TD Bank 2011 Annual Report Download - page 118

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TD BANK GROUP ANNUAL REPORT 2011 FINANCIAL RESULTS116
The following table discloses the notional principal amount
of over-the-counter and exchange-traded derivatives.
Over-the-Counter and Exchange-Traded Derivatives
(billions of Canadian dollars) 2011 2010
Trading
Over-the- Exchange- Non-
counter traded Total trading Total Total
Notional Principal
Interest rate contracts
Futures $ – $ 211.8 $ 211.8 $ – $ 211.8 $ 255.4
Forward rate agreements 108.1 – 108.1 10.8 118.9 56.7
Swaps 1,471.3 – 1,471.3 366.9 1,838.2 1,346.3
Options written 25.0 43.1 68.1 7.9 76.0 50.9
Options purchased 25.9 38.6 64.5 1.3 65.8 59.0
Total interest rate contracts 1,630.3 293.5 1,923.8 386.9 2,310.7 1,768.3
Foreign exchange contracts
Futures – 38.3 38.3 – 38.3 17.5
Forward contracts 384.9 – 384.9 30.4 415.3 380.9
Swaps 2.9 – 2.9 – 2.9 20.4
Cross-currency interest rate swaps 356.9 – 356.9 24.4 381.3 337.2
Options written 34.5 – 34.5 – 34.5 53.7
Options purchased 30.8 – 30.8 – 30.8 44.5
Total foreign exchange contracts 810.0 38.3 848.3 54.8 903.1 854.2
Credit derivatives
Credit default swaps – protection purchased 3.9 – 3.9 4.8 8.7 10.0
Credit default swaps – protection sold 2.7 – 2.7 – 2.7 3.7
Total credit derivative contracts 6.6 – 6.6 4.8 11.4 13.7
Other contracts
Equity contracts 39.4 8.4 47.8 23.9 71.7 65.2
Commodity contracts 18.9 6.8 25.7 – 25.7 12.5
Total other contracts 58.3 15.2 73.5 23.9 97.4 77.7
Total $ 2,505.2 $ 347.0 $ 2,852.2 $ 470.4 $ 3,322.6 $ 2,713.9
The following table discloses derivatives based on their contractual
terms to maturity.
Derivatives by Term to Maturity
(billions of Canadian dollars) 2011 2010
Remaining term to maturity
Over Over Over
Within 1 year to 3 years to 5 years to Over
1 year 3 years 5 years 10 years 10 years Total Total
Notional Principal
Interest rate contracts
Futures $ 175.5 $ 36.3 $ – $ – $ – $ 211.8 $ 255.4
Forward rate agreements 116.6 2.3 – – – 118.9 56.7
Swaps 532.4 547.5 404.7 283.6 70.0 1,838.2 1,346.3
Options written 65.8 3.3 3.7 2.8 0.4 76.0 50.9
Options purchased 55.3 2.1 4.7 2.4 1.3 65.8 59.0
Total interest rate contracts 945.6 591.5 413.1 288.8 71.7 2,310.7 1,768.3
Foreign exchange contracts
Futures 20.0 16.7 1.6 – – 38.3 17.5
Forward contracts 370.3 32.8 11.7 0.5 – 415.3 380.9
Swaps – 1.6 0.3 0.8 0.2 2.9 20.4
Cross-currency interest rate swaps 67.2 113.3 98.2 80.3 22.3 381.3 337.2
Options written 31.0 2.2 1.2 0.1 – 34.5 53.7
Options purchased 27.5 2.2 1.0 0.1 – 30.8 44.5
Total foreign exchange contracts 516.0 168.8 114.0 81.8 22.5 903.1 854.2
Credit derivatives
Credit default swaps – protection purchased 1.8 2.8 2.2 1.9 – 8.7 10.0
Credit default swaps – protection sold 0.9 0.6 0.9 0.3 – 2.7 3.7
Total credit derivative contracts 2.7 3.4 3.1 2.2 – 11.4 13.7
Other contracts
Equity contracts 46.4 18.4 6.8 0.1 – 71.7 65.2
Commodity contracts 21.7 3.7 0.3 – – 25.7 12.5
Total other contracts 68.1 22.1 7.1 0.1 – 97.4 77.7
Total $ 1,532.4 $ 785.8 $ 537.3 $ 372.9 $ 94.2 $ 3,322.6 $ 2,713.9