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Fair values of our derivative instruments are as follows:
(Canadian $ in millions) 2013 2012
Gross Gross Gross Gross
assets liabilities Net assets liabilities Net
Trading
Interest Rate Contracts
Swaps 21,251 (20,327) 924 36,040 (35,207) 833
Forward rate agreements 5 (5) – 98 (104) (6)
Futures 1 (3) (2) 1 (3) (2)
Purchased options 595 – 595 1,180 – 1,180
Written options – (672) (672) – (1,208) (1,208)
Foreign Exchange Contracts
Cross-currency swaps 1,156 (897) 259 1,159 (1,406) (247)
Cross-currency interest rate swaps 3,459 (3,641) (182) 4,408 (4,193) 215
Forward foreign exchange contracts 1,552 (1,549) 3 1,713 (1,768) (55)
Purchased options 100 – 100 140 – 140
Written options – (88) (88) – (109) (109)
Commodity Contracts
Swaps 501 (543) (42) 804 (1,180) (376)
Purchased options 238 – 238 428 – 428
Written options – (290) (290) – (561) (561)
Equity Contracts 536 (3,067) (2,531) 367 (2,268) (1,901)
Credit Default Swaps
Purchased 90 – 90 237 – 237
Written – (102) (102) – (156) (156)
Total fair value – trading derivatives 29,484 (31,184) (1,700) 46,575 (48,163) (1,588)
Average fair value (1) 38,016 (39,565) (1,549) 49,911 (50,212) (301)
Hedging
Interest Rate Contracts
Cash flow hedges – swaps 110 (169) (59) 134 (146) (12)
Fair value hedges – swaps 260 (348) (88) 737 (396) 341
Total swaps 370 (517) (147) 871 (542) 329
Foreign Exchange Contracts
Cash flow hedges – forward foreign exchange contracts 405 (273) 132 625 (31) 594
Total foreign exchange contracts 405 (273) 132 625 (31) 594
Total fair value – hedging derivatives (2) 775 (790) (15) 1,496 (573) 923
Average fair value (1) 1,100 (674) 426 2,287 (768) 1,519
Total fair value – trading and hedging derivatives 30,259 (31,974) (1,715) 48,071 (48,736) (665)
Less: impact of master netting agreements (27,493) 27,493 – (35,087) 35,087 –
Total 2,766 (4,481) (1,715) 12,984 (13,649) (665)
(1) Average fair value amounts are calculated using a five-quarter rolling average. Assets are shown net of liabilities to customers where we have a legally enforceable right to offset
(2) The fair values of hedging derivatives wholly or partially offset the changes in fair values of amounts and we intend to settle contracts on a net basis.
the related on-balance sheet financial instruments or future cash flows. Certain comparative figures have been reclassified to conform with the current year’s presentation.
Derivative instruments recorded in our Consolidated Balance Sheet are as follows:
(Canadian $ in millions) Assets Liabilities
2013 2012 2013 2012
Fair value of trading derivatives 29,484 46,575 31,184 48,163
Fair value of hedging derivatives 775 1,496 790 573
Total 30,259 48,071 31,974 48,736
BMO Financial Group 196th Annual Report 2013 151
Notes