Bank of Montreal 2010 Annual Report Download - page 163

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Notes
BMO Financial Group 193rd Annual Report 2010 161
Deposits
In determining the fair value of our deposits, we incorporate the
following assumptions:
• For fixed rate, fixed maturity deposits, we discount the remaining
contractual cash flows for these deposits, adjusted for expected
redemptions, at market interest rates currently offered for deposits
with similar terms and risks.
• For fixed rate deposits with no defined maturities, we consider fair
value to equal book value based on book value being equivalent to
the amount payable on the reporting date.
(Canadian $ in millions) 2010 2009
Fair value Fair value
Book Fair over (under) Book Fair over (under)
value value book value value value book value
Assets
Cash and cash equivalents 17,368 17,368 – 9,955 9,955 –
Interest bearing deposits with banks 3,186 3,186 – 3,340 3,340 –
Securities 123,399 123,433 34 110,813 110,831 18
Securities borrowed or purchased under resale agreements 28,102 28,102 – 36,006 36,006 –
Loans
Residential mortgages 48,715 49,531 816 45,524 46,067 543
Consumer instalment and other personal 51,159 51,223 64 45,824 45,913 89
Credit cards 3,308 3,308 – 2,574 2,574 –
Businesses and governments 68,338 68,084 (254) 68,169 67,895 (274)
171,520 172,146 626 162,091 162,449 358
Customers’ liability under acceptances 7,001 6,998 (3) 7,640 7,642 2
Allowance for credit losses (1,878) (1,878) – (1,902) (1,902) –
Total loans and customers’ liability under acceptances,
net of allowance for credit losses 176,643 177,266 623 167,829 168,189 360
Derivative instruments 49,759 49,759 – 47,898 47,898 –
Premises and equipment 1,560 1,560 – 1,634 1,634 –
Goodwill 1,619 1,619 – 1,569 1,569 –
Intangible assets 812 812 – 660 660 –
Other assets 9,192 9,192 – 8,754 8,754 –
411,640 412,297 657 388,458 388,836 378
Liabilities
Deposits 249,251 249,544 293 236,156 237,046 890
Derivative instruments 47,970 47,970 – 44,765 44,765 –
Acceptances 7,001 7,001 – 7,640 7,640 –
Securities sold but not yet purchased 16,438 16,438 – 12,064 12,064 –
Securities lent or sold under repurchase agreements 47,110 47,110 – 46,312 46,312 –
Other liabilities 17,414 17,496 82 15,938 15,976 38
Subordinated debt 3,776 3,947 171 4,236 4,405 169
Capital trust securities 800 823 23 1,150 1,218 68
Shareholders’ equity 21,880 21,880 – 20,197 20,197 –
411,640 412,209 569 388,458 389,623 1,165
Total fair value adjustment 88 (787)
Certain comparative figures have been reclassified to conform with the current year’s presentation.
• For floating rate deposits, changes in interest rates have minimal
impact on fair value since deposits reprice to market frequently.
On that basis, fair value is assumed to equal book value.
Subordinated Debt and Capital Trust Securities
The fair value of our subordinated debt and capital trust securities is
deter mined by referring to current market prices for similar instruments.
Set out in the following table are the amounts that would be
reported if all of our financial instrument assets and liabilities were
reported at their fair values.