Bank of Montreal 2015 Annual Report Download - page 147

Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
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) 2015 2014
Hedging Hedging
Trading
Cash
flow
Fair
value Total Trading
Cash
flow
Fair
value Total
Interest Rate Contracts
Over-the-counter
Swaps 2,853,087 59,021 47,679 2,959,787 2,580,940 45,753 48,984 2,675,677
Forward rate agreements 432,744 – – 432,744 361,484 – – 361,484
Purchased options 21,344 – – 21,344 19,267 – – 19,267
Written options 24,154 – – 24,154 22,955 – – 22,955
3,331,329 59,021 47,679 3,438,029 2,984,646 45,753 48,984 3,079,383
Exchange-traded
Futures 137,583 – – 137,583 125,272 – – 125,272
Purchased options 26,598 – – 26,598 21,680 – – 21,680
Written options 25,038 – – 25,038 21,342 – – 21,342
189,219 – – 189,219 168,294 – – 168,294
Total interest rate contracts 3,520,548 59,021 47,679 3,627,248 3,152,940 45,753 48,984 3,247,677
Foreign Exchange Contracts
Over-the-counter
Cross-currency swaps 75,890 193 – 76,083 51,374 242 – 51,616
Cross-currency interest rate swaps 339,431 36 – 339,467 279,119 – – 279,119
Forward foreign exchange contracts 362,544 30,554 – 393,098 283,196 16,284 – 299,480
Purchased options 28,297 – – 28,297 37,245 – – 37,245
Written options 28,960 – – 28,960 36,913 – – 36,913
835,122 30,783 – 865,905 687,847 16,526 – 704,373
Exchange-traded
Futures 677 – – 677 813 – – 813
Purchased options 2,562 – – 2,562 3,110 – – 3,110
Written options 2,012 – – 2,012 3,044 – – 3,044
5,251 – – 5,251 6,967 – – 6,967
Total foreign exchange contracts 840,373 30,783 – 871,156 694,814 16,526 – 711,340
Commodity Contracts
Over-the-counter
Swaps 11,929 – – 11,929 13,559 – – 13,559
Purchased options 6,172 – – 6,172 8,526 – – 8,526
Written options 4,103 – – 4,103 4,166 – – 4,166
22,204 – – 22,204 26,251 – – 26,251
Exchange-traded
Futures 16,803 – – 16,803 22,586 – – 22,586
Purchased options 7,614 – – 7,614 6,733 – – 6,733
Written options 9,720 – – 9,720 8,499 – – 8,499
34,137 – – 34,137 37,818 – – 37,818
Total commodity contracts 56,341 – – 56,341 64,069 – – 64,069
Equity Contracts
Over-the-counter 46,942 172 – 47,114 48,702 – – 48,702
Exchange-traded 4,371 – – 4,371 7,314 – – 7,314
Total equity contracts 51,313 172 – 51,485 56,016 – – 56,016
Credit Default Swaps
Over-the-counter purchased 6,665 – – 6,665 8,801 – – 8,801
Over-the-counter written 9,385 – – 9,385 11,983 – – 11,983
Total credit default swaps 16,050 – – 16,050 20,784 – – 20,784
Total 4,484,625 89,976 47,679 4,622,280 3,988,623 62,279 48,984 4,099,886
Certain comparative figures have been reclassified to conform with the current year’s presentation.
Derivative-Related Market Risk
Derivative instruments are subject to market risk. Market risk arises from the potential for a negative impact on the balance sheet and/or income
statement due to adverse changes in the value of derivative instruments as a result of changes in certain market variables. These variables include
interest rates, foreign exchange rates, equity and commodity prices and their implied volatilities, as well as credit spreads, credit migration and
default. We strive to limit market risk by employing comprehensive governance and management processes for all market risk-taking activities.
160 BMO Financial Group 198th Annual Report 2015