Bank of Montreal 2008 Annual Report Download - page 120

Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
116 | BMO Financial Group 191st Annual Report 2008
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
Risk profile (probability of default):
Low(>0%to0.75%) $ 23,681 $ 5,321 $ 9,601
Medium (> 0.75% to 7.00%) 1,782 1,170 2,410
High (> 7.00% to 99.99%) 664 190 135
Default (100%) 92 27 41
Total $ 26,219 $ 6,708 $ 12,187
(1) Qualifying revolving retail includes exposures to individuals that are revolving, unsecured and uncommitted up to a maximum amount of $125,000 toasingleindividual.
Loans Past Due Not Impaired
1 to 29 30 to 89 90 days
(Canadian $ in millions) days days or more Total
Residential mortgages $ 396 $ 319 $ 48 $ 763
Credit card, consumer instalment and other personal loans 1,454 284 65 1,803
Business and government loans 1,869 1,162 50 3,081
Customers’ liability under acceptances – 151 – 151
Total $ 3,719 $ 1,916 $ 163 $ 5,798
Loan Maturities and Rate Sensitivity
The following table provides gross loans and acceptances by contractual maturity and by country of ultimate risk:
Due in one Due in one Due after 2008 2007
(Canadian $ in millions) year or less to five years five years Total Total
Canada
Consumer $ 19,044 $ 44,924 $ 6,175 $ 70,143 $ 72,533
Commercial and corporate (excluding real estate) 29,602 14,946 1,929 46,477 63,277
Commercial real estate 18,753 3,021 1,455 23,229 9,955
United States 17,590 27,677 19,708 64,975 51,634
Other countries 5,469 6,217 232 11,918 4,844
Total $ 90,458 $ 96,785 $ 29,499 $ 216,742 $ 202,243
Our total non-trading exposure at default by industry, as at October 31, 2008, based on the Basel II classification is as follows:
LoansPastDueNotImpaired
Loans that are past due but not classified as impaired are loans where
our customers have failed to make payments when contractually due,
but for which management expects that the full amount of principal
and interest payments will be collected. The following table presents
loans that are past due not impaired as at October 31, 2008:
Credit Exposure by Industry Other
Commitments OTC off-balance Repo style
(Canadian $ in millions) Drawn (undrawn) derivatives sheet items transactions Total
Financial institutions $ 41,808 $ 16,024 $ 133 $ 5,348 $ 64,282 $ 127,595
Government 11,142 1,458 – 301 5,159 18,060
Manufacturing 10,186 6,787 – 2,045 – 19,018
Real estate 14,613 1,561 – 1,508 – 17,682
Retail trade 5,302 2,432 – 588 – 8,322
Service industries 17,282 3,565 – 2,424 453 23,724
Wholesale trade 4,462 2,005 – 343 – 6,810
Oil and gas 6,207 4,600 – 692 – 11,499
Individual 91,602 26,936 – 2 – 118,540
Others (1) 31,640 8,570 67 3,924 – 44,201
Total exposure at default $ 234,244 $ 73,938 $ 200 $ 17,175 $ 69,894 $ 395,451
(1) Includes industries having a total exposure of less than 2%.
Additional information about our credit risk exposure for loans by geographic region and counterparty is provided in Note 4.
Credit Quality
We assign risk ratings based on probabilities as to whether counterparties
will default on their financial obligations to us. Our process for
assigning risk ratings is discussed in the text identified in a blue-tinted
font in Management’s Discussion and Analysis on page 76 of
this report.
Based on Basel II classifications, the following tables present
our
retail and wholesale credit exposure by risk rating on an adjusted
exposure at default basis as at October 31, 2008.
Wholesale includes
all loans that are not classified as retail.
Wholesale Credit Exposure by Risk Rating
Total
(Canadian $ in millions) Drawn Undrawn (1) exposure
Investment grade $ 96,354 $ 34,536 $ 130,890
Non-investment grade 35,794 7,898 43,692
Watchlist 1,735 495 2,230
Default 1,503 72 1,575
Total $ 135,386 $ 43,001 $ 178,387
(1) Included in the undrawn amounts are uncommitted exposures of $16,329 million.