TD Bank 2012 Annual Report Download - page 164

TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS162
Interest Rate Risk
(billions of Canadian dollars, except as noted) October 31, 2012
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
Assets
Cash resources and other $ 5.7 $ 18.8 $ 0.4 $ 24.9 $ – $ – $ 0.2 $ 25.1
Effective yield 0.3% 1.3% –% –%
Trading loans, securities, and other $ 0.2 $ 4.5 $ 13.1 $ 17.8 $ 24.2 $ 8.2 $ 44.3 $ 94.5
Effective yield 1.4% 1.0% 2.0% 2.6%
Financial assets designated at fair value through profit or loss $ 0.5 $ 0.5 $ 0.4 $ 1.4 $ 4.0 $ 0.5 $ 0.3 $ 6.2
Effective yield 0.6% 1.8% 2.7% 3.2%
Available-for-sale $ 3.4 $ 46.3 $ 7.8 $ 57.5 $ 26.0 $ 14.2 $ 0.9 $ 98.6
Effective yield 1.0% 2.0% 2.5% 2.6%
Securities purchased under reverse repurchase agreements $ 3.2 $ 45.8 $ 7.9 $ 56.9 $ 2.0 $ – $ 10.3 $ 69.2
Effective yield 0.4% 0.3% 1.9% –%
Loans $ 8.2 $ 200.8 $ 40.0 $ 249.0 $ 134.3 $ 20.1 $ 5.4 $ 408.8
Effective yield 1.7% 2.4% 2.7% 3.7%
Other $ 68.1 $ – $ – $ 68.1 $ – $ – $ 40.6 $ 108.7
Total assets $ 89.3 $ 316.7 $ 69.6 $ 475.6 $ 190.5 $ 43.0 $ 102.0 $ 811.1
Liabilities and equity
Trading deposits $ – $ 18.0 $ 19.4 $ 37.4 $ 0.1 $ 0.3 $ 1.0 $ 38.8
Effective yield 0.4% 0.4% 1.0% 2.0%
Other deposits $ 193.4 $ 62.3 $ 36.6 $ 292.3 $ 49.6 $ 0.2 $ 145.7 $ 487.8
Effective yield 1.1% 1.6% 1.8% 2.0%
Securitization liabilities at fair value $ – $ 1.2 $ 4.8 $ 6.0 $ 17.4 $ 1.5 $ 0.4 $ 25.3
Effective yield 3.0% 1.5% 1.7% 1.6%
Obligations related to securities sold short $ 33.4 $ – $ – $ 33.4 $ – $ – $ – $ 33.4
Obligations related to securities
sold under repurchase agreements $ 1.2 $ 25.4 $ 2.0 $ 28.6 $ – $ – $ 10.2 $ 38.8
Effective yield 0.5% 0.2% –% –%
Securitization liabilities at amortized cost $ – $ 10.8 $ 1.5 $ 12.3 $ 11.3 $ 2.6 $ – $ 26.2
Effective yield 1.4% 1.1% 1.4% 1.9%
Subordinated notes and debentures $ – $ – $ 3.4 $ 3.4 $ 5.1 $ 2.8 $ – $ 11.3
Effective yield –% 5.5% 4.8% 6.0%
Other $ 72.2 $ 0.4 $ – $ 72.6 $ – $ 1.8 $ 26.1 $ 100.5
Equity $ – $ 0.5 $ 0.8 $ 1.3 $ 2.2 $ – $ 45.5 $ 49.0
Total liabilities and equity $ 300.2 $ 118.6 $ 68.5 $ 487.3 $ 85.7 $ 9.2 $ 228.9 $ 811.1
Net position $ (210.9) $ 198.1 $ 1.1 $ (11.7) $ 104.8 $ 33.8 $ (126.9) $ –
INTEREST RATE RISK
NOTE 31
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 below details the balances of 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.
The Bank’s risk management policies and procedures relating to credit,
market, and liquidity risks as required under IFRS 7 are outlined in
the shaded sections of the “Managing Risk” section of the MD&A in
this report.