Bank of Montreal 2015 Annual Report Download - page 146

Download and view the complete annual report

Please find page 146 of the 2015 Bank of Montreal annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 193

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181
  • 182
  • 183
  • 184
  • 185
  • 186
  • 187
  • 188
  • 189
  • 190
  • 191
  • 192
  • 193

Notes
$11,528 million, for which we have posted collateral of $11,122 million. If our credit rating had been downgraded to A and A- on October 31, 2015
(per Standard & Poor’s Ratings Services), we would have been required to post collateral or meet payment demands of an additional $532 million
and $800 million, respectively.
Fair Value
Fair value represents point-in-time estimates that may change in subsequent reporting periods due to market conditions or other factors. A discussion
of the fair value measurement of derivatives is included in Note 18. Fair values of our derivative instruments are as follows:
(Canadian $ in millions) 2015 2014
Gross
assets
Gross
liabilities Net
Gross
assets
Gross
liabilities Net
Trading
Interest Rate Contracts
Swaps 17,382 (16,449) 933 17,020 (15,986) 1,034
Forward rate agreements 25 (6) 19 4 (6) (2)
Futures 1–117 (21) (4)
Purchased options 637 – 637 697 – 697
Written options – (581) (581) – (616) (616)
Foreign Exchange Contracts
Cross-currency swaps 5,128 (4,239) 889 2,153 (1,182) 971
Cross-currency interest rate swaps 6,847 (12,128) (5,281) 5,705 (6,682) (977)
Forward foreign exchange contracts 3,099 (1,306) 1,793 3,874 (2,856) 1,018
Purchased options 133 – 133 447 – 447
Written options – (178) (178) – (465) (465)
Commodity Contracts
Swaps 993 (1,818) (825) 376 (922) (546)
Purchased options 674 – 674 307 – 307
Written options – (953) (953) – (412) (412)
Equity Contracts 969 (2,201) (1,232) 947 (3,040) (2,093)
Credit Default Swaps
Purchased 36 – 36 80 – 80
Written – (48) (48) – (124) (124)
Total fair value – trading derivatives 35,924 (39,907) (3,983) 31,627 (32,312) (685)
Average fair value (1) 42,027 (44,445) (2,418) 30,304 (31,092) (788)
Hedging
Interest Rate Contracts
Cash flow hedges – swaps 664 (90) 574 196 (115) 81
Fair value hedges – swaps 544 (387) 157 330 (272) 58
Total swaps 1,208 (477) 731 526 (387) 139
Foreign Exchange Contracts
Cash flow hedges – forward foreign exchange contracts 1,092 (2,255) (1,163) 502 (958) (456)
Total foreign exchange contracts 1,092 (2,255) (1,163) 502 (958) (456)
Equity Contracts
Cash flow hedges – equity contracts 14 – 14 –––
Total equity contracts 14 – 14 –––
Total fair value – hedging derivatives (2) 2,314 (2,732) (418) 1,028 (1,345) (317)
Average fair value (1) 2,329 (2,404) (75) 916 (1,089) (173)
Total fair value – trading and hedging derivatives 38,238 (42,639) (4,401) 32,655 (33,657) (1,002)
Less: impact of master netting agreements (27,415) 27,415 – (28,885) 28,885 –
Total 10,823 (15,224) (4,401) 3,770 (4,772) (1,002)
(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.
Assets are shown net of liabilities to customers where we have a legally enforceable right to offset amounts and we intend to settle contracts on a
net basis.
BMO Financial Group 198th Annual Report 2015 159