TD Bank 2014 Annual Report Download - page 176

TD BANK GROUP ANNUAL REPORT 2014 FINANCIAL RESULTS174
Credit Exposure of Derivatives
(millions of Canadian dollars) As at
October 31, 2014
October 31, 2013
Current Credit Risk- Current Credit Risk-
replacement equivalent weighted replacement equivalent weighted
cost amount amount cost amount amount
Interest rate contracts
Forward rate agreements $ 22 $ 74 $ 25 $ 26 $ 14 $ 3
Swaps 20,919 26,737 14,571 24,460 31,331 16,773
Options purchased 614 707 363 604 746 440
Total interest rate contracts 21,555 27,518 14,959 25,090 32,091 17,216
Foreign exchange contracts
Forward contracts 9,492 16,556 3,778 3,656 9,303 2,174
Cross-currency interest rate swaps 14,936 37,891 14,397 10,321 31,288 11,955
Options purchased 346 558 145 190 395 126
Total foreign exchange contracts 24,774 55,005 18,320 14,167 40,986 14,255
Other contracts
Credit derivatives 13 184 106 60 479 277
Equity contracts 6,156 9,949 1,275 8,721 12,269 1,168
Commodity contracts 343 1,207 368 271 927 280
Total other contracts 6,512 11,340 1,749 9,052 13,675 1,725
Total derivatives 52,841 93,863 35,028 48,309 86,752 33,196
Less: impact of master netting agreements 39,783 58,632 23,988 37,918 56,795 21,562
Total derivatives after netting 13,058 35,231 11,040 10,391 29,957 11,634
Less: impact of collateral 5,678 6,002 2,135 4,998 5,592 3,523
Net derivatives 7,380 29,229 8,905 5,393 24,365 8,111
Qualifying Central Counterparty (QCCP) Contracts 998 11,700 1,659 37 4,966 866
Total $ 8,378 $ 40,929 $ 10,564 $ 5,430 $ 29,331 $ 8,977
Current Replacement Cost of Derivatives
(millions of Canadian dollars, As at
except as noted) Canada1
United States1 Other International1 Total
October 31 October 31 October 31 October 31 October 31 October 31 October 31 October 31
By sector 2014 2013 2014 2013 2014 2013 2014 2013
Financial $ 29,486 $ 22,329 $ 10,418 $ 12,476 $ 4,762 $ 5,482 $ 44,666 $ 40,287
Government 4,286 4,653 1,308 1,217 16 9 5,610 5,879
Other 1,112 986 1,298 1,063 155 94 2,565 2,143
Current replacement cost $ 34,884 $ 27,968 $ 13,024 $ 14,756 $ 4,933 $ 5,585 $ 52,841 $ 48,309
Less: impact of master netting
agreements and collateral 45,461 42,916
Total current replacement cost $ 7,380 $ 5,393
October 31 October 31
October 31 October 31 2014 2013
By location of risk2 2014 2013 % mix % mix
Canada $ 2,811 $ 2,694 38.1% 50.0%
United States 2,375 1,367 32.2 25.3
Other international
United Kingdom 632 473 8.5 8.8
Europe – other 832 603 11.3 11.2
Other 730 256 9.9 4.7
Total Other international 2,194 1,332 29.7 24.7
Total current replacement cost $ 7,380 $ 5,393 100.0% 100.0%
1
Based on geographic location of unit responsible for recording revenue.
2
After impact of master netting agreements and collateral.
Certain of the Bank’s derivative contracts are governed by master
derivative agreements having provisions that may permit the Bank’s
counterparties to require, upon the occurrence of a certain contingent
event: (1) the posting of collateral or other acceptable remedy such as
assignment of the affected contracts to an acceptable counterparty;
or (2) settlement of outstanding derivative contracts. Most often,
these contingent events are in the form of a downgrade of the senior
debt ratings of the Bank, either as counterparty or as guarantor of
one of the Bank’s subsidiaries. At October 31, 2014, the aggregate
net liability position of those contracts would require: (1) the posting
of collateral or other acceptable remedy totalling $78 million
(October 31, 2013 – $51 million) in the event of a one-notch or two-
notch downgrade in the Bank’s senior debt ratings; and (2) funding
totalling $1 million (October 31, 2013 – $4 million) following the
termination and settlement of outstanding derivative contracts in
the event of a one-notch or two-notch downgrade in the Bank’s
senior debt ratings.