Bank of Montreal 2010 Annual Report Download - page 156

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Notes
154 BMO Financial Group 193rd Annual Report 2010
Fair Value Hierarchy
We determine the fair value of our pension benefit and other employee
future benefit plan assets using the methods described in Note 29.
We use a fair value hierarchy to categorize the inputs we use in valuation
techniques to measure fair value, consistent with the fair value hierarchy
Pension Benefit Plans
Valued using Valued using Valued using
quoted models (with models (without
As at October 31, 2010 (Canadian $ in millions) market prices observable inputs) observable inputs)
Cash and Cash Equivalents 218 – –
Securities issued or guaranteed by:
Canadian federal government 562 – –
Canadian provincial and municipal governments 919 35 2
U.S. federal government 10 – –
U.S. states, municipalities and agencies 11 24 –
Other governments 66 3 –
Mortgage-backed securities and collateralized mortgage obligations – 27 24
Corporate debt 388 318 36
Corporate equity 1,626 672 226
Total securities 3,582 1,079 288
Derivative Assets
Interest rate contracts 40 – –
Foreign exchange contracts – 448 –
Equity contracts 333 – 1
Total derivative assets 373 448 1
Derivative Liabilities
Interest rate contracts 39 – –
Foreign exchange contracts – 442 –
Equity contracts 323 – –
Total derivative liabilities 362 442 –
Total 3,811 1,085 289
Other Employee Future Benefit Plans
Valued using Valued using Valued using
quoted models (with models (without
As at October 31, 2010 (Canadian $ in millions) market prices observable inputs) observable inputs)
Cash and Cash Equivalents 1 – –
Securities issued or guaranteed by:
U.S. federal government 1 – –
U.S. states, municipalities and agencies – 2 –
Corporate debt 8 19 –
Corporate equity 36 – –
Total securities 45 21 –
Total 46 21 –
The table below presents a reconciliation of all changes in plan assets categorized as Level 3 financial instruments for the year ended October 31, 2010:
Pension Benefit Plans Unrealized
gains (losses)
on assets
Fair value and liabilities
Balance at Realized Unrealized Transfers Transfers as at still held at
For the year ended October 31, 2010 October 31, gains gains into out of October 31, October 31,
(Canadian $ in millions) 2009 (losses) (losses) Purchases Sales Maturities (1) Level 3 Level 3 2010 2010
Securities issued or guaranteed by:
Canadian provincial and
municipal governments 10 – 2 – – – 2 (12) 2 –
U.S. states, municipalities and agencies 1 – – – – – – (1) – –
Mortgage-backed securities and
collateralized mortgage obligations 20 – – 9 (2) – – (3) 24 –
Corporate debt 20 – 3 28 (2) – – (13) 36 2
Corporate equity 223 – 2 2 – – – (1) 226 2
Total securities 274 – 7 39 (4) – 2 (30) 288 4
Derivative Assets
Equity contracts 1 – – 2 (2) – – – 1 –
Total derivative assets 1 – – 2 (2) – – – 1 –
(1) Includes cash settlement of derivative assets and derivative liabilities.
table for the financial instruments held by the bank, provided in Note 29.
The extent of our use of quoted market prices (Level 1), internal models
using observable market information as inputs (Level 2) and internal models
without observable market information as inputs (Level 3) in the valuation
of securities, derivative assets and derivative liabilities was as follows: