Bank of Montreal 2015 Annual Report Download - page 163

Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
The extent of our use of actively quoted market prices (Level 1), internal models using observable market information as inputs (Level 2) and
internal models without observable market information as inputs (Level 3) in the valuation of securities, fair value liabilities, derivative assets and
derivative liabilities was as follows:
(Canadian $ in millions) 2015 2014
Valued using
quoted market
prices
Valued using
models (with
observable
inputs)
Valued using
models (without
observable
inputs)
Valued using
quoted market
prices
Valued using
models (with
observable
inputs)
Valued using
models (without
observable
inputs)
Trading Securities
Issued or guaranteed by:
Canadian federal government 12,342 1,512 – 8,737 1,725 –
Canadian provincial and municipal governments 3,183 3,568 – 3,134 4,062 –
U.S. federal government 2,937 314 – 5,725 440 –
U.S. states, municipalities and agencies – 589 98 – 626 85
Other governments 396 15 – 124 99 –
Mortgage-backed securities and collateralized mortgage
obligations – 491 – – 702 –
Corporate debt 328 8,717 243 1,974 9,319 538
Corporate equity 35,901 1,826 – 37,221 10,511 –
55,087 17,032 341 56,915 27,484 623
Available-for-Sale Securities
Issued or guaranteed by:
Canadian federal government 4,988 2,982 – 4,946 5,555 –
Canadian provincial and municipal governments 2,658 2,267 – 1,679 2,425 –
U.S. federal government 1,754 – – 1,093 – –
U.S. states, municipalities and agencies – 6,084 1 – 5,814 1
Other governments 2,328 3,084 – 2,136 3,996 –
Mortgage-backed securities and collateralized mortgage
obligations – 12,192 – – 9,949 –
Corporate debt 5,977 1,972 6 5,687 1,971 8
Corporate equity 358 104 1,251 456 146 1,104
18,063 28,685 1,258 15,997 29,856 1,113
Other Securities – – 364 10 – 467
Fair Value Liabilities
Securities sold but not yet purchased 19,499 1,727 – 23,615 3,733 –
Structured note liabilities and other note liabilities – 9,577 – – 7,785 –
Annuity liabilities – 525 – – 407 –
19,499 11,829 – 23,615 11,925 –
Derivative Assets
Interest rate contracts 5 19,248 – 23 18,241 –
Foreign exchange contracts 18 16,281 – 32 12,649 –
Commodity contracts 605 1,062 – 653 30 –
Equity contracts 91 892 – 51 896 –
Credit default swaps –35 1 –68 12
719 37,518 1 759 31,884 12
Derivative Liabilities
Interest rate contracts 25 17,488 – 33 16,983 –
Foreign exchange contracts 15 20,091 – 33 12,110 –
Commodity contracts 380 2,391 – 1,101 233 –
Equity contracts 103 2,098 – 38 3,002 –
Credit default swaps –48 – – 116 8
523 42,116 – 1,205 32,444 8
Certain comparative figures have been reclassified to conform with the current year’s presentation.
176 BMO Financial Group 198th Annual Report 2015