Bank of Montreal 2012 Annual Report Download - page 118

Supplemental Information
Table 25: Risk-Weighted Assets ($ millions)
Risk-weighted assets Risk-weighted assets
As at October 31
Exposure
at Default
Standardized
Approach
Advanced
Approach (2)
2012
Total
Exposure
at Default
Standardized
Approach
Advanced
Approach
2011
Total
Credit Risk
Wholesale
Corporate, including specialized lending 145,802 26,563 44,278 70,841 129,111 30,756 36,894 67,650
Corporate small and medium-sized enterprises 46,541 – 22,120 22,120 45,538 760 23,650 24,410
Sovereign 59,691 – 645 645 68,239 – 668 668
Bank 53,318 2 4,851 4,853 40,179 4 4,976 4,980
Retail
Residential mortgages, excluding home equity line of credit 78,113 2,966 5,612 8,578 52,450 2,631 6,267 8,898
Home equity line of credit 42,320 1,317 6,408 7,725 46,534 1,600 6,881 8,481
Qualifying revolving retail 42,204 – 5,622 5,622 39,301 – 5,410 5,410
Other retail, excluding small and medium-sized enterprises 24,520 2,372 9,141 11,513 23,418 1,935 9,469 11,404
Retail small and medium-sized enterprises 3,159 79 1,056 1,135 1,515 93 843 936
Equity 1,942 – 1,359 1,359 1,736 – 1,098 1,098
Trading book 69,340 223 6,109 6,332 67,340 55 6,804 6,859
Securitization 29,454 – 6,796 6,796 38,267 – 13,565 13,565
Other credit risk assets – non-counterparty managed assets 72,700 – 17,596 17,596 81,097 – 17,742 17,742
Scaling factor for credit risk assets under AIRB Approach (1) – – 6,840 6,840 – – 6,991 6,991
Total Credit Risk 669,104 33,522 138,433 171,955 634,725 37,834 141,258 179,092
Market Risk 2,263 5,335 7,598 2,013 2,958 4,971
Operational Risk 25,677 – 25,677 24,609 – 24,609
Total Basel II Risk-Weighted Assets 61,462 143,768 205,230 64,456 144,216 208,672
(1) The scaling factor is applied to the risk-weighted assets amounts for credit risk under the AIRB Approach.
(2) The AIRB Approach RWA for BMO Harris Bank is adjusted to a transitional floor based on the Standardized Approach.
Table 26: Average Deposits ($ millions, except as noted)
2012 2011 2010
Average
balance
Average
rate paid (%)
Average
balance
Average
rate paid (%)
Average
balance
Average
rate paid (%)
Deposits Booked in Canada
Demand deposits – interest bearing 19,146 0.44 17,489 0.41 15,331 0.24
Demand deposits – non-interest bearing 23,343 – 21,620 – 19,213 –
Payable after notice 56,262 0.60 49,282 0.53 45,384 0.29
Payable on a fixed date 92,314 1.24 89,469 1.90 87,208 1.88
Total deposits booked in Canada 191,065 0.82 177,860 1.14 167,136 1.08
Deposits Booked in the United States and Other Countries
Banks located in the United States and other countries 9,213 0.60 8,619 0.53 8,022 0.98
Governments and institutions in the United States and other countries 8,381 0.35 9,909 0.54 8,862 0.51
Other demand deposits 7,546 0.02 4,497 0.03 3,114 0.03
Other deposits payable after notice or on a fixed date 105,212 0.51 70,874 0.73 54,829 0.78
Total deposits booked in the United States and other countries 130,352 0.47 93,899 0.66 74,827 0.74
Total average deposits 321,417 0.68 271,759 0.98 241,963 0.98
2010 based on CGAAP.
As at October 31, 2012, 2011 and 2010: deposits by foreign depositors in our Canadian bank offices amounted to $24,639 million, $18,237 million and $14,129 million, respectively; total deposits payable
after notice included $24,607 million, $24,995 million and $24,340 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 $16,630 million, $17,365 million and $15,844 million, respectively, of federal funds purchased, commercial paper issued and other deposit liabilities.
These amounts would have been classified as short-term borrowings for U.S. reporting purposes.
Table 27: Unrealized Gains (Losses) on Available-for-Sale Securities ($ millions)
Unrealized gains (losses) (2)
As at October 31 Amortized cost Fair value (1) 2012 2011 2010 2009 2008
Canadian governments debt 19,692 19,957 265 441 322 146 30
U.S. governments debt 13,781 13,946 165 246 293 70 32
Mortgage-backed securities – Canada 432 435 3 18 284 247 87
Mortgage backed securities – United States 6,324 6,388 64 104 31 28 3
Corporate debt 7,724 7,875 151 41 116 123 (255)
Corporate equity 1,129 1,185 56 70 24 (6) (19)
Other governments debt 6,591 6,596 5 529471
Total available-for-sale securities 55,673 56,382 709 925 1,099 655 (121)
2010 and prior based on CGAAP.
(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.
BMO Financial Group 195th Annual Report 2012 115