Bank of Montreal 1999 Annual Report Download - page 100

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Notes to Consolidated Financial Statements
94 Bank of Montreal Group of Companies 1999 Annual Report
The following table provides the fair value of our derivative
financial instruments portfolio, which is represented by the sum
of net
unrealized gains and losses, accrued interest receivable
or payable and premiums paid or received.
1999 1998
Customer Asset/liability
Customer trading Asset/liability management Total trading management Total
Gross Gross Gross Gross
assets liabilities Net assets liabilities Net Net Net Net Net
Interest Rate Contracts
Swaps $ 2,999 $ (3,231) $ (232) $ 482 $ (231) $ 251 $ 19 $ (30) $ 139 $ 109
Forward rate agreements 76 (91) (15) 2 (3) (1) (16) 5
–
5
Futures 20 (6) 14
–––
14 22
–
22
Purchased options 563
–
563 1
–
1 564 274 19 293
Written options
–
(462) (462)
–
(14) (14) (476) (251) (3) (254)
Foreign Exchange Contracts
Cross-currency swaps 140 (63) 77
–––
77 70
–
70
Cross-currency interest
rate swaps 858 (876) (18) 9 (282) (273) (291) (847) (373) (1,220)
Forward foreign
exchange contracts 2,913 (2,374) 539 40 (68) (28) 511 1,111 (28) 1,083
Futures
––––––––––
Purchased options 554
–
554
–––
554 1,238
–
1,238
Written options
–
(490) (490)
–––
(490) (995)
–
(995)
Commodity Contracts
Swaps 454 (415) 39
–––
39 (22)
–
(22)
Futures
–
(1) (1)
–––
(1) (1)
–
(1)
Purchased options 630
–
630
–––
630 193
–
193
Written options
–
(425) (425)
–––
(425) (165)
–
(165)
Equity Contracts 29 (153) (124) 6 (3) 3 (121) 10 (6) 4
Total Fair Value $ 9,236 $ (8,587) $ 649 $ 540 $ (601) $ (61) $ 588 $ 612 $ (252) $ 360
Total Book Value $ 9,236 $ (8,587) $ 649 $ 359 $ (442) $ (83) $ 566 $ 612 $ (193) $ 419
Average Fair Value $ 9,599 $ (8,958) $ 641 $ 652 $ (764) $ (112) $ 529 $ 176 $ 40 $ 216
In order to calculate fair values:
■Instruments are marked to market using quoted market rates and/or zero coupon
valuation techniques.
■Zero coupon curves are created using generally accepted mathematical processes from
underlying instruments such as cash, bonds, futures and off-balance sheet prices
observable in the market.
■Options volatilities are either obtained directly from market sources or implied from
market prices utilizing a modified Black-Scholes Option Pricing algorithm.
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.