TD Bank 2014 Annual Report Download - page 171

TD BANK GROUP ANNUAL REPORT 2014 FINANCIAL RESULTS 169
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 amounts do not represent the potential gain or loss associ-
ated with the market risk nor indicative of the credit risk associated
with derivative financial instruments.
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.
Fair Value of Derivatives
(millions of Canadian dollars) October 31, 2014 October 31, 2013
Average fair value Fair value as at Fair value as at
for the year1
balance sheet date
balance sheet date
Positive Negative Positive Negative Positive Negative
Derivatives held or issued for trading purposes
Interest rate contracts
Futures $ 1 $ 2 $ 1 $ – $ 2 $ –
Forward rate agreements 52 47 92 82 26 28
Swaps 21,029 19,299 20,059 17,873 21,663 20,188
Options written – 590 – 592 – 617
Options purchased 561 – 594 – 586 –
Total interest rate contracts 21,643 19,938 20,746 18,547 22,277 20,833
Foreign exchange contracts
Futures – – – – – –
Forward contracts 4,455 4,042 8,030 6,525 3,125 3,004
Swaps – – – – – –
Cross-currency interest rate swaps 10,248 12,204 11,936 14,487 8,631 10,699
Options written – 262 – 351 – 200
Options purchased 255 – 346 – 190 –
Total foreign exchange contracts 14,958 16,508 20,312 21,363 11,946 13,903
Credit derivatives
Credit default swaps – protection purchased 1 57 1 37 3 92
Credit default swaps – protection sold 20 2 12 2 57 4
Total credit derivative contracts 21 59 13 39 60 96
Other contracts
Equity contracts 6,062 7,022 4,499 5,357 7,302 8,946
Commodity contracts 451 338 396 498 331 327
Total other contracts 6,513 7,360 4,895 5,855 7,633 9,273
Fair value – trading 43,135 43,865 45,966 45,804 41,916 44,105
Derivatives held or issued for non-trading purposes
Interest rate contracts
Forward rate agreements – – – – – –
Swaps 2,744 1,690 2,648 1,559 3,397 2,011
Options written – 3 – 3 – 4
Options purchased 16 – 21 – 17 –
Total interest rate contracts 2,760 1,693 2,669 1,562 3,414 2,015
Foreign exchange contracts
Forward contracts 1,386 910 1,612 398 648 616
Swaps – – – – – –
Cross-currency interest rate swaps 2,577 1,097 3,000 1,271 1,693 1,177
Total foreign exchange contracts 3,963 2,007 4,612 1,669 2,341 1,793
Credit derivatives
Credit default swaps – protection purchased 2 274 5 286 3 262
Total credit derivative contracts 2 274 5 286 3 262
Other contracts
Equity contracts 1,945 1,365 2,111 1,455 1,787 1,296
Total other contracts 1,945 1,365 2,111 1,455 1,787 1,296
Fair value – non-trading 8,670 5,339 9,397 4,972 7,545 5,366
Total fair value $ 51,805 $ 49,204 $ 55,363 $ 50,776 $ 49,461 $ 49,471
1 The average fair value of trading derivatives for the year ended October 31, 2013,
was: positive $56 billion and negative $58 billion. Averages are calculated on a
monthly basis.