TD Bank 2011 Annual Report Download - page 117

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TD BANK GROUP ANNUAL REPORT 2011 FINANCIAL RESULTS 115
The following tables disclose the impact of derivatives and hedged
items, where appropriate, in the Consolidated Statement of Income and
in other comprehensive income for the years ended October 31, 2011
and 2010.
Fair Value Hedges
(millions of Canadian dollars) Amounts Amounts Amounts excluded
recognized in recognized in from the
income on income on Hedge assessment of hedge
derivatives1 hedged items1 ineffectiveness2 effectiveness3
2011
Fair value hedges
Interest rate contracts $ (51) $ 57 $ 6 $ (31)
Total income (loss) $ (51) $ 57 $ 6 $ (31)
2010
Fair value hedges
Interest rate contracts $ (286) $ 274 $ (12) $ (93)
Total income (loss) $ (286) $ 274 $ (12) $ (93)
1 Amounts are recorded in net interest income.
2 Amounts are recorded in non-interest income.
3 Amounts are recorded in non-interest income and represent excluded components
on the derivatives. The amount is predominantly offset in net interest income by
the basis amortization of hedged items.
Cash Flow and Net Investment Hedges
(millions of Canadian dollars) Amounts excluded
Amounts Amounts from the
recognized in reclassified from Hedge assessment of hedge
OCI on derivatives1 OCI into income1,2 ineffectiveness3 effectiveness3
2011
Cash flow hedges
Interest rate contracts $ 2,072 $ 1,741 $ – $ –
Foreign exchange contracts4 (65) (19) – –
Other contracts 38 71 – –
Total income (loss) $ 2,045 $ 1,793 $ – $ –
Net investment hedges
Foreign exchange contracts4 $ 449 $ – $ – $ 70
2010
Cash flow hedges
Interest rate contracts $ 3,399 $ 2,224 $ (3) $ –
Foreign exchange contracts4 (225) (20) – –
Other contracts 192 179 1 –
Total income (loss) $ 3,366 $ 2,383 $ (2) $ –
Net investment hedges
Foreign exchange contracts4 $ 1,205 $ (11) $ – $ –
1 Other comprehensive income is presented on a pre-tax basis.
2 Amounts are recorded in net interest income.
3 Amounts are recorded in non-interest income.
4 Includes non-derivative instruments designated as hedging instruments in
qualifying hedge accounting relationships.
During the years ended October 31, 2011 and October 31, 2010, the
Bank did not recognize any net gain or loss in earnings as a result of
hedged firm commitments that no longer qualified as fair value hedges.
Over the next 12 months, the Bank expects an estimated
$1,162 million as at October 31, 2011 ($745 million as at October 31,
2010) in net gains reported in other comprehensive income to be
reclassified to net income. The maximum length of time over which the
Bank is hedging its exposure to the variability in future cash flows for
anticipated transactions is 28 years. During the year ended October 31,
2011, there were no significant instances where forecasted transactions
failed to occur.
The following table presents gains (losses) on non-trading derivatives
that have not been designated in qualifying hedge accounting rela-
tionships for the year ended October 31, 2011. These gains (losses)
are partially offset by gains (losses) recorded in the Consolidated State-
ment of Income and in other comprehensive income on related
non-derivative instruments.
Gains (Losses) on Non-Trading Derivatives not Designated in
Qualifying Hedge Accounting Relationships1
(millions of Canadian dollars) 2011 2010
Interest rate contracts $ (93) $ (247)
Foreign exchange contracts (8) (4)
Credit derivatives 41 (14)
Equity (1) 5
Other contracts – (2)
Total $ (61) $ (262)
1
Amounts are recorded in non-interest income.