Bank of Montreal 2008 Annual Report Download - page 129

Notes
BMO Financial Group 191st Annual Report 2008 | 125
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) 2008 2007
Hedging Hedging
Trading Cash flow Fair value Total Trading Cash flow Fair value Total
Interest Rate Contracts
Over-the-counter
Swaps $ 1,434,047 $ 33,633 $ 16,918 $ 1,484,598 $ 1,075,495 $ 21,644 $ 5,381 $ 1,102,520
Forward rate agreements 217,072 – – 217,072 60,042 – – 60,042
Purchased options 83,497 – – 83,497 114,446 – – 114,446
Written options 103,492 – – 103,492 161,813 – – 161,813
1,838,108 33,633 16,918 1,888,659 1,411,796 21,644 5,381 1,438,821
Exchange-traded
Futures 76,215 – – 76,215 77,736 – – 77,736
Purchased options 70,356 – – 70,356 91,909 – – 91,909
Written options 58,288 – – 58,288 56,593 – – 56,593
204,859 – – 204,859 226,238 – – 226,238
Total interest rate contracts 2,042,967 33,633 16,918 2,093,518 1,638,034 21,644 5,381 1,665,059
Foreign Exchange Contracts
Over-the-counter
Cross-currency swaps 13,681 – – 13,681 10,870 – – 10,870
Cross-currency interest rate swaps 136,219 – – 136,219 92,960 – – 92,960
Forward foreign exchange contracts 212,927 – – 212,927 154,142 – – 154,142
Purchased options 8,477 – – 8,477 6,024 – – 6,024
Written options 10,715 – – 10,715 8,213 – – 8,213
382,019 – – 382,019 272,209 – – 272,209
Exchange-traded
Futures 835––8351,119 – – 1,119
Purchased options 6,806 – – 6,806 3,346 – – 3,346
Written options 3,073 – – 3,073 998 – – 998
10,714 – – 10,714 5,463 – – 5,463
Total foreign exchange contracts 392,733 – – 392,733 277,672 – – 277,672
Commodity Contracts
Over-the-counter
Swaps 45,988 – – 45,988 49,759 – – 49,759
Purchased options 35,749 – – 35,749 59,304 – – 59,304
Written options 33,871 – – 33,871 59,582 – – 59,582
115,608 – – 115,608 168,645 – – 168,645
Exchange-traded
Futures 39,840 – – 39,840 49,788 – – 49,788
Purchased options 108,337 – – 108,337 202,573 – – 202,573
Written options 109,359 – – 109,359 200,491 – – 200,491
257,536 – – 257,536 452,852 – – 452,852
Total commodity contracts 373,144 – – 373,144 621,497 – – 621,497
Equity Contracts
Over-the-counter 21,809 – – 21,809 29,654 – – 29,654
Exchange-traded 19,129 – – 19,129 10,219 – – 10,219
Total equity contracts 40,938 – – 40,938 39,873 – – 39,873
Credit Default Swaps
Over-the-counter
Purchased 78,230 – – 78,230 47,652 – – 47,652
Written 71,977 – – 71,977 43,004 – – 43,004
Total credit default swaps 150,207 – – 150,207 90,656 – – 90,656
Total $ 2,999,989 $ 33,633 $ 16,918 $ 3,050,540 $ 2,667,732 $ 21,644 $ 5,381 $ 2,694,757
Included in the notional amounts is $59 million as at October 31, 2008 ($224 million in 2007)
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.
Included in foreign exchange contracts is $nil as at October 31, 2008 ($1 million in 2007) related
to gold contracts.
Certain comparative figures have been reclassified to conform with the current year’s presentation.