5,936 $ 8,011