Bank of Montreal 2015 Annual Report Download - page 133

Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Canadian $ in millions, except as noted) Term to maturity 2015 2014
Within
1 year
1to3
years
3to5
years
5to10
years
Over 10
years Total Total
Trading Securities
Issued or guaranteed by:
Canadian federal government 6,472 2,183 797 2,451 1,951 13,854 10,462
Canadian provincial and municipal governments 700 1,146 1,077 1,546 2,282 6,751 7,196
U.S. federal government 270 1,300 781 394 507 3,252 6,165
U.S. states, municipalities and agencies 98 129 80 248 132 687 711
Other governments 98 251 53 7 2 411 223
Mortgage-backed securities and collateralized mortgage obligations 107 272 68 41 3 491 702
Corporate debt 1,415 782 713 949 5,428 9,287 11,831
Corporate equity – – – – 37,727 37,727 47,732
Total trading securities 9,160 6,063 3,569 5,636 48,032 72,460 85,022
Available-for-Sale Securities
Issued or guaranteed by:
Canadian federal government
Amortized cost 215 2,318 4,685 550 138 7,906 10,420
Fair value 214 2,329 4,741 550 136 7,970 10,501
Yield (%) 0.56 1.00 1.62 1.80 1.99 1.43 1.52
Canadian provincial and municipal governments
Amortized cost 53 314 1,636 2,861 26 4,890 4,063
Fair value 53 317 1,640 2,888 27 4,925 4,104
Yield (%) 0.71 1.22 1.55 2.24 3.67 1.93 1.96
U.S. federal government
Amortized cost 50 332 938 430 – 1,750 1,094
Fair value 52 331 945 426 – 1,754 1,093
Yield (%) 0.05 1.03 1.45 1.77 – 1.41 1.21
U.S. states, municipalities and agencies
Amortized cost 1,234 1,227 1,159 1,151 1,255 6,026 5,761
Fair value 1,235 1,236 1,168 1,180 1,266 6,085 5,815
Yield (%) 0.56 1.05 1.86 2.30 1.61 1.27 1.04
Other governments
Amortized cost 2,381 2,137 748 138 – 5,404 6,116
Fair value 2,382 2,141 753 136 – 5,412 6,132
Yield (%) 0.77 1.26 1.33 0.37 – 1.03 1.32
Mortgage-backed securities and collateralized mortgage obligations – Canada
Amortized cost – 399 2,595 – – 2,994 3,031
Fair value – 404 2,600 – – 3,004 3,054
Yield (%) – 1.24 1.62 – – 1.68 1.90
Mortgage-backed securities and collateralized mortgage obligations – U.S.
Amortized cost 4 4 29 476 8,652 9,165 6,872
Fair value 4 4 30 481 8,669 9,188 6,895
Yield (%) 3.42 1.74 1.69 1.97 1.05 1.10 0.92
Corporate debt
Amortized cost 2,533 2,270 2,412 646 48 7,909 7,577
Fair value 2,537 2,280 2,421 670 47 7,955 7,666
Yield (%) 1.45 1.66 2.06 3.16 3.50 1.85 1.83
Corporate equity
Amortized cost – – – – 1,648 1,648 1,582
Fair value – – – – 1,713 1,713 1,706
Yield (%) – – – – 2.37 2.37 2.25
Total cost or amortized cost 6,470 9,001 14,202 6,252 11,767 47,692 46,516
Total fair value 6,477 9,042 14,298 6,331 11,858 48,006 46,966
Yield (%) 0.98 1.29 1.60 2.21 1.32 1.47 1.48
Held-to-Maturity Securities
Issued or guaranteed by:
Canadian federal government
Amortized cost 325 2,005 – – – 2,330 2,432
Fair value 325 2,015 – – – 2,340 2,442
Canadian provincial and municipal governments
Amortized cost 485 1,216 510 321 – 2,532 2,532
Fair value 486 1,219 507 347 – 2,559 2,558
Mortgage-backed securities and collateralized mortgage obligations (1)
Amortized cost 347 294 354 – 3,575 4,570 5,380
Fair value 349 294 357 – 3,635 4,635 5,490
Total cost or amortized cost 1,157 3,515 864 321 3,575 9,432 10,344
Total fair value 1,160 3,528 864 347 3,635 9,534 10,490
Other Securities
Carrying value 3 7 55 13 942 1,020 987
Fair value 3 7 55 13 2,651 2,729 2,306
Total carrying value or amortized cost of securities 16,790 18,586 18,690 12,222 64,316 130,604 142,869
Total securities value 16,797 18,627 18,786 12,301 64,407 130,918 143,319
Total by Currency (in Canadian $ equivalent)
Canadian dollar 11,230 11,041 12,446 8,885 38,973 82,575 94,126
U.S. dollar 3,984 6,912 6,269 3,416 25,007 45,588 46,580
Other currencies 1,583 674 71 – 427 2,755 2,613
Total securities 16,797 18,627 18,786 12,301 64,407 130,918 143,319
(1) These amounts are supported by insured mortgages or issued by U.S. agencies and government-sponsored enterprises.
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 above is based on the contractual maturity date of the security. 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.
146 BMO Financial Group 198th Annual Report 2015