Bank of Montreal 2010 Annual Report Download - page 136

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Notes
134 BMO Financial Group 193rd Annual Report 2010
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) 2010 2009
Hedging Hedging
Trading Cash flow Fair value Total Trading Cash flow Fair value Total
Interest Rate Contracts
Over-the-counter
Swaps 1,443,036 29,303 37,539 1,509,878 1,307,531 29,161 32,135 1,368,827
Forward rate agreements 406,115 – – 406,115 385,463 – – 385,463
Purchased options 41,254 – – 41,254 54,407 – – 54,407
Written options 54,898 – – 54,898 74,923 – – 74,923
1,945,303 29,303 37,539 2,012,145 1,822,324 29,161 32,135 1,883,620
Exchange-traded
Futures 42,316 – – 42,316 75,761 – – 75,761
Purchased options 44,656 – – 44,656 47,580 – – 47,580
Written options 35,201 – – 35,201 38,887 – – 38,887
122,173 – – 122,173 162,228 – – 162,228
Total interest rate contracts 2,067,476 29,303 37,539 2,134,318 1,984,552 29,161 32,135 2,045,848
Foreign Exchange Contracts
Over-the-counter
Cross-currency swaps 27,002 – – 27,002 29,988 – – 29,988
Cross-currency interest rate swaps 179,791 – – 179,791 155,297 – – 155,297
Forward foreign exchange contracts 225,750 13,832 – 239,582 213,459 16,370 – 229,829
Purchased options 7,510 – – 7,510 6,459 – – 6,459
Written options 11,960 – – 11,960 10,840 – – 10,840
452,013 13,832 – 465,845 416,043 16,370 – 432,413
Exchange-traded
Futures 2,147 – – 2,147 377 – – 377
Purchased options 10,220 – – 10,220 8,185 – – 8,185
Written options 4,205 – – 4,205 794 – – 794
16,572 – – 16,572 9,356 – – 9,356
Total foreign exchange contracts 468,585 13,832 – 482,417 425,399 16,370 – 441,769
Commodity Contracts
Over-the-counter
Swaps 16,400 – – 16,400 23,019 – – 23,019
Purchased options 8,745 – – 8,745 13,749 – – 13,749
Written options 6,395 – – 6,395 11,486 – – 11,486
31,540 – – 31,540 48,254 – – 48,254
Exchange-traded
Futures 21,169 – – 21,169 24,078 – – 24,078
Purchased options 26,186 – – 26,186 55,716 – – 55,716
Written options 28,759 – – 28,759 58,686 – – 58,686
76,114 – – 76,114 138,480 – – 138,480
Total commodity contracts 107,654 – – 107,654 186,734 – – 186,734
Equity Contracts
Over-the-counter 22,896 – – 22,896 18,359 – – 18,359
Exchange-traded 13,549 – – 13,549 10,511 – – 10,511
Total equity contracts 36,445 – – 36,445 28,870 – – 28,870
Credit Default Swaps
Over-the-counter purchased 44,615 – – 44,615 56,237 – – 56,237
Over-the-counter written 40,650 – – 40,650 51,072 – – 51,072
Total credit default swaps 85,265 – – 85,265 107,309 – – 107,309
Total 2,765,425 43,135 37,539 2,846,099 2,732,864 45,531 32,135 2,810,530
Included in the notional amounts is $231 million as at October 31, 2010 ($184 million in 2009) 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.