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Notes
(Canadian $ in millions) 2014
Carrying
value
Fair
value
Valued using
quoted market
prices
Valued using
models (with
observable inputs)
Valued using
models (without
observable inputs)
Securities
Held to maturity 10,344 10,490 838 9,652 –
Other (1) 510 1,829 – – 1,829
10,854 12,319 838 9,652 1,829
Securities purchased under resale agreements (2) 33,141 33,095 – 33,095 –
Loans
Residential mortgages 101,013 101,273 – – 101,273
Consumer instalment and other personal 64,143 63,280 – – 63,280
Credit cards 7,972 7,706 – – 7,706
Businesses and governments 120,766 119,399 – – 119,399
293,894 291,658 – – 291,658
Deposits 393,088 393,242 – 393,242 –
Securities sold under repurchase agreements (3) 25,485 25,505 – 25,505 –
Other liabilities (4) 23,546 23,927 – 23,927 –
Subordinated debt 4,913 5,110 – 5,110 –
This table excludes financial instruments with a carrying value approximating fair value, such as cash and cash equivalents, interest bearing deposits with banks, securities borrowed, customers’ liability
under acceptances, certain other assets, acceptances, securities lent and certain other liabilities.
(1) Excluded from other securities is $477 million of securities related to our merchant banking business that are carried at fair value on the balance sheet.
(2) Excludes $20,414 million of securities borrowed for which carrying value approximates fair value.
(3) Excludes $14,210 million of securities lent for which carrying value approximates fair value.
(4) Other liabilities include securitization and SE liabilities and certain other liabilities of subsidiaries, other than deposits.
Fair Value Hierarchy
We use a fair value hierarchy to categorize financial instruments according to the inputs we use in valuation techniques to measure fair value.
Valuation Techniques and Significant Inputs
We determine the fair value of publicly traded fixed maturity debt and equity securities using quoted prices in active markets (Level 1) when these
are available. When quoted prices in active markets are not available, we determine the fair value of financial instruments using models such as
discounted cash flows, with observable market data for inputs such as yield and prepayment rates or broker quotes and other third-party vendor
quotes (Level 2). Fair value may also be determined using models where significant market inputs are not observable due to inactive markets or
minimal market activity (Level 3). We maximize the use of observable market inputs to the extent possible.
Our Level 2 trading securities are primarily valued using discounted cash flow models with observable spreads or broker quotes. The fair value of
Level 2 available-for-sale securities is determined using discounted cash flow models with observable spreads or third-party vendor quotes. Level 2
structured note liabilities are valued using models with observable market information. Level 2 derivative assets and liabilities are valued using
industry-standard models and observable market information.
BMO Financial Group 198th Annual Report 2015 175