Bank of Montreal 1999 Annual Report Download - page 85

Bank of Montreal Group of Companies 1999 Annual Report 79
Yields in the table above are calculated using the book value of
the security and the contractual interest or stated dividend rates
associated with each security adjusted for any amortization of
premiums and discounts and any country risk provision associ-
ated with a particular security. Tax effects are not taken into
consideration.
Securities of designated countries include any securities that
we receive as part of a debt restructuring by a foreign country.
They are recorded net of any country risk allowance (note 5)
that we have allocated to these securities.
The term to maturity included in the table above is based on
the contractual maturity date of the security. Securities with no
maturity date are included in the over 10 years category.
Term to maturity 1999 1998
Within 1 to 3 3 to 5 5 to 10 Over 10 Total book Total book
1 year years years years years value value
Investment Securities Yield Yield Yield Yield Yield Yield
Issued or guaranteed by: %%%%%%
Canadian federal government $ 1,817 4.91 $ 213 5.74 $ 121 6.02 $
–– $ –– $ 2,151 5.05 $ 1,848
Canadian provincial and
municipal governments 24 5.51 181 6.20
–– –– –– 205 6.12 302
U.S. federal government 2,499 5.02 133 5.78 1,034 5.42 909 5.43
–– 4,575 5.21 2,988
U.S. states, municipalities
and agencies 2,955 5.29 2,344 6.03 101 6.32 410 6.66 365 6.05 6,175 5.72 5,629
Designated countries
–– –– –– –– 29 21.24 29 21.24 42
Other governments 24 4.84 63 5.10 15 6.02 3 5.71 141 7.50 246 6.51 177
Mortgage-backed securities
and collateralized
mortgage obligations
–– 145 6.55 –– –– 3,378 6.40 3,523 6.41 2,852
Corporate debt 252 6.18 663 6.98 920 6.58 3,421 7.37 1,111 6.69 6,367 7.05 8,201
Corporate equity
Associated corporations
–– –– –– –– 856 – 856 – 709
Other 194 9.03 456 9.18 263 9.19 329 7.51 658 2.73 1,900 6.64 1,565
Total investment securities 7,765 5.24 4,198 6.51 2,454 6.33 5,072 6.97 6,538 5.31 26,027 5.90 24,313
Trading Securities
Issued or guaranteed by:
Canadian federal government 848 1,163 795 614 668 4,088 4,291
Canadian provincial and
municipal governments 321 341 81 377 481 1,601 1,545
U.S. federal government 1,210 1,022 150 150 138 2,670 4,348
U.S. states, municipalities
and agencies
– 252 56 122 1 431 97
All other 4,246 141 135 342 3,592 8,456 8,510
Total trading securities 6,625 2,919 1,217 1,605 4,880 17,246 18,791
Loan Substitute Securities –––––– 361
Total Securities $ 14,390 $ 7,117 $ 3,671 $ 6,677 $ 11,418 $ 43,273 $ 43,465
Interest income and gains and losses from securities are:
1999 1998 1997
Reported in:
Interest, dividend and fee income
Investment securities $ 1,404 $ 1,255 $ 1,118
Associated corporations 123 389
Trading securities 922 1,337 937
$ 2,449 $ 2,595 $ 2,144
Other Income
Investment securities
Gross realized gains $69 $ 121 $ 68
Gross realized losses (61) (24) (16)
Write-downs (93) ––
Net realized and unrealized
gains (losses) $ (85) $ 97 $ 52
Trading securities, net realized
and unrealized gains (losses) $ (15) $ (93) $ 169
Interest expense is not included in the amounts shown above.