Bank of Montreal 2012 Annual Report Download - page 149

Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Transactions are conducted with various counterparties. Set out below is the replacement cost of contracts (before the impact of master netting
agreements) with customers in the following industries:
As at October 31, 2012 (Canadian $ in millions) Interest rate contracts Foreign exchange contracts Commodity contracts Equity contracts Credit default swaps Total
Financial institutions 32,455 4,796 315 145 106 37,817
Government 3,263 2,343 21 – – 5,627
Natural resources 57 44 178 – – 279
Energy 96 7 96 – – 199
Other 2,313 819 294 202 131 3,759
Total 38,184 8,009 904 347 237 47,681
As at October 31, 2011 (Canadian $ in millions) Interest rate contracts Foreign exchange contracts Commodity contracts Equity contracts Credit default swaps Total
Financial institutions 32,486 6,727 294 227 391 40,125
Government 3,018 2,604 33 – – 5,655
Natural resources 32 96 311 – – 439
Energy 80 10 185 – – 275
Other 2,368 985 356 240 324 4,273
Total 37,984 10,422 1,179 467 715 50,767
As at November 1, 2010 (Canadian $ in millions) Interest rate contracts Foreign exchange contracts Commodity contracts Equity contracts Credit default swaps Total
Financial institutions 29,286 6,684 654 382 313 37,319
Government 2,351 2,487 56 – – 4,894
Natural resources 45 74 351 – – 470
Energy 54 2 239 – – 295
Other 2,249 833 544 243 398 4,267
Total 33,985 10,080 1,844 625 711 47,245
Credit Derivatives
Credit derivatives – protection sold by ratings/maturity profile:
Maximum payout/Notional Fair value
As at October 31, 2012 (Canadian $ in millions) Within 1 year 1 to 5 years Over 5 years Total Liability
Credit default swaps
Investment grade (1) 10,463 12,414 63 22,940 128
Non-investment grade (1) 344 384 223 951 27
Non-rated 9 166 60 235 1
Total (2) 10,816 12,964 346 24,126 156
Maximum payout/Notional Fair value
As at October 31, 2011 (Canadian $ in millions) Within 1 year 1 to 5 years Over 5 years Total Liability
Credit default swaps
Investment grade (1) 8,866 22,553 550 31,969 702
Non-investment grade (1) 1,033 704 176 1,913 176
Non-rated 113 24 66 203 2
Total (2) 10,012 23,281 792 34,085 880
Maximum payout/Notional Fair value
As at November 1, 2010 (Canadian $ in millions) Within 1 year 1 to 5 years Over 5 years Total Liability
Credit default swaps
Investment grade (1) 2,514 24,302 8,898 35,714 834
Non-investment grade (1) 748 1,774 100 2,622 97
Non-rated 155 108 1 264 2
Total 3,417 26,184 8,999 38,600 933
(1) Credit ratings of AAA, AA, A and BBB represent investment grade ratings and ratings of BB or
lower represent non-investment grade ratings. These credit ratings largely reflect those
assigned by external rating agencies and represent the payment or performance risk of the
underlying security or referenced asset.
(2) As at October 31, 2012, the notional value and net carrying value of credit protection sold in
which we held purchased protection with identical underlying assets was $0.6 billion and
$18 million ($1.6 billion and $124 million in 2011).
146 BMO Financial Group 195th Annual Report 2012