Bank of Montreal 2013 Annual Report Download - page 141

2012
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
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.
(Canadian $ in millions) 2013
Notes
Hedging Hedging
Cash Fair Cash Fair
Trading flow value Total Trading flow value Total
Interest Rate Contracts
Over-the-counter
Swaps 2,139,706 41,138 43,942 2,224,786 1,880,368 35,802 49,006 1,965,176
Forward rate agreements 399,751 – – 399,751 569,748 – – 569,748
Purchased options 18,283 – – 18,283 24,015 – – 24,015
Written options 23,020 – – 23,020 31,364 – – 31,364
2,580,760 41,138 43,942 2,665,840 2,505,495 35,802 49,006 2,590,303
Exchange-traded
Futures 111,913 – – 111,913 76,306 – – 76,306
Purchased options 16,534 – – 16,534 16,307 – – 16,307
Written options 15,429 – – 15,429 13,818 – – 13,818
143,876 – – 143,876 106,431 – – 106,431
Total interest rate contracts 2,724,636 41,138 43,942 2,809,716 2,611,926 35,802 49,006 2,696,734
Foreign Exchange Contracts
Over-the-counter
Cross-currency swaps 44,607 227 – 44,834 30,245 240 – 30,485
Cross-currency interest rate
swaps 255,337 – – 255,337 238,675 – – 238,675
Forward foreign exchange
contracts 249,412 14,195 – 263,607 209,947 7,398 – 217,345
Purchased options 10,923 – – 10,923 8,682 – – 8,682
Written options 13,530 – – 13,530 10,588 – – 10,588
573,809 14,422 – 588,231 498,137 7,638 – 505,775
Exchange-traded
Futures 621 – – 621 767 – – 767
Purchased options 2,608 – – 2,608 3,505 – – 3,505
Written options 616 – – 616 1,404 – – 1,404
3,845 – – 3,845 5,676 – – 5,676
Total foreign exchange contracts 577,654 14,422 – 592,076 503,813 7,638 – 511,451
Commodity Contracts
Over-the-counter
Swaps 15,122 – – 15,122 15,034 – – 15,034
Purchased options 8,081 – – 8,081 9,002 – – 9,002
Written options 4,285 – – 4,285 5,164 – – 5,164
27,488 – – 27,488 29,200 – – 29,200
Exchange-traded
Futures 24,037 – – 24,037 21,743 – – 21,743
Purchased options 8,044 – – 8,044 9,315 – – 9,315
Written options 9,894 – – 9,894 10,762 – – 10,762
41,975 – – 41,975 41,820 – – 41,820
Total commodity contracts 69,463 – – 69,463 71,020 – – 71,020
Equity Contracts
Over-the-counter 39,360 – – 39,360 30,000 – – 30,000
Exchange-traded 5,851 – – 5,851 9,930 – – 9,930
Total equity contracts 45,211 – – 45,211 39,930 – – 39,930
Credit Default Swaps
Over-the-counter purchased 8,835 – – 8,835 11,682 – – 11,682
Over-the-counter written 13,288 – – 13,288 24,126 – – 24,126
Total credit default swaps 22,123 – – 22,123 35,808 – – 35,808
Total 3,439,087 55,560 43,942 3,538,589 3,262,497 43,440 49,006 3,354,943
Certain comparative figures have been reclassified to conform to the current year’s presentation.
152 BMO Financial Group 196th Annual Report 2013