Bank of Montreal 2013 Annual Report Download - page 132

Wholesale Credit Exposure by Risk Rating
(Canadian $ in millions) Drawn Undrawn (1) 2013
Total
2012
Total
Bank Corporate Sovereign Bank Corporate Sovereign exposure exposure
Investment grade 19,987 72,930 91,288 2,252 42,606 1,595 230,658 196,679
Non-investment grade 3,816 32,841 122 149 14,717 14 51,659 35,838
Watchlist 12 2,001 8 4 445 – 2,470 2,470
Default 39 1,942 – – 105 – 2,086 1,600
Total 23,854 109,714 91,418 2,405 57,873 1,609 286,873 236,587
(1) Included in the undrawn amounts are uncommitted exposures of $23,662 million in 2013 ($15,374 million in 2012).
Retail Credit Drawn Exposure by Portfolio and Risk Rating Residential mortgages and Other retail and retail small
(Canadian $ in millions) home equity lines of credit Qualifying revolving retail (1) and medium-sized enterprises
2013 2012 2013 2012 2013 2012
Risk profile (probability of default):
Exceptionally Low (≤ 0.05%) 983 997 320 634 71 60
Very low (> 0.05% to 0.20%) 47,622 34,347 1,711 1,822 7,521 6,296
Low (> 0.20% to 0.75%) 11,216 14,623 2,578 2,656 7,995 7,435
Medium (> 0.75% to 7.00%) 8,925 10,896 2,073 2,649 7,255 6,031
High (> 7.00% to 99.99%) 3,503 958 293 448 294 364
Default (100%) 829 756 36 32 86 69
Total 73,078 62,577 7,011 8,241 23,222 20,255
(1) Qualifying revolving retail includes exposures to individuals that are revolving, unsecured and uncommitted up to a maximum amount of $125,000 to a single individual.
Loans Past Due Not Impaired
Loans that are past due but not classified as impaired are loans where payments to be collected. The following table presents the loans that
our customers have failed to make payments when contractually due, are past due but not classified as impaired as at October 31, 2013
but for which we expect the full amount of principal and interest and 2012:
Loans Past Due Not Impaired
(Canadian $ in millions) 1 to 29 days 30 to 89 days 90 days or more Total
2013 2012 2013 2012 2013 2012 2013 2012
Residential mortgages (1) 641 543 524 505 65 124 1,230 1,172
Credit card, consumer instalment and other personal loans 1,747 1,535 434 407 95 104 2,276 2,046
Business and government loans 805 1,009 294 800 183 511 1,282 2,320
Customers' liability under acceptances – – 59 – – – 59 –
Total 3,193 3,087 1,311 1,712 343 739 4,847 5,538
(1) The percentage of loans 90 days or more past due but not impaired, that were guaranteed by the Government of Canada is 5% for 2013 and 3% for 2012.
Loan Maturities and Rate Sensitivity
The following table provides gross loans and acceptances by contractual maturity and by country of ultimate risk:
Over 1 year
(Canadian $ in millions) 1 year or less to 5 years Over 5 years Total
2013 2012 2013 2012 2013 2012 2013 2012
Canada
Consumer 46,552 38,172 91,653 87,924 7,106 5,980 145,311 132,076
Commercial and corporate (excluding real estate) 36,744 36,892 10,572 6,898 1,356 1,751 48,672 45,541
Commercial real estate 5,405 4,685 4,540 3,850 778 678 10,723 9,213
United States 19,065 21,193 34,998 30,595 14,639 12,181 68,702 63,969
Other countries 6,758 4,168 594 574 – – 7,352 4,742
Total 114,524 105,110 142,357 129,841 23,879 20,590 280,760 255,541
Certain comparative figures have been reclassified to conform with the current year’s presentation.
The following table analyzes net loans and acceptances by interest
rate sensitivity:
(Canadian $ in millions) 2013 2012
Fixed rate 139,832 114,607
Floating rate 130,797 131,214
Non-interest sensitive (1) 8,466 8,014
Total 279,095 253,835
(1) Non-interest sensitive loans and acceptances include customers’ liability under acceptances.
Certain comparative figures have been reclassified to conform with the current year’s
presentation.
Market Risk
Market risk is the potential for adverse changes in the value of our assets
and liabilities resulting from changes in market variables such as interest
rates, foreign exchange rates, equity and commodity prices and their
implied volatilities, and credit spreads, as well as the risk of credit migration
and default. We incur market risk in our trading and underwriting activities
and in the management of structural market risk in our banking and
insurance activities.
Our market risk management practices and key measures are
outlined in the text and tables presented in a blue-tinted font in the
Enterprise-Wide Risk Management section of Management’s Discussion
and Analysis on pages 87 to 91 of this report.
Notes
BMO Financial Group 196th Annual Report 2013 143