Bank of Montreal 2010 Annual Report Download - page 120

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Notes
118 BMO Financial Group 193rd Annual Report 2010
(Canadian $ in millions, except as noted) Term to maturity 2010 2009
Within 1 to 3 3 to 5 5 to 10 Over 10
1 year years years years years Total Total
Trading Securities
Issued or guaranteed by:
Canadian federal government 3,239 5,667 3,899 1,245 1,954 16,004 16,607
Canadian provincial and municipal governments 466 336 418 1,273 1,422 3,915 2,882
U.S. federal government 1,685 1,987 413 2,182 1,793 8,060 3,021
U.S. states, municipalities and agencies 796 1 5 58 194 1,054 756
Other governments – 364 883 118 – 1,365 1,712
Mortgage-backed securities and collateralized mortgage obligations – 3 10 164 893 1,070 1,026
Corporate debt 2,420 1,905 2,379 1,785 3,883 12,372 11,082
Corporate equity (1) – – – – 27,870 27,870 21,985
Total trading securities (3) 8,606 10,263 8,007 6,825 38,009 71,710 59,071
Available-for-Sale Securities
Issued or guaranteed by:
Canadian federal government
Amortized cost 2,063 6,379 4,774 1,148 87 14,451 17,263
Fair value 2,071 6,516 4,836 1,189 89 14,701 17,359
Yield (%) 2.58 3.41 2.29 3.75 3.35 2.95 2.35
Canadian provincial and municipal governments
Amortized cost 65 911 455 63 129 1,623 1,638
Fair value 65 950 472 63 145 1,695 1,688
Yield (%) 1.34 1.93 2.03 3.77 4.25 2.19 2.12
U.S. federal government
Amortized cost 2,122 255 – 3,062 1 5,440 1,136
Fair value 2,122 264 – 3,271 1 5,658 1,111
Yield (%) 0.18 1.21 – 3.00 4.90 1.82 0.20
U.S. states, municipalities and agencies
Amortized cost 1,505 1,408 557 499 213 4,182 5,993
Fair value 1,509 1,428 571 527 222 4,257 6,088
Yield (%) 1.45 2.63 1.39 5.86 6.02 2.60 2.48
Other governments
Amortized cost 4,482 5,036 494 1 – 10,013 8,182
Fair value 4,482 5,062 497 1 – 10,042 8,229
Yield (%) 2.60 2.18 0.64 5.54 – 2.29 0.53
Mortgage-backed securities and collateralized mortgage obligations – Canada (2)
Amortized cost 4 913 7,021 – 7 7,945 9,331
Fair value 5 945 7,272 – 7 8,229 9,578
Yield (%) 6.10 1.45 2.50 – 6.49 2.38 4.68
Mortgage-backed securities and collateralized mortgage obligations – U.S.
Amortized cost 11 – 21 204 416 652 789
Fair value 11 – 21 217 434 683 817
Yield (%) 3.96 – 3.97 4.62 4.12 4.27 4.52
Corporate debt
Amortized cost 1,168 1,939 981 126 262 4,476 4,414
Fair value 1,172 2,026 1,000 133 261 4,592 4,537
Yield (%) 1.87 3.10 2.05 5.28 4.88 2.71 2.21
Corporate equity (1)
Amortized cost 9 119 93 6 435 662 856
Fair value 14 126 98 6 442 686 850
Yield (%) 4.65 4.46 3.19 0.84 1.36 2.21 2.53
Total cost or amortized cost (4) 11,429 16,960 14,396 5,109 1,550 49,444 49,602
Total fair value 11,451 17,317 14,767 5,407 1,601 50,543 50,257
Yield (%) 1.92 2.73 2.28 3.58 3.71 2.53 2.48
Other Securities
Carrying value 158 172 158 312 346 1,146 1,485
Fair value 158 172 158 312 380 1,180 1,503
Total cost or amortized cost of securities 20,193 27,395 22,561 12,246 39,905 122,300 110,158
Total carrying value of securities 20,215 27,752 22,932 12,544 39,956 123,399 110,813
Total by Currency (in Canadian $ equivalent)
Canadian dollar 8,013 17,035 19,204 4,909 26,372 75,533 74,249
U.S. dollar 7,723 8,673 3,379 7,471 13,427 40,673 30,015
Other currencies 4,479 2,044 349 164 157 7,193 6,549
Total securities 20,215 27,752 22,932 12,544 39,956 123,399 110,813
(1) For preferred shares, term to maturity is based on dividend reset dates. For other equities,
term to maturity is assumed to be over 10 years unless specified otherwise.
(2) These amounts are supported by insured mortgages.
(3) As at October 31, 2008, the total carrying value for trading securities is $66,032 million,
with $9,537 million and $125 million in U.S. federal government and U.S. states, municipalities
and agencies, respectively.
(4) As at October 31, 2008, the total carrying value for available-for-sale securities is
$32,236 million, with $2,256 million and $8,075 million in U.S. federal government and
U.S. states, municipalities and agencies, respectively.
Certain comparative figures have been reclassified to conform with the current year’s presentation.
Yields in the table above are calculated using the cost or amortized cost of the security and
the contractual interest or stated dividend rates associated with each security adjusted for any
amortization of premiums and discounts. Tax effects are not taken into consideration. The term
to maturity included in the table above is based on the contractual maturity date of the security.
The term to maturity of mortgage-backed securities and collateralized mortgage obligations is based
on average expected maturities. Actual maturities could differ as issuers may have the right to call
or prepay obligations. Securities with no maturity date are included in the over 10 years category.