Bank of Montreal 1998 Annual Report Download - page 94

1998 19 97
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 $ 265,231 $ 38,381 $ 303,612 $ 4,077 $ 2,745 $ 831 $ 165,053 $ 22,574 $ 187,627 $ 2,012 $ 1,522 $ 367
Forward rate agreements 114,658 727 115,385 103 86 19 66,761 897 67,658 72 83 21
Purchased options 33,257 969 34,226 284 400 107 19,862 851 20,713 158 242 61
Written options 36,673 226 36,899 – – – 23,163 1,021 24,184 – – –
449,819 40,303 490,122 4,464 3,231 957 274,839 25,343 300,182 2,242 1,847 449
Exchange traded
Futures 57,317 3,310 60,627 – – – 69,987 563 70,550 – – –
Purchased options 16,050 – 16,050 – – – 10,853 – 10,853 – – –
Written options 12,629 – 12,629 – – – 13,397 – 13,397 – – –
85,996 3,310 89,306 – – – 94,237 563 94,800 – – –
Total Interest
Rate Contracts 535,815 43,613 579,428 4,464 3,231 957 369,076 25,906 394,982 2,242 1,847 449
FOREIGN EXCHANGE CONTRACTS
Over-the-counter
Cross-currency swaps 5,345 – 5,345 191 360 120 1,803 – 1,803 75 142 43
Cross-currency
interest rate swaps 25,433 3,165 28,598 718 1,259 302 11,348 2,055 13,403 549 953 285
Forward foreign
exchange contracts 265,912 9,257 275,169 5,934 5,674 1,738 260,287 9,418 269,705 3,642 4,103 1,144
Purchased options 38,381 – 38,381 1,147 1,494 438 11,867 – 11,867 202 332 102
Written options 45,025 – 45,025 – – – 12,542 – 12,542 – – –
380,096 12,422 392,518 7,990 8,787 2,598 297,847 11,473 309,320 4,468 5,530 1,574
Exchange traded
Futures 1,655 – 1,655 – – – 1,351 362 1,713 – – –
Purchased options 2,615 – 2,615 – – – 590 –590–––
Written options 421–421–––174 –174–––
4,691 – 4,691 – – – 2,115 362 2,477 – – –
Total Foreign
Exchange Contracts 384,787 12,422 397,209 7,990 8,787 2,598 299,962 11,835 311,797 4,468 5,530 1,574
COMMODITY CONTRACTS
Over-the-counter
Swaps 7,611 – 7,611 203 666 313 3,200 – 3,200 116 451 201
Purchased options 3,151 – 3,151 167 426 197 1,019 – 1,019 65 170 71
Written options 3,530 – 3,530 – – – 1,127 – 1,127 – – –
14,292 – 14,292 370 1,092 510 5,346 – 5,346 181 621 272
Exchange traded
Futures 652–652–––555 –555–––
Purchased options 538–538–––851 –851–––
Written options 629–629–––485 –485–––
1,819 – 1,819 – – – 1,891 – 1,891 – – –
Tot a l C o m m o d it y
Contracts 16,111 – 16,111 370 1,092 510 7,237 – 7,237 181 621 272
EQUITY CONTRACTS
Over-the-counter 10 88 98 8 16 7 –64 64494
Exchange traded 905–905–––822 –822–––
Total Equity Contracts 915 88 1,003 8 16 7 822 64 886 4 9 4
Tot a l $ 937,628 $ 56,123 $ 993,751 $ 12,832 $ 13,126 $ 4,072 $ 677,097 $ 37,805 $ 714,902 $ 6,895 $ 8,007 $ 2,299
86
BANK OF MONTREAL GROUP OF COMPANIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Included in the notional amounts above is $18,076 as at October 31, 1998 and
$11,051 as at October 31, 1997 related to the Managed Futures Certificates of Deposi t
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 deriv-
ative contracts. We excluded exchange traded instruments with unrealized gains of
$172 as at October 31, 1998 and $143 as at October 31, 1997 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 $452 as at October 31, 1998 and
$383 as at October 31, 1997.