Bank of Montreal 2010 Annual Report Download - page 109

Supplemental Information
BMO Financial Group 193rd Annual Report 2010 107
Table 22: Risk-Weighted Assets ($ millions)
Risk-weighted assets Risk-weighted assets
Exposure Standardized Advanced 2010 Exposure Standardized Advanced 2009
As at October 31 at Default Approach Approach Total at Default Approach Approach Total
Credit Risk
Wholesale
Corporate, including specialized lending 93,446 9,411 32,336 41,747 108,368 10,776 41,398 52,174
Corporate small and medium-sized enterprises 44,742 6,784 14,688 21,472 44,229 8,194 18,201 26,395
Sovereign 60,521 – 653 653 53,978 – 593 593
Bank 42,817 204 4,444 4,648 32,597 283 4,254 4,537
Retail
Residential mortgages, excluding home equity line of credit 47,181 2,597 1,615 4,212 44,176 3,158 1,293 4,451
Home equity line of credit 34,998 3,138 1,886 5,024 27,342 3,348 1,115 4,463
Qualifying revolving retail 31,197 – 5,469 5,469 25,167 – 3,210 3,210
Other retail, excluding small and medium-sized enterprises 21,883 4,544 7,945 12,489 19,489 4,232 5,663 9,895
Retail small and medium-sized enterprises 1,144 116 555 671 908 – 492 492
Equity 1,249 – 997 997 1,380 – 1,168 1,168
Trading book 58,466 – 7,947 7,947 52,023 25 7,945 7,970
Securitization 40,633 101 13,342 13,443 47,541 – 11,207 11,207
Other credit risk assets – non-counterparty managed assets 65,782 – 12,006 12,006 62,996 – 10,751 10,751
Scaling factor for credit risk assets under AIRB Approach (1) – – 5,512 5,512 – – 5,792 5,792
Total Credit Risk 544,059 26,895 109,395 136,290 520,194 30,016 113,082 143,098
Market Risk 1,589 3,628 5,217 1,471 5,107 6,578
Operational Risk 19,658 – 19,658 17,525 – 17,525
Total Basel II Risk-Weighted Assets 48,142 113,023 161,165 49,012 118,189 167,201
Table 23: Average Deposits ($ millions, except as noted)
2010 2009 2008
Average Average Average Average Average Average
balance rate paid (%) balance rate paid (%) balance rate paid (%)
Deposits Booked in Canada
Demand deposits – interest bearing 15,331 0.24 13,640 0.34 11,544 1.83
Demand deposits – non-interest bearing 19,213 – 16,383 – 14,175 –
Payable after notice 45,384 0.29 42,480 0.48 38,112 1.83
Payable on a fixed date 87,208 1.88 89,155 2.92 90,822 3.53
Total deposits booked in Canada 167,136 1.08 161,658 1.76 154,653 2.66
Deposits Booked in the United States and Other Countries
Banks located in the United States and other countries 8,022 0.98 9,327 0.72 15,652 3.51
Governments and institutions in the United States and other countries 8,862 0.51 9,607 1.08 11,354 3.71
Other demand deposits 3,114 0.03 7,847 0.02 4,000 0.68
Other deposits payable after notice or on a fixed date 54,829 0.78 64,126 1.59 62,580 3.57
Total deposits booked in the United States and other countries 74,827 0.74 90,907 1.31 93,586 3.45
Total average deposits 241,963 0.98 252,565 1.60 248,239 2.96
Table 24: Unrealized Gains (Losses) on Available-for-Sale Securities ($ millions)
Unrealized gains (losses) (2)
As at October 31 Amortized cost Fair value (1) 2010 2009 2008 2007 2006
Canadian governments debt 16,074 16,396 322 146 30 – –
U.S. governments debt 9,622 9,915 293 70 32 8 (29)
Mortgage-backed securities – Canada 7,945 8,229 284 247 87 20 –
– United States 652 683 31 28 3 (6) (10)
Corporate debt 4,476 4,592 116 123 (255) (3) 3
Corporate equity 662 686 24 (6) (19) 26 90
Other governments debt 10,013 10,042 29 47 1 – 1
Total available-for-sale securities 49,444 50,543 1,099 655 (121) 45 55
(1) The scaling factor is applied to the risk-weighted assets amounts for credit risk under the AIRB Approach.
As at October 31, 2010, 2009 and 2008: deposits by foreign depositors in our Canadian bank
offices amounted to $14,129 million, $14,392 million and $14,781 million, respectively; total
deposits payable after notice included $24,340 million, $23,477 million and $22,203 million,
respectively, of chequing accounts that would have been classified as demand deposits under
U.S. reporting requirements; and total deposits payable on a fixed date included $15,844 million,
$16,994 million and $28,074 million, respectively, of federal funds purchased, commercial paper
issued and other deposit liabilities. These amounts would have been classified as short-term bor-
rowings for U.S. reporting purposes.
(1) Available-for-sale securities are reflected in the balance sheet at fair value. Unrealized gains (losses) are included in other comprehensive income.
(2) Unrealized gains (losses) may be offset by related losses (gains) on liabilities or hedge contracts.