Bank of Montreal 2010 Annual Report Download - page 138

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Notes
136 BMO Financial Group 193rd Annual Report 2010
Transactions are conducted with various counterparties. Set out below is the replacement cost of contracts (before the impact of master netting
agreements) with customers in the following industries:
Interest rate Foreign exchange Commodity Equity Credit default
(Canadian $ in mil lions) contracts contracts contracts contracts swaps Total
2010 2009 2010 2009 2010 2009 2010 2009 2010 2009 2010 2009
Financial institutions 29,380 26,443 6,693 6,025 654 829 382 927 312 802 37,421 35,026
Government 2,351 1,510 2,487 1,909 56 24 – – – – 4,894 3,443
Natural resources 45 13 74 57 351 389 – – – – 470 459
Energy 54 76 2 18 239 213 – – – – 295 307
Other 2,249 2,021 833 1,314 544 874 243 438 968 2,135 4,837 6,782
Total 34,079 30,063 10,089 9,323 1,844 2,329 625 1,365 1,280 2,937 47,917 46,017
Credit Derivatives and Guarantees
Credit derivatives – protection sold by ratings/maturity profile:
Maximum payout / Notional Fair value
As at October 31, 2010 (Canadian $ in millions) Within 1 year 1 to 5 years Over 5 years Total Liability
Credit default swaps
Investment grade (1) 2,514 24,752 10,498 37,764 834
Non-investment grade (1) 748 1,774 100 2,622 97
Non-rated 155 108 1 264 2
Total (2) 3,417 26,634 10,599 40,650 933
Credit derivatives – protection sold by ratings/maturity profile:
Maximum payout / Notional Fair value
As at October 31, 2009 (Canadian $ in millions) Within 1 year 1 to 5 years Over 5 years Total Liability
Credit default swaps
Investment grade
(1) 3,668 31,056 11,119 45,843 2,013
Non-investment grade (1) 1,174 3,347 513 5,034 145
Non-rated 22 173 – 195 1
Total (2) 4,864 34,576 11,632 51,072 2,159
(1) Credit ratings of AAA, AA, A and BBB represent investment grade ratings and ratings of BB
or lower represent non-investment grade ratings. These credit ratings largely reflect those
assigned by external rating agencies and represent the payment or performance risk of the
underlying security or referenced asset.
(2) As at October 31, 2010, the notional value and net carrying value of credit protection sold
in which we held purchased protection with identical underlying assets was $2 billion and
$56 million ($1 billion and $49 million in 2009).
Term to Maturity
Our derivative contracts have varying maturity dates. The remaining contractual term to maturity for the notional amounts of our derivative contracts
is set out below:
(Canadian $ in millions) Term to maturity 2010 2009
Within 1 to 3 3 to 5 5 to 10 Over 10 Total notional Total notional
1 year years years years years amounts amounts
Interest Rate Contracts
Swaps 453,661 459,701 312,718 222,717 61,081 1,509,878 1,368,827
Forward rate agreements, futures and options 541,929 57,497 13,312 10,632 1,070 624,440 677,021
Total interest rate contracts 995,590 517,198 326,030 233,349 62,151 2,134,318 2,045,848
Foreign Exchange Contracts
Cross-currency swaps 8,265 6,127 3,233 7,046 2,331 27,002 29,988
Cross-currency interest rate swaps 41,958 49,091 41,506 37,740 9,496 179,791 155,297
Forward foreign exchange contracts, futures and options 261,134 10,664 2,956 862 8 275,624 256,484
Total foreign exchange contracts 311,357 65,882 47,695 45,648 11,835 482,417 441,769
Commodity Contracts
Swaps 9,341 5,625 843 476 115 16,400 23,019
Futures and options 68,993 21,203 891 167 – 91,254 163,715
Total commodity contracts 78,334 26,828 1,734 643 115 107,654 186,734
Equity Contracts 30,640 2,447 2,727 165 466 36,445 28,870
Credit Contracts 6,791 45,157 9,670 23,147 500 85,265 107,309
Total notional amount 1,422,712 657,512 387,856 302,952 75,067 2,846,099 2,810,530