Bank of Montreal 2008 Annual Report Download - page 115

Notes
BMO Financial Group 191st Annual Report 2008 | 111
(Canadian $ in millions, except as noted) Term to maturity 2008 2007
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 $ 10,024 $ 1,421 $ 1,721 $ 616 $ 1,445 $ 15,227 $ 9,493
Canadian provincial and municipal governments 574 496 774 1,280 1,257 4,381 3,971
U.S. federal government 5,875 2,013 17 37 1,595 9,537 701
U.S. states, municipalities and agencies – 7 7 43 68 125 106
Other governments 20 154 10 – – 184 872
Mortgage-backed securities and collateralized mortgage obligations –––3–3–
Corporate debt 7,479 1,716 1,623 1,740 4,952 17,510 31,436
Corporate equity –––319,062 19,065 24,194
Total trading securities 23,972 5,807 4,152 3,722 28,379 66,032 70,773
Available-for-Sale Securities
Issued or guaranteed by:
Canadian federal government
Amortized cost 51 910 2,227 – – 3,188 927
Fair value 51 922 2,247 – – 3,220 927
Yield (%) 2.51 3.98 3.69 – – 3.75 4.31
Canadian provincial and municipal governments
Amortized cost 22287––2911
Fair value 22286––2901
Yield (%) 2.64 4.85 3.62 – – 3.62 6.30
U.S. federal government
Amortized cost 2,077 – – 179 – 2,256 1,518
Fair value 2,078 – – 191 – 2,269 1,523
Yield (%) 0.42 – – 4.62 – 0.75 4.13
U.S. states, municipalities and agencies
Amortized cost 3,275 3,228 – 399 1,173 8,075 8,681
Fair value 3,278 3,231 – 405 1,180 8,094 8,684
Yield (%) 3.56 3.77 – 5.69 5.67 4.06 5.00
Other governments
Amortized cost 36 31 40 2 – 109 96
Fair value 35 32 41 2 – 110 96
Yield (%) 4.63 4.17 4.38 4.80 – 4.41 4.27
Mortgage-backed securities and collateralized mortgage obligations –Canada (1)
Amortized cost – – 10,956 – – 10,956 8,882
Fair value – – 11,043 – – 11,043 8,902
Yield (%) – – 4.15 – – 4.15 4.75
Mortgage-backed securities and collateralized mortgage obligations –U.S.
Amortized cost 61 53 19 318 421 872 368
Fair value 61 53 19 317 424 874 362
Yield (%) 3.85 4.01 5.15 4.66 5.17 4.82 4.62
Corporate debt
Amortized cost 893 1,535 1,937 791 419 5,575 4,675
Fair value 718 1,463 1,928 792 419 5,320 4,672
Yield (%) 3.32 5.13 1.40 4.50 4.61 3.42 3.74
Corporate equity (2)
Amortized cost 77 120 160 70 487 914 817
Fair value 77 114 158 71 475 895 843
Yield (%) 4.93 5.60 4.86 2.49 1.44 2.99 4.27
Total cost or amortized cost 6,472 5,879 15,626 1,759 2,500 32,236 25,965
Total fair value 6,300 5,817 15,722 1,778 2,498 32,115 26,010
Yield (%) 2.53 4.20 3.74 4.73 4.58 3.70 4.58
Other Securities
Cost 85 56 100 912 838 1,991 1,494
Fair value 85 56 100 912 838 1,991 1,494
Total cost or amortized cost of securities $ 30,529 $ 11,742 $ 19,878 $ 6,393 $ 31,717 $ 100,259 $ 98,232
Total fair value of securities $ 30,357 $ 11,680 $ 19,974 $ 6,412 $ 31,715 $ 100,138 $ 98,277
Total by Currency (in Canadian $ equivalent)
Canadian dollar 15,815 4,744 18,824 4,368 14,888 58,639 57,206
U.S. dollar 14,242 5,860 589 1,675 16,649 39,015 35,947
Other currencies 300 1,076 561 369 178 2,484 5,124
Total securities $ 30,357 $ 11,680 $ 19,974 $ 6,412 $ 31,715 $ 100,138 $ 98,277
(1) These amounts are supported by guaranteed mortgages.
(2) 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.
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 secu rity.
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.