TD Bank 2011 Annual Report Download - page 144

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TD BANK GROUP ANNUAL REPORT 2011 FINANCIAL RESULTS142
INTEREST RATE RISK
NOTE 30
The Bank earns and pays interest on certain assets and liabilities. To
the extent that the assets, liabilities and financial instruments mature
or reprice at different points in time, the Bank is exposed to interest
rate risk. The table on the following page details interest-rate sensitive
instruments by the earlier of the maturity or repricing date. Contractual
repricing dates may be adjusted according to management’s estimates
for prepayments or early redemptions that are independent of changes
in interest rates. Certain assets and liabilities are shown as non-rate
sensitive although the profile assumed for actual management may be
different. Derivatives are presented in the floating rate category.
Interest Rate Risk
(billions of Canadian dollars, except as noted) Total Over 1 Non-
Floating Within 3 3 months within year to Over interest
rate months to 1 year 1 year 5 years 5 years sensitive Total
2011
Assets
Cash resources and other $ 5.2 $ 17.6 $ 0.9 $ 23.7 $ – $ – $ 0.4 $ 24.1
Effective yield 0.2% 0.9% –% –%
Trading securities $ 0.6 $ 6.3 $ 12.3 $ 19.2 $ 16.6 $ 8.4 $ 24.1 $ 68.3
Effective yield 1.3% 0.8% 2.5% 3.0%
Available-for-sale $ 0.2 $ 58.1 $ 12.5 $ 70.8 $ 32.1 $ 10.0 $ 4.4 $ 117.3
Effective yield 0.4% 1.4% 1.6% 1.0%
Held-to-maturity $ – $ 0.5 $ 1.4 $ 1.9 $ 5.1 $ – $ – $ 7.0
Effective yield 3.4% 2.4% 2.6% –%
Securities purchased under
reverse repurchase agreements $ 5.3 $ 32.9 $ 12.4 $ 50.6 $ 2.0 $ – $ 1.0 $ 53.6
Effective yield 0.8% 0.4% 1.9% –%
Loans $ 8.7 $ 183.7 $ 27.7 $ 220.1 $ 62.7 $ 14.8 $ 5.9 $ 303.5
Effective yield 2.0% 3.3% 3.8% 4.6%
Other $ 68.2 $ – $ – $ 68.2 $ – $ – $ 44.4 $ 112.6
Total assets $ 88.2 $ 299.1 $ 67.2 $ 454.5 $ 118.5 $ 33.2 $ 80.2 $ 686.4
Liabilities and shareholders’ equity
Trading deposits $ – $ 20.3 $ 7.9 $ 28.2 $ 0.2 $ 0.4 $ 0.8 $ 29.6
Effective yield 0.4% 0.6% 1.1% 2.1%
Other deposits $ 149.1 $ 57.8 $ 34.7 $ 241.6 $ 52.4 $ 2.2 $ 155.3 $ 451.5
Effective yield 0.8% 1.4% 2.4% 7.8%
Obligations related to securities sold short $ 24.4 $ – $ – $ 24.4 $ – $ – $ – $ 24.4
Obligations related to securities
sold under repurchase agreements $ 0.6 $ 25.0 $ – $ 25.6 $ – $ – $ – $ 25.6
Effective yield 0.7% –% –% –%
Subordinated notes and debentures $ – $ 0.1 $ 0.2 $ 0.3 $ 6.2 $ 5.2 $ – $ 11.7
Effective yield 1.7% 7.0% 5.2% 5.4%
Other $ 71.1 $ – $ – $ 71.1 $ – $ – $ 25.6 $ 96.7
Shareholders’ equity $ – $ – $ – $ – $ 3.4 $ – $ 43.5 $ 46.9
Total liabilities and shareholders’ equity $ 245.2 $ 103.2 $ 42.8 $ 391.2 $ 62.2 $ 7.8 $ 225.2 $ 686.4
Net position $ (157.0) $ 195.9 $ 24.4 $ 63.3 $ 56.3 $ 25.4 $ (145.0) $ –
2010
Total assets $ 83.7 $ 264.6 $ 48.3 $ 396.6 $ 118.8 $ 27.8 $ 76.3 $ 619.5
Total liabilities and shareholders’ equity 231.1 86.3 48.0 365.4 59.3 3.7 191.1 619.5
Net position $ (147.4) $ 178.3 $ 0.3 $ 31.2 $ 59.5 $ 24.1 $ (114.8) $ –
Interest Rate Risk by Category
(billions of Canadian dollars) Total Over 1 Non-
Floating Within 3 3 months within year to Over interest
rate months to 1 year 1 year 5 years 5 years sensitive Total
2011
Canadian currency $ (104.9) $ 141.4 $ 7.0 $ 43.5 $ 21.0 $ 3.4 $ (61.2) $ 6.7
Foreign currency (52.1) 54.5 17.4 19.8 35.3 22.0 (83.8) (6.7)
Net position $ (157.0) $ 195.9 $ 24.4 $ 63.3 $ 56.3 $ 25.4 $ (145.0) $ –
2010
Canadian currency $ (91.1) $ 122.5 $ (4.5) $ 26.9 $ 17.0 $ 8.1 $ (60.7) $ (8.7)
Foreign currency (56.3) 55.8 4.8 4.3 42.5 16.0 (54.1) 8.7
Net position $ (147.4) $ 178.3 $ 0.3 $ 31.2 $ 59.5 $ 24.1 $ (114.8) $ –