TD Bank 2012 Annual Report Download - page 132

TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS130
Fair Value of Non-Trading Derivatives
(millions of Canadian dollars) October 31, 2012
Derivative Assets Derivative Liabilities
Derivatives in Derivatives in
qualifying Derivatives qualifying
Derivatives
hedging not in hedging not in
relationships
qualifying relationships qualifying
Fair Cash Net hedging Fair Cash Net hedging
Value Flow Investment relationships Total Value Flow Investment relationships Total
Derivatives held or issued for
non-trading purposes
Interest rate contracts
Forward rate agreements $ – $ – $ – $ – $ – $ – $ – $ – $ 1 $ 1
Swaps 138 2,893 – 2,626 5,657 150 243 – 2,498 2,891
Options written – – – 7 7 – – – 4 4
Options purchased – – – 18 18 – – – 8 8
Total interest rate contracts 138 2,893 – 2,651 5,682 150 243 – 2,511 2,904
Foreign exchange contracts
Forward contracts – 1,242 – 62 1,304 – 331 25 26 382
Swaps – – – – – – 7 – – 7
Cross-currency interest rate swaps – 335 – 716 1,051 – 1,187 – 410 1,597
Total foreign exchange contracts – 1,577 – 778 2,355 – 1,525 25 436 1,986
Credit derivatives
Credit default swaps –
protection purchased – – – 16 16 – – – 173 173
Total credit derivatives – – – 16 16 – – – 173 173
Other contracts
Equity contracts – 314 – 964 1,278 – 8 – 962 970
Total other contracts – 314 – 964 1,278 – 8 – 962 970
Fair value – non-trading $ 138 $ 4,784 $ – $ 4,409 $ 9,331 $ 150 $ 1,776 $ 25 $ 4,082 $ 6,033
October 31, 2011
Derivatives held or issued for
non-trading purposes
Interest rate contracts
Forward rate agreements $ – $ – $ – $ – $ – $ – $ 1 $ – $ 1 $ 2
Swaps 482 3,358 – 3,677 7,517 239 310 – 3,830 4,379
Options written – – – 6 6 – – – 5 5
Options purchased – – – 16 16 – – – 2 2
Total interest rate contracts 482 3,358 – 3,699 7,539 239 311 – 3,838 4,388
Foreign exchange contracts
Forward contracts – 1,007 3 13 1,023 – 504 11 12 527
Cross-currency interest rate swaps – 535 – 719 1,254 – 1,057 – 365 1,422
Total foreign exchange contracts – 1,542 3 732 2,277 – 1,561 11 377 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 $ 482 $ 5,240 $ 3 $ 5,410 $ 11,135 $ 239 $ 1,879 $ 11 $ 5,225 $ 7,354
November 1, 2010
Derivatives held or issued for
non-trading purposes
Interest rate contracts
Forward rate agreements $ – $ – $ – $ 5 $ 5 $ – $ – $ – $ 7 $ 7
Swaps 1,394 3,088 – 2,450 6,932 1,479 240 – 2,717 4,436
Options written – – – 7 7 – – – 6 6
Options purchased 1 – – 29 30 – – – 3 3
Total interest rate contracts 1,395 3,088 – 2,491 6,974 1,479 240 – 2,733 4,452
Foreign exchange contracts
Forward contracts – 800 41 4 845 – 464 53 6 523
Swaps – 27 – – 27 – – – – –
Cross-currency interest rate swaps – 453 – 738 1,191 – 960 – 334 1,294
Total foreign exchange contracts – 1,280 41 742 2,063 – 1,424 53 340 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 $ 1,395 $ 4,671 $ 41 $ 4,160 $ 10,267 $ 1,479 $ 1,667 $ 53 $ 4,034 $ 7,233
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 as at
October 31, 2012, October 31, 2011, and November 1, 2010.