Bank of Montreal 2002 Annual Report Download - page 77

BMO FINANCIAL GROUP ANNUAL REPORT 2002 73
Yields in the table above are calculated using the book value of the
security and the contractual interest or stated dividend rates asso-
ciated with each security adjusted for any amortization of premiums
and discounts . 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 (see Note 4) 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.
During the year ended October 31, 2001 we sold our investment in
Grupo Financiero BBVA Bancomer and realized a gain of $321 ($272
after tax). The gain was net of unrealized translation losses of $99.
Interest income and gains and losses from securities are:
2002 2001 2000
Reported in:
Interest, Dividend and Fee Income
Investment securities $ 1,156 $ 1,610 $ 1,949
Trading securities 460 809 905
$ 1,616 $ 2,419 $ 2,854
Non-Interest Revenue
Investment securities
Gross realized gains $ 232 $ 480 $ 245
Gross realized losses (56) (73) (46)
Write-downs (a) (322) (284) (16)
Net realized gains (losses) and write-downs $ (146) $ 123 $ 183
Trading securities, net realized
and unrealized gains (losses) $ 10 $ 139 $ 166
Interest expense is not included in the amounts shown above.
(a) Included in write-downs for 2002 is $103 and for 2001 is $225 related to our equity investments in
collateralized bond obligations.
Term to maturity 2002 2001
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 $ 557 3.58 $ 588 4.38 $ –– $ –– $ –– $ 1,145 3.99 $ 436
Canadian provincial and
municipal governments 2 2.90
–– –– –– –– 2 2.90 43
U.S. federal government 1,001 1.97 2,069 2.76 1,396 3.63 1,241 4.18 –– 5,707 3.14 2,801
U.S. states, municipalities and agencies 3,671 2.77 2,858 3.50 689 5.67 219 7.12 228 3.05 7,665 3.44 8,522
Other governments 34 4.19 32 5.21 6 6.38 11 5.65 –– 83 4.94 113
Mortgage-backed securities and
collateralized mortgage obligations 1 13.75
–– 1 5.60 584 4.88 473 5.64 1,059 5.23 3,415
Corporate debt 944 4.28 625 5.64 1,279 6.87 352 5.28 191 4.55 3,391 5.63 4,078
Corporate equity 157 7.74 364 9.69 411 8.81 83 8.21 1,204 2.15 2,219 5.24 2,062
Total investment securities 6,367 3.07 6,536 3.90 3,782 5.67 2,490 4.90 2,096 3.25 21,271 4.02 21,470
Trading Securities
Issued or guaranteed by:
Canadian federal government 1,851 963 852 897 1,045 5,608 3,343
Canadian provincial and
municipal governments 227 234 157 307 476 1,401 1,214
U.S. federal government 367 98 76 18 50 609 278
U.S. states, municipalities and agencies
–––––– 337
Other governments ––– 19 – 19 –
Corporate debt 2,711 362 216 439 1,211 4,939 3,924
Corporate equity –––– 9,851 9,851 7,104
Total trading securities 5,156 1,657 1,301 1,680 12,633 22,427 16,200
Loan Substitute Securities 11 – 6 –– 17 6
Total Securities $ 11,534 $ 8,193 $ 5,089 $ 4,170 $ 14,729 $ 43,715 $ 37,676
Unrealized Gains and Losses 2002 2001
Gross Gross Gross Gross
Book unrealized unrealized Fair Book unrealized unrealized Fair
value gains losses value value gains losses value
Investment Securities
Issued or guaranteed by:
Canadian federal government $ 1,145 $
– $ 2 $ 1,143 $ 436 $ 4 $ 17 $ 423
Canadian provincial and municipal governments 2
–– 243 –– 43
U.S. federal government 5,707 143 1 5,849 2,801 93 1 2,893
U.S. states, municipalities and agencies 7,665 107
– 7,772 8,522 110 – 8,632
Other governments 83 2
– 85 113 3 – 116
Mortgage-backed securities and collateralized mortgage obligations 1,059 29
– 1,088 3,415 53 – 3,468
Corporate debt 3,391 119 57 3,453 4,078 88 77 4,089
Corporate equity 2,219 48 67 2,200 2,062 101 113 2,050
Total $ 21,271 $ 448 $ 127 $ 21,592 $ 21,470 $ 452 $ 208 $ 21,714
For actively traded securities, quoted market value is considered to be fair value. For infrequently
traded securities, we use either the price of the most recent transaction or the midpoint between bid
and ask price. For privately held securities and for thinly traded securities where market quotes are not
available, we use estimation techniques to determine fair value. Estimation techniques used include
discounted cash flows, multiple of earnings or comparisons with other securities that are substantially
the same.