TD Bank 2014 Annual Report Download - page 174

TD BANK GROUP ANNUAL REPORT 2014 FINANCIAL RESULTS172
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.
Hedged Cash Flows
(millions of Canadian dollars) As at
October 31, 2014
Within Over 1 year Over 3 years Over 5 years Over 10
1 year to 3 years to 5 years to 10 years years Total
Cash flow hedges
Cash inflows $ 16,877 $ 23,155 $ 10,107 $ 721 $ 275 $ 51,135
Cash outflows (4,530) (9,745) (8,847) (2,673) – (25,795)
Net cash flows $ 12,347 $ 13,410 $ 1,260 $ (1,952) $ 275 $ 25,340
October 31, 2013
Cash flow hedges
Cash inflows $ 18,235 $ 21,582 $ 8,480 $ 1,063 $ 294 $ 49,654
Cash outflows (1,485) (7,276) (6,731) (389) – (15,881)
Net cash flows $ 16,750 $ 14,306 $ 1,749 $ 674 $ 294 $ 33,773
Income related to interest cash flows is recognized using the EIRM
over the life of the underlying instrument. Foreign currency translation
gains and losses related to future cash flows on hedged items are
recognized as incurred.
During the years ended October 31, 2014, and October 31, 2013,
there were no significant instances where forecasted hedged transac-
tions 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. These gains (losses) are partially
offset by gains (losses) recorded on the Consolidated Statement of
Income and on 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) For the years ended October 31
2014 2013 2012
Interest rate contracts $ (66) $ 69 $ (111)
Foreign exchange contracts 13 (47) (14)
Credit derivatives (100) (187) (67)
Equity 10 4 3
Total $ (143) $ (161) $ (189)
1
Amounts are recorded in non-interest income.
The following table discloses the notional amount of over-the-counter
and exchange-traded derivatives.
Over-the-Counter and Exchange-Traded Derivatives
(billions of Canadian dollars) As at
October 31 October 31
2014 2013
Trading
Over-the-Counter1
Non
Clearing Clearing Exchange- Non-
house2 house traded Total trading Total Total
Notional
Interest rate contracts
Futures $ – $ – $ 228 $ 228 $ – $ 228 $ 301
Forward rate agreements 216 67 – 283 – 283 173
Swaps 2,524 1,030 – 3,554 702 4,256 3,087
Options written – 25 11 36 – 36 42
Options purchased – 24 15 39 2 41 43
Total interest rate contracts 2,740 1,146 254 4,140 704 4,844 3,646
Foreign exchange contracts
Futures – – 36 36 – 36 38
Forward contracts – 508 – 508 41 549 426
Swaps – – – – 1 1 –
Cross-currency interest rate swaps – 444 – 444 51 495 446
Options written – 19 – 19 – 19 13
Options purchased – 19 – 19 – 19 12
Total foreign exchange contracts – 990 36 1,026 93 1,119 935
Credit derivatives
Credit default swaps – protection purchased – 2 – 2 5 7 9
Credit default swaps – protection sold – 1 – 1 – 1 4
Total credit derivative contracts – 3 – 3 5 8 13
Other contracts
Equity contracts – 35 23 58 39 97 87
Commodity contracts – 10 14 24 – 24 31
Total other contracts – 45 37 82 39 121 118
Total $ 2,740 $ 2,184 $ 327 $ 5,251 $ 841 $ 6,092 $ 4,712
1
Collateral held under a Credit Support Annex to help reduce counterparty credit
risk is in the form of high quality and liquid assets such as cash and high quality
government securities. Acceptable collateral is governed by the Collateralized
Trading Policy.
2
Derivatives executed through a central clearing house reduces settlement risk
due to the ability to net settle offsetting positions. The Bank also receives
preferential capital treatment relative to those settled with non-central clearing
house counterparties.