TD Bank 2014 Annual Report Download - page 172

TD BANK GROUP ANNUAL REPORT 2014 FINANCIAL RESULTS170
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.
Fair Value of Non-Trading Derivatives
(millions of Canadian dollars) As at
October 31, 2014
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 $ – $ – $ – $ – $ – $ – $ – $ – $ – $ –
Swaps 6 744 – 1,898 2,648 224 297 – 1,038 1,559
Options written – – – – – – – – 3 3
Options purchased 14 – – 7 21 – – – – –
Total interest rate contracts 20 744 – 1,905 2,669 224 297 – 1,041 1,562
Foreign exchange contracts
Forward contracts – 1,594 9 9 1,612 – 384 7 7 398
Swaps – – – – – – – – – –
Cross-currency interest rate swaps – 2,223 – 777 3,000 – 629 110 532 1,271
Total foreign exchange contracts – 3,817 9 786 4,612 – 1,013 117 539 1,669
Credit derivatives
Credit default swaps –
protection purchased – – – 5 5 – – – 286 286
Total credit derivatives – – – 5 5 – – – 286 286
Other contracts
Equity contracts – 650 – 1,461 2,111 – – – 1,455 1,455
Total other contracts – 650 – 1,461 2,111 – – – 1,455 1,455
Fair value – non-trading $ 20 $ 5,211 $ 9 $ 4,157 $ 9,397 $ 224 $ 1,310 $ 117 $ 3,321 $ 4,972
October 31, 2013
Derivatives held or issued for
non-trading purposes
Interest rate contracts
Forward rate agreements $ – $ – $ – $ – $ – $ – $ – $ – $ – $ –
Swaps 228 636 – 2,533 3,397 130 274 – 1,607 2,011
Options written – – – – – – – – 4 4
Options purchased – – – 17 17 – – – – –
Total interest rate contracts 228 636 – 2,550 3,414 130 274 – 1,611 2,015
Foreign exchange contracts
Forward contracts – 622 – 26 648 – 566 30 20 616
Swaps – – – – – – – – – –
Cross-currency interest rate swaps – 993 – 700 1,693 – 658 – 519 1,177
Total foreign exchange contracts – 1,615 – 726 2,341 – 1,224 30 539 1,793
Credit derivatives
Credit default swaps –
protection purchased – – – 3 3 – – – 262 262
Total credit derivatives – – – 3 3 – – – 262 262
Other contracts
Equity contracts – 482 – 1,305 1,787 – – – 1,296 1,296
Total other contracts – 482 – 1,305 1,787 – – – 1,296 1,296
Fair value – non-trading $ 228 $ 2,733 $ – $ 4,584 $ 7,545 $ 130 $ 1,498 $ 30 $ 3,708 $ 5,366