TD Bank 2012 Annual Report Download - page 131

TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS 129
Fair Value of Derivatives
(millions of Canadian dollars) October 31, 2012
October 31, 2011
November 1, 2010
Average fair value Fair value as at Fair value as at Fair value as at
for the year1 balance sheet date balance sheet date balance sheet date
Positive Negative Positive Negative Positive Negative Positive Negative
Derivatives held or issued for trading purposes
Interest rate contracts
Futures $ 1 $ – $ 4 $ – $ 7 $ 1 $ 1 $ 1
Forward rate agreements 32 26 25 22 23 19 17 12
Swaps 31,241 29,045 32,058 29,473 27,359 26,278 19,687 19,517
Options written – 840 – 797 – 790 – 642
Options purchased 825 – 850 – 765 – 641 –
Total interest rate contracts 32,099 29,911 32,937 30,292 28,154 27,088 20,346 20,172
Foreign exchange contracts
Futures – – – – 1 – – –
Forward contracts 4,729 4,224 3,259 2,935 5,567 4,725 5,379 5,734
Swaps 205 178 179 63 237 292 2,240 881
Cross-currency interest rate swaps 8,973 17,284 7,293 16,473 9,569 16,248 9,395 14,090
Options written – 374 – 209 – 639 – 829
Options purchased 377 – 186 – 623 – 800 –
Total foreign exchange contracts 14,284 22,060 10,917 19,680 15,997 21,904 17,814 21,534
Credit derivatives
Credit default swaps – protection purchased 36 43 17 49 60 43 70 65
Credit default swaps – protection sold 15 49 16 25 19 68 52 65
Total credit derivative contracts 51 92 33 74 79 111 122 130
Other contracts
Equity contracts 5,320 6,398 7,168 8,309 3,702 4,574 2,146 2,772
Commodity contracts 842 811 533 609 778 684 775 711
Total other contracts 6,162 7,209 7,701 8,918 4,480 5,258 2,921 3,483
Fair value – trading $ 52,596 $ 59,272 $ 51,588 $ 58,964 $ 48,710 $ 54,361 $ 41,203 $ 45,319
Derivatives held or issued for non-trading purposes
Interest rate contracts
Forward rate agreements $ – $ 1 $ – $ 1 $ – $ 2 $ 5 $ 7
Swaps 6,844 3,793 5,657 2,891 7,517 4,379 6,932 4,436
Options written 7 4 7 4 6 5 7 6
Options purchased 20 7 18 8 16 2 30 3
Total interest rate contracts 6,871 3,805 5,682 2,904 7,539 4,388 6,974 4,452
Foreign exchange contracts
Forward contracts 1,389 401 1,304 382 1,023 527 845 523
Swaps 1 5 – 7 – – 27 –
Cross-currency interest rate swaps 1,078 1,540 1,051 1,597 1,254 1,422 1,191 1,294
Total foreign exchange contracts 2,468 1,946 2,355 1,986 2,277 1,949 2,063 1,817
Credit derivatives
Credit default swaps – protection purchased 57 127 16 173 72 102 66 93
Total credit derivative contracts 57 127 16 173 72 102 66 93
Other contracts
Equity contracts 1,208 313 1,278 970 1,247 915 1,164 871
Total other contracts 1,208 313 1,278 970 1,247 915 1,164 871
Fair value – non-trading $ 10,604 $ 6,191 $ 9,331 $ 6,033 $ 11,135 $ 7,354 $ 10,267 $ 7,233
Total fair value $ 63,200 $ 65,463 $ 60,919 $ 64,997 $ 59,845 $ 61,715 $ 51,470 $ 52,552
1 The average fair value of trading derivatives for the year ended October 31, 2011
was: positive $49,699 million and negative $52,168 million. Averages are
calculated on a monthly basis.
Equity index futures are standardized contracts transacted on an
exchange. They are based on an agreement to pay or receive a cash
amount based on the difference between the contracted price level of
an underlying stock index and its corresponding market price level at a
specified future date. There is no actual delivery of stocks that
comprise the underlying index. These contracts are in standard
amounts with standard settlement dates.
Commodity contracts include commodity forwards, futures, swaps
and options, such as precious metals and energy-related products in
both OTC and exchange markets.
NOTIONAL AMOUNTS
The notional amounts are not recorded as assets or liabilities as they
represent the face amount of the contract to which a rate or price is
applied to determine the amount of cash flows to be exchanged.
Notional principal amounts do not represent the potential gain or
loss associated with market risk and are not indicative of the credit
risk associated with derivative financial instruments.