TD Bank 2012 Annual Report Download - page 133

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TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS 131
The following tables disclose the impact of derivatives designated in
hedge accounting relationships and the related hedged items, where
appropriate, in the Consolidated Statement of Income and in other
comprehensive income for the years ended October 31, 2012 and
October 31, 2011.
Fair Value Hedges
(millions of Canadian dollars) 2012
Amounts Amounts Amounts excluded
recognized in recognized in from the
income on income on Hedge assessment of hedge
derivatives1 hedged items1 ineffectiveness1 effectiveness1
Fair value hedges
Interest rate contracts $ 129 $ (127) $ 2 $ (1)
Total income (loss) $ 129 $ (127) $ 2 $ (1)
2011
Fair value hedges
Interest rate contracts $ 102 $ (107) $ (5) $ 30
Total income (loss) $ 102 $ (107) $ (5) $ 30
1
Amounts are recorded in non-interest income.
During the years ended October 31, 2012 and October 31, 2011, 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.
Cash Flow and Net Investment Hedges
(millions of Canadian dollars) 2012
Amounts excluded
Amounts Amounts from the
recognized in reclassified from Hedge assessment of hedge
OCI on derivatives1 OCI into income1,2 ineffectiveness3 effectiveness3
Cash flow hedges
Interest rate contracts $ 1,263 $ 1,611 $ – $ –
Foreign exchange contracts4 (28) (17) – –
Other contracts 108 102 – –
Total income (loss) $ 1,343 $ 1,696 $ – $ –
Net investment hedges
Foreign exchange contracts4 $ (76) $ – $ – $ 4
2011
Cash flow hedges
Interest rate contracts $ 1,902 $ 1,670 $ – $ –
Foreign exchange contracts4 129 132 – –
Other contracts 38 61 – –
Total income (loss) $ 2,069 $ 1,863 $ – $ –
Net investment hedges
Foreign exchange contracts4 $ 449 $ – $ – $ 70
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 (e.g., foreign denominated liabilities).