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Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Canadian $ in millions, except as noted) Term to maturity 2013 2012
Within 1to3 3to5 5to10 Over 10
1 year years years years years Total Total
Trading Securities
Issued or guaranteed by:
Canadian federal government
Canadian provincial and municipal governments
U.S. federal government
U.S. states, municipalities and agencies
Other governments
Mortgage-backed securities and collateralized mortgage obligations
Corporate debt
Corporate equity
2,253
644
905
20
1
23
1,090
–
4,004
758
2,397
412
117
386
2,076
–
1,249
636
1,415
154
14
170
1,586
–
2,023
1,840
717
162
–
35
1,569
–
1,295
1,833
469
11
4
38
4,766
40,087
10,824
5,711
5,903
759
136
652
11,087
40,087
10,907
5,515
7,052
447
521
1,510
14,319
29,838
Total trading securities 4,936 10,150 5,224 6,346 48,503 75,159 70,109
Available-for-Sale Securities
Issued or guaranteed by:
Canadian federal government
Amortized cost
Fair value
Yield (%)
Canadian provincial and municipal governments
Amortized cost
Fair value
Yield (%)
U.S. federal government
Amortized cost
Fair value
Yield (%)
U.S. states, municipalities and agencies
Amortized cost
Fair value
Yield (%)
Other governments
Amortized cost
Fair value
Yield (%)
Mortgage-backed securities and collateralized mortgage obligations – Canada (1)
Amortized cost
Fair value
Yield (%)
Mortgage-backed securities and collateralized mortgage obligations – U.S.
Amortized cost
Fair value
Yield (%)
Corporate debt
Amortized cost
Fair value
Yield (%)
Corporate equity
Amortized cost
Fair value
Yield (%)
5,591
5,652
1.60
191
195
1.46
1,094
1,095
0.28
1,644
1,645
0.45
1,715
1,713
1.80
159
184
1.00
2
2
0.24
861
862
1.32
–
–
–
2,726
2,761
1.39
866
870
1.08
3,400
3,407
0.37
1,164
1,174
1.05
2,511
2,515
1.00
813
775
1.64
7
7
3.90
5,479
5,536
1.20
–
–
–
4,007
4,029
1.38
1,040
1,043
1.70
156
158
1.44
346
358
2.19
1,939
1,935
1.54
1,299
1,318
2.07
16
16
3.31
2,958
2,997
1.60
–
–
–
625
632
2.36
1,483
1,461
2.65
–
–
–
1,377
1,387
1.02
–
–
–
–
–
–
159
159
2.23
240
246
3.76
–
–
–
40
41
2.97
127
129
3.82
–
–
–
832
828
0.82
–
–
–
–
–
–
6,351
6,344
1.13
31
35
2.83
1,411
1,558
1.90
12,989
13,115
1.53
3,707
3,698
2.00
4,650
4,660
0.39
5,363
5,392
0.90
6,165
6,163
1.39
2,271
2,277
1.83
6,535
6,528
1.16
9,569
9,676
1.40
1,411
1,558
1.90
17,050
17,277
1.76
2,642
2,680
1.86
10,010
10,099
0.53
4,390
4,462
1.16
6,591
6,596
1.57
432
435
5.64
5,705
5,773
1.36
7,724
7,875
1.46
1,129
1,185
2.16
Total cost or amortized cost 11,257 16,966 11,761 3,884 8,792 52,660 55,673
Total fair value 11,348 17,045 11,854 3,885 8,935 53,067 56,382
Yield (%) 1.31 1.03 1.61 2.06 1.28 1.33 1.43
Held-to-Maturity Securities
Issued or guaranteed by:
Canadian federal government
Amortized cost
Fair value
Canadian provincial and municipal governments
Amortized cost
Fair value
Mortgage-backed securities and collateralized mortgage obligations – Canada
Amortized cost
Fair value
–
–
–
–
–
–
427
427
461
462
1,074
1,069
2,005
2,009
1,217
1,220
242
247
–
–
467
466
–
–
–
–
139
141
–
–
2,432
2,436
2,284
2,289
1,316
1,316
600
600
275
275
–
–
Total cost or amortized cost – 1,962 3,464 467 139 6,032 875
Total fair value – 1,958 3,476 466 141 6,041 875
Other Securities
Carrying value
Fair value 18
18 26
26 11
11 17
17 651
864 723
936 958
1,126
Total carrying value or amortized cost of securities 16,211 29,104 20,460 10,714 58,085 134,574 127,615
Total securities value 16,302 29,183 20,553 10,715 58,228 134,981 128,324
Total by Currency (in Canadian $ equivalent)
Canadian dollar
U.S. dollar
Other currencies
10,201
4,988
1,113
13,457
14,713
1,013
13,020
6,861
672
7,390
3,324
1
45,213
12,804
211
89,281
42,690
3,010
77,829
46,564
3,931
Total securities 16,302 29,183 20,553 10,715 58,228 134,981 128,324
(1) These amounts are supported by insured mortgages. backed securities and collateralized mortgage obligations is based on average expected maturities.
Yields in the table above are calculated using the 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
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.
Certain comparative figures have been reclassified to conform with the current year’s presentation.
above is based on the contractual maturity date of the security. The term to maturity of mortgage-
136 BMO Financial Group 196th Annual Report 2013