Bank of Montreal 2015 Annual Report Download - page 149
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Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
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:
As at October 31, 2015 (Canadian $ in millions) Interest rate contracts Foreign exchange contracts Commodity contracts Equity contracts Credit default swaps Total
Financial institutions 13,882 10,565 253 708 35 25,443
Governments 2,940 3,343 85 – – 6,368
Natural resources – 27 114 – – 141
Energy 250 693 189 – – 1,132
Other 2,176 1,653 421 184 1 4,435
Total 19,248 16,281 1,062 892 36 37,519
As at October 31, 2014 (Canadian $ in millions) Interest rate contracts Foreign exchange contracts Commodity contracts Equity contracts Credit default swaps Total
Financial institutions 13,997 8,903 157 660 66 23,783
Governments 2,262 2,330 11 – – 4,603
Natural resources 33 27 37 – – 97
Energy 171 255 36 – – 462
Other 1,778 1,134 165 236 14 3,327
Total 18,241 12,649 406 896 80 32,272
Term to Maturity
Our derivative contracts have varying maturity dates. The remaining contractual terms to maturity for the notional amounts of our derivative contracts
are set out below:
(Canadian $ in millions) Term to maturity 2015 2014
Within 1
year
1to3
years
3to5
years
5to10
years
Over 10
years
Total
notional
amounts
Total
notional
amounts
Interest Rate Contracts
Swaps 1,110,622 573,718 846,317 380,048 49,082 2,959,787 2,675,677
Forward rate agreements, futures and options 592,366 64,574 6,334 4,064 123 667,461 572,000
Total interest rate contracts 1,702,988 638,292 852,651 384,112 49,205 3,627,248 3,247,677
Foreign Exchange Contracts
Cross-currency swaps 19,320 16,868 22,170 15,342 2,383 76,083 51,616
Cross-currency interest rate swaps 86,626 108,857 74,121 57,722 12,141 339,467 279,119
Forward foreign exchange contracts, futures and options 445,471 8,258 1,529 332 16 455,606 380,605
Total foreign exchange contracts 551,417 133,983 97,820 73,396 14,540 871,156 711,340
Commodity Contracts
Swaps 3,604 6,626 817 861 21 11,929 13,559
Futures and options 15,824 25,688 2,353 502 45 44,412 50,510
Total commodity contracts 19,428 32,314 3,170 1,363 66 56,341 64,069
Equity Contracts 43,296 5,170 1,535 68 1,416 51,485 56,016
Credit Contracts 10,958 2,966 713 1,021 392 16,050 20,784
Total notional amount 2,328,087 812,725 955,889 459,960 65,619 4,622,280 4,099,886
Certain comparative figures have been reclassified to conform with the current year’s presentation.
162 BMO Financial Group 198th Annual Report 2015