Bank of Montreal 2004 Annual Report Download - page 103

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BMO Financial Group Annual Report 2004 99
Notes
(1) Average fair value amounts are calculated using a five-quarter rolling average.
(2) The fair values of hedging derivatives wholly or partially offset the changes in fair values of the
related on-balance sheet financial instruments.
Assets are shown net of liabilities to customers where we have an enforceable right to offset
amounts and we intend to settle contracts on a net basis.
Fair values of our derivative financial instruments are as follows:
(Canadian $ in millions) 2004 2003
Gross Gross Gross Gross
assets liabilities Net assets liabilities Net
Trading
Interest Rate Contracts
Swaps $ 10,655 $ (10,485) $ 170 $ 11,491 $ (11,131) $ 360
Forward rate agreements 105 (109) (4) 96 (84) 12
Futures 4 (10) (6) 13 (6) 7
Purchased options 1,548 (2) 1,546 1,890
–
1,890
Written options
–
(1,295) (1,295)
–
(1,694) (1,694)
Foreign Exchange Contracts
Cross-currency swaps 940 (622) 318 517 (343) 174
Cross-currency interest rate swaps 3,341 (2,677) 664 2,392 (1,778) 614
Forward foreign exchange contracts 2,028 (3,023) (995) 2,278 (2,811) (533)
Purchased options 157
–
157 486
–
486
Written options
–
(156) (156)
–
(434) (434)
Commodity Contracts
Swaps 3,514 (2,979) 535 988 (1,028) (40)
Purchased options 2,156
–
2,156 473
–
473
Written options
–
(1,994) (1,994)
–
(476) (476)
Equity Contracts 391 (300) 91 222 (555) (333)
Credit Contracts 75 (89) (14) 32 (35) (3)
Total fair value/book value
–
trading derivatives $ 24,914 $ (23,741) $ 1,173 $ 20,878 $ (20,375) $ 503
Average fair value (1) $ 21,556 $ (20,637) $ 919 $ 22,789 $ (22,389) $ 400
Hedging
Interest Rate Contracts
Swaps $ 437 $ (284) $ 153 $ 640 $ (372) $ 268
Forward rate agreements 1 (1)
–
3 (3)
–
Purchased options 20
–
20 16
–
16
Foreign Exchange Contracts
Cross-currency interest rate swaps 394 (118) 276 168 (255) (87)
Forward foreign exchange contracts 15 (59) (44) 32 (35) (3)
Equity Contracts
– – –
26
–
26
Total fair value
–
hedging derivatives (2) $ 867 $ (462) $ 405 $ 885 $ (665) $ 220
Total book value
–
hedging derivatives $ 534 $ (232) $ 302 $ 338 $ (340) $ (2)
Average fair value (1) $ 850 $ (558) $ 292 $ 849 $ (677) $ 172
Derivative financial instruments recorded in our Consolidated Balance Sheet are as follows:
(Canadian $ in millions) Assets Liabilities
2004 2003 2004 2003
Fair value of trading derivatives $ 24,914 $ 20,878 $ 23,741 $ 20,375
Book value of hedging derivatives 534 338 232 340
Total $ 25,448 $ 21,216 $ 23,973 $ 20,715