Bank of Montreal 2010 Annual Report Download - page 135
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Notes
BMO Financial Group 193rd Annual Report 2010 133
Fair values of our derivative instruments are as follows:
(Canadian $ in millions) 2010 2009
Gross assets Gross liabilities Net Gross assets Gross liabilities Net
Trading
Interest Rate Contracts
Swaps 31,312 (30,173) 1,139 27,233 (26,195) 1,038
Forward rate agreements 87 (80) 7 231 (241) (10)
Futures 5 (14) (9) 3 (25) (22)
Purchased options 1,398 – 1,398 1,749 – 1,749
Written options – (1,667) (1,667) – (1,828) (1,828)
Foreign Exchange Contracts
Cross-currency swaps 1,271 (2,300) (1,029) 1,542 (2,158) (616)
Cross-currency interest rate swaps 4,595 (4,116) 479 3,662 (3,658) 4
Forward foreign exchange contracts 2,536 (2,950) (414) 2,713 (3,168) (455)
Purchased options 218 – 218 232 – 232
Written options – (171) (171) – (185) (185)
Commodity Contracts
Swaps 1,462 (1,584) (122) 1,500 (1,332) 168
Purchased options 1,127 – 1,127 1,990 – 1,990
Written options – (1,004) (1,004) – (1,835) (1,835)
Equity Contracts 1,653 (2,233) (580) 1,982 (1,355) 627
Credit Default Swaps
Purchased 1,280 – 1,280 2,937 – 2,937
Written – (933) (933) – (2,159) (2,159)
Total fair value – trading derivatives 46,944 (47,225) (281) 45,774 (44,139) 1,635
Average fair value (1) 44,149 (43,395) 754 64,377 (62,685) 1,692
Hedging
Interest Rate Contracts
Cash flow hedges – swaps 424 (256) 168 182 (440) (258)
Fair value hedges – swaps 877 (489) 388 707 (186) 521
Total swaps 1,301 (745) 556 889 (626) 263
Foreign Exchange Contracts
Cash flow hedges – forward foreign exchange contracts 1,514 – 1,514 1,235 – 1,235
Total foreign exchange contracts 1,514 – 1,514 1,235 – 1,235
Total fair value – hedging derivatives (2) 2,815 (745) 2,070 2,124 (626) 1,498
Average fair value (1) 2,398 (644) 1,754 2,128 (559) 1,569
Total fair value – trading and hedging derivatives 49,759 (47,970) 1,789 47,898 (44,765) 3,133
Less: impact of master netting agreements (31,537) 31,537 – (29,423) 29,423 –
Total 18,222 (16,433) 1,789 18,475 (15,342) 3,133
(1) Average fair value amounts are calculated using a five-quarter rolling average.
(2) The fair values of hedging derivatives wholly or partially offset the changes in fair values
of the related on-balance sheet financial instruments or future cash flows.
Derivative instruments recorded in our Consolidated Balance Sheet are as follows:
(Canadian $ in millions) Assets Liabilities
2010 2009 2010 2009
Fair value of trading derivatives 46,944 45,774 47,225 44,139
Fair value of hedging derivatives 2,815 2,124 745 626
Total 49,759 47,898 47,970 44,765
Assets are shown net of liabilities to customers where we have an enforceable right to offset
amounts and we intend to settle contracts on a net basis.