Bank of Montreal 2000 Annual Report Download - page 73

Bank of Montreal Group of Companies Annual Report 2000 ■49
Yields in the table above are calculated using the book value of the
security and the contractual interest or stated dividend rates associ-
ated with each security adjusted for any amortization of premiums
and discounts and any country risk provision associated 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.
Corporate equity includes our investment in Grupo Financiero
BBVA Bancomer. We accounted for this investment using the equity
method until June 30, 2000, after which time we no longer had
significant influence and began accounting for the investment on
a cost basis.
Term to maturity 2000 1999
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 $ 980 5.70 $ 150 5.82 $ 98 5.88 $ –– $ –– $ 1,228 5.73 $ 2,151
Canadian provincial and
municipal governments 211 5.97 31 5.93 –– –– –– 242 5.96 205
U.S. federal government 1,104 5.81 1,212 5.53 3 7.68 967 5.42 –– 3,286 5.59 4,575
U.S. states, municipalities and agencies 3,490 6.26 2,247 6.88 778 7.04 446 6.86 482 6.67 7,443 6.59 6,175
Designated countries –– –– –– –– –– –– 29
Other governments 56 5.29 68 5.89 20 6.10 13 5.69 –– 157 5.69 246
Mortgage-backed securities and
collateralized mortgage obligations –– 102 6.54 –– 36 7.55 3,605 6.67 3,743 6.67 3,523
Corporate debt 373 6.13 608 6.15 656 7.48 2,534 7.42 1,253 6.58 5,424 7.00 6,367
Corporate equity 237 8.60 596 8.53 363 9.47 516 6.82 1,234 2.08 2,946 5.65 2,756
Total investment securities 6,451 6.16 5,014 6.60 1,918 7.58 4,512 6.86 6,574 5.79 24,469 6.39 26,027
Trading Securities
Issued or guaranteed by:
Canadian federal government 1,347 1,242 392 1,029 407 4,417 4,088
Canadian provincial and
municipal governments 336 116 90 258 391 1,191 1,601
U.S. federal government 2,190 645 45 253 187 3,320 2,670
U.S. states, municipalities and agencies –– 22 159 301 482 431
All other 1,592 133 136 628 10,095 12,584 8,456
Total trading securities 5,465 2,136 685 2,327 11,381 21,994 17,246
Total Securities $ 11,916 $ 7,150 $ 2,603 $ 6,839 $ 17,955 $ 46,463 $ 43,273
Interest income and gains and losses from securities are:
2000 1999 1998
Reported in:
Interest, dividend and fee income
Investment securities $ 1,949 $ 1,527 $ 1,258
Trading securities 905 922 1,337
$ 2,854 $ 2,449 $ 2,595
Other Income
Investment securities
Gross realized gains $ 245 $ 69 $ 121
Gross realized losses (46) (61) (24)
Write-downs (16) (93) –
Net realized and unrealized gains (losses) $ 183 $ (85) $ 97
Trading securities, net realized
and unrealized gains (losses) $ 166 $ (15) $ (93)
Interest expense is not included in the amounts shown above.
Unrealized Gains and Losses 2000 1999
Gross Gross Gross Gross
Book unrealized unrealized Market Book unrealized unrealized Market
value gains losses value value gains losses value
Investment Securities
Issued or guaranteed by:
Canadian federal government $ 1,228 $ 12 $ 5 $ 1,235 $ 2,151 $ 13 $ 3 $ 2,161
Canadian provincial and municipal governments 242 6 – 248 205 11 – 216
U.S. federal government 3,286 – 54 3,232 4,575 1 58 4,518
U.S. states, municipalities and agencies 7,443 2 32 7,413 6,175 4 39 6,140
Designated countries –––– 29 16 – 45
Other governments 157 –– 157 246 11 1 256
Mortgage-backed securities and
collateralized mortgage obligations 3,743 – 139 3,604 3,523 – 175 3,348
Corporate debt 5,424 43 160 5,307 6,367 50 153 6,264
Corporate equity 2,946 588 76 3,458 2,756 54 271 2,539
Total $ 24,469 $ 651 $ 466 $ 24,654 $ 26,027 $ 160 $ 700 $ 25,487
The market value of a security is based on the quoted market price at each year end. This price
may not necessarily be what we would receive if we were to sell the security.
We use a variety of valuation techniques to estimate the market value when there is no readily
available quoted market price for a particular security.