Bank of Montreal 2008 Annual Report Download - page 105

Supplemental Information
BMO Financial Group 191st Annual Report 2008 | 101
Table 24: Unrealized Gains (Losses) on Securities, Other Than Trading ($ millions)
Unrealized gains (losses)(1)
As at October 31 Amortized cost Fair value 2008 2007 2006 2005 2004
Canadian governments debt 3,524 3,554 30 ––––
U.S. governments debt 10,331 10,363 32 8 (29) (23) –
Mortgage-backed securities –Canada 10,956 11,043 87 20–––
–United States 872 875 3 (6) (10) (7) 4
Corporate debt 5,896 5,641 (255) (3) 3 6 21
Corporate equity 2,539 2,520 (19) 26 90 20 60
Other governments debt 109 110 1 –111
Total securities, other than trading 34,227 34,106 (121) 45 55 (3) 86
(1) Unrealized gains (losses) may be offset by related losses (gains) on liabilities or hedge contracts.
Table 23: Average Deposits ($ millions, except as noted)
2008 2007 2006
Average Average Average Average Average Average
balance rate paid (%) balance rate paid (%) balance rate paid (%)
Deposits Booked in Canada
Demand deposits –interest bearing 11,544 1.83 9,400 2.94 7,934 2.18
Demand deposits –non-interest bearing 14,175 – 13,076 – 12,189 –
Payable after notice 38,112 1.83 36,255 2.32 35,678 1.91
Payable on a fixed date 90,822 3.53 80,220 3.66 74,649 3.17
Total deposits booked in Canada 154,653 2.66 138,951 2.92 130,450 2.47
Deposits Booked in the United States and Other Countries
U.S. demand deposits 10,044 2.36 8,675 3.84 8,644 2.98
Other U.S. deposits payable after notice or on a fixed date 54,139 3.37 46,277 4.40 34,206 3.64
Deposits booked in other countries 29,403 3.97 30,473 4.85 23,919 4.26
Total Average Deposits 248,239 2.96 224,376 3.52 197,219 2.91
As at October 31, 2008, 2007 and 2006: deposits by foreign depositors in our Canadian bank offices
amounted to
$14,781 million, $11,544 million and $9,320 million, respectively; total deposits payable
after notice included
$22,203 million, $21,477 million and $18,947 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 $28,074 million, $29,318 million and $24,513 million,
respectively, of federal funds purchased and commercial paper issued. These amounts would have
been classified as short-term borrowings for U.S. reporting purposes.
Table 22: Risk-Weighted Assets (RWA) ($ millions)
RWA
Exposure at Standardized Advanced
As at October 31, 2008 Default (EAD) Approach Approach Total
Credit Risk
Corporate
Corporate, including specialized lending 130,758 15,957 47,306 63,263
Corporate small and medium-sized enterprises 46,521 9,837 21,015 30,852
Sovereign 35,351 – 382 382
Bank 63,406 442 6,465 6,907
Retail
Residential mortgages 47,821 3,908 1,058 4,966
Home equity line of credit 25,922 3,338 966 4,304
Qualifying revolving retail 24,225 – 2,263 2,263
Other retail, excluding small and medium-sized enterprises 18,861 5,007 4,210 9,217
Retail small and medium-sized enterprises 2,586 – 920 920
Equity 1,518 – 1,282 1,282
Trading book 66,304 – 11,759 11,759
Securitization 50,015 – 6,717 6,717
Other credit risk assets –non-counterparty managed assets 84,177 – 14,524 14,524
Scaling factor for credit risk assets under AIRB (1) – – 6,260 6,260
Total Credit Risk 597,465 38,489 125,127 163,616
Market Risk 3,497 7,796 11,293
Operational Risk 16,699 – 16,699
Total Basel II Risk-Weighted Assets (2) 58,685 132,923 191,608
Basel I Risk-Weighted Assets 2007 (2) 178,687
Basel I Risk-Weighted Assets 2006 (2) 162,794
(1) The scaling factor is applied to the risk-weighted asset amounts for credit risk under the
AIRB Approach.
(2) Beginning in fiscal 2008, risk-weighted assets are calculated under the Basel II methodology,
whereas for all prior periods they are calculated using the Basel I methodology. Basel I and
Basel II risk-weighted asset amounts are not comparable, and should be considered for
reference purposes only.