TD Bank 2012 Annual Report Download - page 134

TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS132
The following table indicates the periods when hedged cash flows in
designated cash flow hedge accounting relationships are expected to
occur as at October 31, 2012, October 31, 2011, and November 1, 2010.
Hedged Cash Flows
(millions of Canadian dollars) October 31, 2012
Within 1-3 3-5 5-10 Over 10
1 year years years years years Total
Cash flow hedges
Cash inflows $ 12,242 $ 15,187 $ 6,941 $ 396 $ 248 $ 35,014
Cash outflows (2,128) (5,214) (4,743) – – (12,085)
Net cash flows $ 10,114 $ 9,973 $ 2,198 $ 396 $ 248 $ 22,929
October 31, 2011
Cash flow hedges
Cash inflows $ 10,119 $ 12,321 $ 7,885 $ 1,239 $ 346 $ 31,910
Cash outflows (327) (2,374) (5,259) (13) – (7,973)
Net cash flows $ 9,792 $ 9,947 $ 2,626 $ 1,226 $ 346 $ 23,937
November 1, 2010
Cash flow hedges
Cash inflows $ 8,365 $ 10,539 $ 8,486 $ 1,219 $ 438 $ 29,047
Cash outflows (975) (1,980) (5,302) (25) – (8,282)
Net cash flows $ 7,390 $ 8,559 $ 3,184 $ 1,194 $ 438 $ 20,765
During the years ended October 31, 2012 and October 31, 2011, there
were no significant instances where forecasted hedged transactions
failed to occur.
The following table presents gains (losses) on non-trading derivatives
that have not been designated in qualifying hedge accounting relation-
ships for the years ended October 31, 2012 and October 31, 2011.
These gains (losses) are partially offset by gains (losses) recorded in the
Consolidated Statement of Income and in the Consolidated Statement
of Other Comprehensive Income on related non-derivative instruments.
Gains (Losses) on Non-Trading Derivatives not Designated in
Qualifying Hedge Accounting Relationships1
(millions of Canadian dollars) 2012 2011
Interest rate contracts $ (111) $ 140
Foreign exchange contracts (14) (8)
Credit derivatives (67) 41
Equity 3 (1)
Total $ (189) $ 172
1
Amounts are recorded in non-interest income.
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) October 31 October 31 November 1
2012
2011 2010
Trading
Over-the- Exchange- Non-
counter1 traded Total trading Total Total Total
Notional Principal
Interest rate contracts
Futures $ – $ 285.0 $ 285.0 $ – $ 285.0 $ 211.8 $ 255.4
Forward rate agreements 85.0 – 85.0 2.9 87.9 118.9 56.7
Swaps 2,003.5 – 2,003.5 308.4 2,311.9 1,792.5 1,300.7
Options written 24.9 31.7 56.6 0.6 57.2 72.0 50.9
Options purchased 19.2 26.1 45.3 4.6 49.9 65.8 59.0
Total interest rate contracts 2,132.6 342.8 2,475.4 316.5 2,791.9 2,261.0 1,722.7
Foreign exchange contracts
Futures – 28.7 28.7 – 28.7 38.3 17.5
Forward contracts 374.4 – 374.4 37.4 411.8 415.1 380.4
Swaps 1.2 – 1.2 0.1 1.3 2.9 20.4
Cross-currency interest rate swaps 388.3 – 388.3 28.6 416.9 381.3 337.2
Options written 13.6 – 13.6 – 13.6 34.5 53.7
Options purchased 12.8 – 12.8 – 12.8 30.8 44.5
Total foreign exchange contracts 790.3 28.7 819.0 66.1 885.1 902.9 853.7
Credit derivatives
Credit default swaps – protection purchased 2.7 – 2.7 4.3 7.0 8.7 10.0
Credit default swaps – protection sold 1.7 – 1.7 – 1.7 2.7 3.7
Total credit derivative contracts 4.4 – 4.4 4.3 8.7 11.4 13.7
Other contracts
Equity contracts 45.3 12.5 57.8 28.5 86.3 71.7 65.2
Commodity contracts 8.1 11.2 19.3 – 19.3 16.0 12.5
Total other contracts 53.4 23.7 77.1 28.5 105.6 87.7 77.7
Total $ 2,980.7 $ 395.2 $ 3,375.9 $ 415.4 $ 3,791.3 $ 3,263.0 $ 2,667.8
1
Includes clearing house settled instruments.