Bank of Montreal 2013 Annual Report Download - page 143

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, 2013 (Canadian $ in millions) Interest rate contracts Foreign exchange contracts Commodity contracts Equity contracts Credit default swaps Total
Notes
Financial institutions 18,212 4,045 201 293 58 22,809
Governments 2,094 1,633 20 – – 3,747
Natural resources 44 38 84 – – 166
Energy 126 85 85 – – 296
Other 1,739 861 177 227 32 3,036
Total 22,215 6,662 567 520 90 30,054
As at October 31, 2012 (Canadian $ in millions) Interest rate contracts Foreign exchange contracts Commodity contracts Equity contracts Credit default swaps Total
Financial institutions 32,454 4,797 315 145 106 37,817
Governments 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 38,183 8,010 904 347 237 47,681
Credit Derivatives
Credit derivatives – protection sold by ratings/maturity profile:
Maximum payout/Notional Fair value
As at October 31, 2013 (Canadian $ in millions) Within 1 year 1 to 5 years Over 5 years Total Liability
Credit default swaps
Investment grade (1) 2,714 9,751 – 12,465 80
Non-investment grade (1) 267 163 – 430 16
Non-rated 7 241 145 393 6
Total (2) 2,988 10,155 145 13,288 102
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
(1) Credit ratings of AAA, AA, A and BBB represent investment grade ratings and ratings of BB or (2) As at October 31, 2013, the notional value and net carrying value of credit protection sold in
lower represent non-investment grade ratings. These credit ratings largely reflect those which we held purchased protection with identical underlying assets was $4.3 billion and
assigned by external rating agencies and represent the payment or performance risk of the $41 million ($0.6 billion and $18 million in 2012).
underlying security or referenced asset.
Term to Maturity
Our derivative contracts have varying maturity dates. The remaining contractual term to maturity for the notional amounts of our derivative contracts
is set out below:
(Canadian $ in millions) Term to maturity 2013 2012
Total Total
Within 1 1to3 3to5 5to10 Over 10 notional notional
year years years years years amounts amounts
Interest Rate Contracts
Swaps 720,271 594,450 572,820 277,659 59,586 2,224,786 1,965,176
Forward rate agreements, futures and options 512,479 63,823 4,687 3,687 254 584,930 731,558
Total interest rate contracts 1,232,750 658,273 577,507 281,346 59,840 2,809,716 2,696,734
Foreign Exchange Contracts
Cross-currency swaps 1,463 24,149 7,645 7,463 4,114 44,834 30,485
Cross-currency interest rate swaps 49,748 90,106 58,095 44,827 12,561 255,337 238,675
Forward foreign exchange contracts, futures and options 283,607 7,008 1,205 72 13 291,905 242,291
Total foreign exchange contracts 334,818 121,263 66,945 52,362 16,688 592,076 511,451
Commodity Contracts
Swaps 9,492 4,807 496 327 – 15,122 15,034
Futures and options 35,418 15,880 2,842 201 – 54,341 55,986
Total commodity contracts 44,910 20,687 3,338 528 – 69,463 71,020
Equity Contracts 23,240 9,958 11,096 10 907 45,211 39,930
Credit Contracts 5,127 13,528 2,675 793 – 22,123 35,808
Total notional amount 1,640,845 823,709 661,561 335,039 77,435 3,538,589 3,354,943
Certain comparative figures have been reclassified to conform to the current year’s presentation.
154 BMO Financial Group 196th Annual Report 2013