Bank of Montreal 1999 Annual Report Download - page 98

Notes to Consolidated Financial Statements
92 Bank of Montreal Group of Companies 1999 Annual Report
Credit risk equivalent: represents the total replacement cost
and potential future credit exposure, taking into consideration
offsetting as permitted by the Superintendent of Financial
Institutions Canada.
Risk-weighted balance: represents the credit risk equivalent,
weighted according to the creditworthiness of the counter-
party, as prescribed by the Superintendent of Financial Institu-
tions Canada.
1999 1998
Notional amount Notional amount
Asset/ Asset/
liability Credit Risk- liability Credit Risk-
Customer manage- Replace- risk weighted Customer manage- Replace- risk weighted
trading ment Total ment cost equivalent balance trading ment Total ment cost equivalent balance
Interest Rate Contracts
Over-the-counter
Swaps $ 356,803 $ 39,630 $ 396,433 $ 3,481 $ 2,573 $ 750 $ 265,231 $ 38,381 $ 303,612 $ 4,077 $ 2,745 $ 831
Forward rate
agreements 128,706 8,239 136,945 78 61 15 114,658 727 115,385 103 86 19
Purchased options 82,838 1,848 84,686 556 1,158 274 33,257 1,195 34,452 284 400 107
Written options 53,565 – 53,565 ––– 36,673 – 36,673 –––
621,912 49,717 671,629 4,115 3,792 1,039 449,819 40,303 490,122 4,464 3,231 957
Exchange traded
Futures 89,908 7,176 97,084
––– 57,317 3,310 60,627 –––
Purchased options 22,109 – 22,109 ––– 16,050 – 16,050 –––
Written options 17,916 – 17,916 ––– 12,629 – 12,629 –––
129,933 7,176 137,109 ––– 85,996 3,310 89,306 –––
Total Interest
Rate Contracts 751,845 56,893 808,738 4,115 3,792 1,039 535,815 43,613 579,428 4,464 3,231 957
Foreign Exchange Contracts
Over-the-counter
Cross-currency swaps 14,884
– 14,884 140 783 333 5,345 – 5,345 191 360 120
Cross-currency
interest rate swaps 33,937 5,959 39,896 867 1,449 347 25,433 3,165 28,598 718 1,259 302
Forward foreign
exchange contracts 184,238 10,578 194,816 2,954 3,296 960 265,912 9,257 275,169 5,934 5,674 1,738
Purchased options 32,994
– 32,994 549 820 221 38,381 – 38,381 1,147 1,494 438
Written options 38,618 – 38,618 ––– 45,025 – 45,025 –––
304,671 16,537 321,208 4,510 6,348 1,861 380,096 12,422 392,518 7,990 8,787 2,598
Exchange traded
Futures 1,360
– 1,360 ––– 1,655 – 1,655 –––
Purchased options 621 – 621 ––– 2,615 – 2,615 –––
Written options 294 – 294 ––– 421 – 421 –––
2,275 – 2,275 ––– 4,691 – 4,691 –––
Total Foreign
Exchange Contracts 306,946 16,537 323,483 4,510 6,348 1,861 384,787 12,422 397,209 7,990 8,787 2,598
Commodity Contracts
Over-the-counter
Swaps 12,534
– 12,534 454 1,274 604 7,611 – 7,611 203 666 313
Purchased options 7,065
– 7,065 480 991 470 3,151 – 3,151 167 426 197
Written options 9,425 – 9,425 ––– 3,530 – 3,530 –––
29,024 – 29,024 934 2,265 1,074 14,292 – 14,292 370 1,092 510
Exchange traded
Futures 1,187
– 1,187 ––– 652 – 652 –––
Purchased options 2,026 – 2,026 ––– 538 – 538 –––
Written options 2,612 – 2,612 ––– 629 – 629 –––
5,825 – 5,825 ––– 1,819 – 1,819 –––
Total Commodity
Contracts 34,849 – 34,849 934 2,265 1,074 16,111 – 16,111 370 1,092 510
Equity Contracts
Over-the-counter 2,363 144 2,507 10 43 16 10 88 98 8 16 7
Exchange traded 956 – 956 ––– 905 – 905 –––
Total Equity Contracts 3,319 144 3,463 10 43 16 915 88 1,003 8 16 7
Total $ 1,096,959 $ 73,574 $ 1,170,533 $ 9,569 $ 12,448 $ 3,990 $ 937,628 $ 56,123 $ 993,751 $ 12,832 $ 13,126 $ 4,072
Included in the notional amounts is $8,888 as at October 31, 1999 and $18,076 as at
October 31, 1998 related to the Managed Futures Certificates of Deposit Program. Risk
exposures represented by the assets in this program are traded on behalf of customers
with all gains and losses accruing to them.
Replacement cost is the total of unrealized gains and amounts receivable on derivative
contracts. We excluded exchange traded instruments with unrealized gains of $207 as at
October 31, 1999 and $172 as at October 31, 1998 because we are not required to provide
capital against these instruments. Included in the total are unrealized gains on asset/liability
management derivatives which we include in the Consolidated Balance Sheet on an accrual
rather than market basis. The excess of market value over book value for these items was
$181 as at October 31, 1999 and $452 as at October 31, 1998.