Bank of Montreal 2003 Annual Report Download - page 88

BMO Financial Group 186th Annual Report 200384
Notes to Consolidated Financial Statements
(Canadian $ in millions) 2003 2002
Trading Hedging Total Trading Hedging Total
Interest Rate Contracts
Over-the-counter
Swaps $ 681,369 $ 46,736 $ 728,105 $ 697,505 $ 50,494 $ 747,999
Forward rate agreements 274,024 2,901 276,925 226,140 – 226,140
Purchased options 77,559 3,165 80,724 95,860 1,460 97,320
Written options 116,129 – 116,129 118,067 – 118,067
1,149,081 52,802 1,201,883 1,137,572 51,954 1,189,526
Exchange traded
Futures 200,083 228 200,311 158,203
– 158,203
Purchased options 76,464 – 76,464 62,329 – 62,329
Written options 56,935 – 56,935 54,552 – 54,552
333,482 228 333,710 275,084 – 275,084
Total interest rate contracts 1,482,563 53,030 1,535,593 1,412,656 51,954 1,464,610
Foreign Exchange Contracts
Over-the-counter
Cross-currency swaps 17,935
– 17,935 18,348 – 18,348
Cross-currency interest rate swaps 38,659 5,932 44,591 39,156 5,511 44,667
Forward foreign exchange contracts 105,812 14,211 120,023 143,396 8,050 151,446
Purchased options 28,136
– 28,136 87,766 – 87,766
Written options 28,636 – 28,636 93,413 – 93,413
219,178 20,143 239,321 382,079 13,561 395,640
Exchange traded
Futures 756
– 756 663 – 663
Purchased options 2,234 – 2,234 2,934 – 2,934
Written options 1,631 – 1,631 841 – 841
4,621 – 4,621 4,438 – 4,438
Total foreign exchange contracts 223,799 20,143 243,942 386,517 13,561 400,078
Commodity Contracts
Over-the-counter
Swaps 16,338
– 16,338 16,956 – 16,956
Purchased options 7,464 – 7,464 10,262 – 10,262
Written options 7,111 – 7,111 9,767 – 9,767
30,913 – 30,913 36,985 – 36,985
Exchange traded
Futures 1,844
– 1,844 891 – 891
Purchased options 757 – 757 432 – 432
Written options 1,024 – 1,024 536 – 536
3,625 – 3,625 1,859 – 1,859
Total commodity contracts 34,538 – 34,538 38,844 – 38,844
Equity Contracts
Over-the-counter 20,595 – 20,595 12,117 – 12,117
Exchange traded 5,291 – 5,291 1,692 – 1,692
Total equity contracts 25,886 – 25,886 13,809 – 13,809
Credit Contracts
Over-the-counter 11,809 – 11,809 1,691 399 2,090
Total $ 1,778,595 $ 73,173 $ 1,851,768 $ 1,853,517 $ 65,914 $ 1,919,431
Notional Amounts
The notional amounts of our derivatives represent the amount to
which a rate or price is applied in order to calculate the amount of
cash that must be exchanged under the contract. Notional amounts
do not represent assets or liabilities and therefore are not recorded
in our Consolidated Balance Sheet.
Included in the notional amounts is $48 million as at October 31, 2003 and $743 million as at
October 31, 2002 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.