Bank of Montreal 2013 Annual Report Download - page 110

Mortgage backed securities
Table 24: Risk-Weighted Assets ($ millions)
Basel III Basel II
Exposure at Default Risk-weighted assets Risk-weighted assets
Standardized Advanced 2013 Standardized Advanced 2013 Exposure Standardized Advanced 2012
As at October 31 Approach Approach (2) Total Approach Approach Total at Default Approach Approach (2) Total
Credit Risk
Wholesale
Corporate, including specialized
lending 15,501 141,345 156,846 16,559 62,112 78,671 145,802 26,563 44,278 70,841
Corporate small and
medium-sized enterprises – 57,406 57,406 – 26,594 26,594 46,541 – 22,120 22,120
Sovereign 67 67,810 67,877 – 904 904 59,691 – 645 645
Bank 219 29,825 30,044 44 4,404 4,448 53,318 2 4,851 4,853
Retail
Residential mortgages, excluding
home equity line of credit 4,163 84,434 88,597 2,225 6,486 8,711 78,113 2,966 5,612 8,578
Home equity line of credit 1,532 41,291 42,823 841 5,738 6,579 42,320 1,317 6,408 7,725
Qualifying revolving retail – 33,314 33,314 – 4,580 4,580 42,204 – 5,622 5,622
Other retail, excluding small and
medium-sized enterprises 3,206 23,962 27,168 2,097 10,313 12,410 24,520 2,372 9,141 11,513
Retail small and medium-sized
enterprises 337 3,220 3,557 266 1,269 1,535 3,159 79 1,056 1,135
Equity – 1,887 1,887 – 1,366 1,366 1,942 – 1,359 1,359
Trading book 58 72,239 72,297 50 6,087 6,137 69,340 223 6,109 6,332
Securitization – 22,407 22,407 – 4,598 4,598 29,454 – 6,796 6,796
Other credit risk assets – non-
counterparty managed assets – 73,229 73,229 – 14,822 14,822 72,700 – 17,596 17,596
Scaling factor for credit risk assets under
AIRB Approach (1) – – – – 7,934 7,934 – – 6,840 6,840
Total Credit Risk 25,083 652,369 677,452 22,082 157,207 179,289 669,104 33,522 138,433 171,955
Market Risk 2,358 6,796 9,154 2,263 5,335 7,598
Operational Risk 26,651 – 26,651 25,677 – 25,677
Total Risk-Weighted Assets 51,091 164,003 215,094 61,462 143,768 205,230
(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 25: Average Deposits ($ millions, except as noted)
2013 2012 2011
Average Average Average Average Average Average
balance rate paid (%) balance rate paid (%) balance rate paid (%)
Deposits Booked in Canada
Demand deposits – interest bearing 16,050 0.47 15,292 0.44 17,489 0.41
Demand deposits – non-interest bearing 24,365 – 23,343 – 21,620 –
Payable after notice 71,820 0.68 60,116 0.61 49,282 0.53
Payable on a fixed date 98,631 1.56 92,314 1.65 89,469 1.90
Total deposits booked in Canada 210,866 1.00 191,065 1.02 177,860 1.14
Deposits Booked in the United States and Other Countries
Banks located in the United States and other countries 9,308 0.71 9,213 0.58 8,619 0.53
Governments and institutions in the United States and other countries 9,283 0.42 8,381 0.35 9,909 0.54
Other demand deposits 9,305 0.03 7,546 0.02 4,497 0.03
Other deposits payable after notice or on a fixed date 117,446 0.36 105,212 0.51 70,874 0.79
Total deposits booked in the United States and other countries 145,342 0.37 130,352 0.48 93,899 0.70
Total average deposits 356,208 0.74 321,417 0.80 271,759 0.99
As at October 31, 2013, 2012 and 2011: deposits by foreign depositors in our Canadian bank offices amounted to $25,563 million, $24,693 million and $18,237 million, respectively; total deposits payable
after notice included $31,700 million, $24,607 million and $24,995 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 $21,953 million, $16,630 million and $17,365 million, respectively, of federal funds purchased, commercial paper issued and other deposit liabilities. These
amounts would have been classified as short-term borrowings for U.S. reporting purposes.
Table 26: Unrealized Gains (Losses) on Available-for-Sale Securities ($ millions)
Unrealized gains (losses) (2)
As at October 31 Amortized cost Fair value (1) 2013 2012 2011 2010 2009
Canadian governments debt 16,696 16,813 117 265 441 322 146
U.S. governments debt 10,013 10,052 39 165 246 293 70
Mortgage-backed securities – Canada 2,271 2,277 6 3 18 284 247
– United States 6,535 6,528 (7) 64 104 31 28
Corporate debt 9,569 9,676 107 151 41 116 123
Corporate equity 1,411 1,558 147 56 70 24 (6)
Other governments debt 6,165 6,163 (2) 5 5 29 47
Supplemental Information
Total available-for-sale securities 52,660 53,067 407 709 925 1,099 655
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 196th Annual Report 2013 121