Bank of Montreal 2004 Annual Report Download - page 104

BMO Financial Group Annual Report 2004100
Notes to Consolidated Financial Statements
Notes
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
(Canadian $ in millions) 2004 2003
Trading Hedging Total Trading Hedging Total
Interest Rate Contracts
Over-the-counter
Swaps $ 680,570 $ 36,424 $ 716,994 $ 681,369 $ 46,736 $ 728,105
Forward rate agreements 307,047 1,401 308,448 274,024 2,901 276,925
Purchased options 75,784 6,341 82,125 77,559 3,165 80,724
Written options 97,476 – 97,476 116,129 – 116,129
1,160,877 44,166 1,205,043 1,149,081 52,802 1,201,883
Exchange traded
Futures 171,961 1,554 173,515 200,083 228 200,311
Purchased options 36,408
– 36,408 76,464 – 76,464
Written options 21,284 – 21,284 56,935 – 56,935
229,653 1,554 231,207 333,482 228 333,710
Total interest rate contracts 1,390,530 45,720 1,436,250 1,482,563 53,030 1,535,593
Foreign Exchange Contracts
Over-the-counter
Cross-currency swaps 9,635
– 9,635 17,935 – 17,935
Cross-currency interest rate swaps 45,577 4,276 49,853 38,659 5,932 44,591
Forward foreign exchange contracts 87,855 8,804 96,659 105,812 14,211 120,023
Purchased options 5,865
– 5,865 28,136 – 28,136
Written options 6,950 – 6,950 28,636 – 28,636
155,882 13,080 168,962 219,178 20,143 239,321
Exchange traded
Futures 886 – 886 756 – 756
Purchased options 2,063
– 2,063 2,234 – 2,234
Written options 283 – 283 1,631 – 1,631
3,232 – 3,232 4,621 – 4,621
Total foreign exchange contracts 159,114 13,080 172,194 223,799 20,143 243,942
Commodity Contracts
Over-the-counter
Swaps 26,455
– 26,455 16,338 – 16,338
Purchased options 19,028
– 19,028 7,464 – 7,464
Written options 19,087 – 19,087 7,111 – 7,111
64,570 – 64,570 30,913 – 30,913
Exchange traded
Futures 2,771 – 2,771 1,844 – 1,844
Purchased options 1,409
– 1,409 757 – 757
Written options 1,563 – 1,563 1,024 – 1,024
5,743 – 5,743 3,625 – 3,625
Total commodity contracts 70,313 – 70,313 34,538 – 34,538
Equity Contracts
Over-the-counter 19,384 – 19,384 20,595 – 20,595
Exchange traded 5,342 – 5,342 5,291 – 5,291
Total equity contracts 24,726 – 24,726 25,886 – 25,886
Credit Contracts
Over-the-counter 26,447 – 26,447 11,809 – 11,809
Total $ 1,671,130 $ 58,800 $ 1,729,930 $ 1,778,595 $ 73,173 $ 1,851,768
Included in the notional amounts is $1,039 million as at October 31, 2004 ($48 million in 2003) related to the Managed Futures Certificates of Deposit Program. Risk exposures represented by the assets in
this program are traded on behalf of customers, with all gains and losses accruing to them.
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.