Bank of Montreal 2010 Annual Report Download - page 125

Notes
BMO Financial Group 193rd Annual Report 2010 123
Total non-trading exposure at default by industry, as at October 31, 2010 and 2009, based on the Basel II classification is as follows:
Credit Exposure by Industry
Commitments Other off-balance Repo style
(Canadian $ in millions) Drawn (undrawn) OTC derivatives sheet items transactions Total
2010 2009 2010 2009 2010 2009 2010 2009 2010 2009 2010 2009
Financial institutions 41,799 28,404 9,167 9,662 22 – 2,642 3,063 37,669 48,312 91,299 89,560
Governments 31,020 30,024 1,397 1,136 – – 686 730 14,313 6,734 47,416 38,624
Manufacturing 6,829 8,017 5,629 6,455 33 – 1,085 1,417 – – 13,576 15,889
Real estate 13,682 13,309 967 956 – – 818 783 – – 15,467 15,048
Retail trade 5,915 5,250 2,349 2,371 1 – 476 505 – – 8,741 8,126
Service industries 12,239 12,808 3,729 4,116 39 – 2,268 2,224 67 206 18,342 19,354
Wholesale trade 4,351 4,063 2,089 2,102 12 – 466 741 – – 6,918 6,906
Oil and gas 3,439 4,426 4,823 4,533 – – 823 753 – – 9,085 9,712
Individual 101,270 91,379 35,511 25,796 31 – 1 1 – – 136,813 117,176
Others (1) 20,254 24,726 7,880 8,539 20 – 2,118 2,594 – – 30,272 35,859
Total exposure
at default 240,798 222,406 73,541 65,666 158 119 (2) 11,383 12,811 52,049 55,252 377,929 356,254
(1) Includes industries having a total exposure of less than 2%. (2) Exposure by industry not available for 2009.
Additional information about our credit risk exposure by geographic region and product category is provided in Note 4.
Credit Quality
We assign risk ratings based on probabilities as to whether counter parties
will default on their financial obligations to us. Our process for assigning
risk ratings is discussed in the text presented in a blue-tinted font
in the Enterprise-Wide Risk Management section of Management’s
Discussion and Analysis on page 81 of this report.
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
2010 2009 2010 2009 2010 2009
Risk profile (probability of default):
Exceptionally low (≤ 0.05%) 16,323 12,867 613 2,082 105 396
Very low (> 0.05% to ≤ 0.20%) 6,002 6,203 1,699 1,618 1,876 1,966
Low (> 0.20% to 0.75%) 9,731 8,860 2,566 1,592 6,479 5,460
Medium (> 0.75% to 7.00%) 4,814 4,177 2,526 1,729 5,027 4,514
High (> 7.00% to 99.99%) 261 300 481 303 339 186
Default (100%) 144 150 33 35 59 69
Total 37,275 32,557 7,918 7,359 13,885 12,591
(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
our customers have failed to make payments when contractually due,
Loans Past Due Not Impaired
(Canadian $ in millions) 1 to 29 days 30 to 89 days 90 days or more (1) Total
2010 2009 2010 2009 2010 2009 2010 2009
Residential mortgages 410 509 310 356 79 96 799 961
Credit card, consumer instalment and other
personal loans 2,514 1,692 410 377 107 104 3,031 2,173
Business and government loans 497 493 514 327 28 27 1,039 847
Customers’ liability under acceptances – – 142 – – – 142 –
Total 3,421 2,694 1,376 1,060 214 227 5,011 3,981
(1) Loans 90 days or more past due were $163 million, $58 million and $47 million as at October 31, 2008, 2007 and 2006, respectively.
Wholesale Credit Exposure by Risk Rating
Drawn Undrawn (1) 2010 2009
(Canadian $ in millions) Bank Corporate Sovereign Bank Corporate Sovereign Total exposure Total exposure
Investment grade 11,545 35,139 67,000 673 26,436 1,490 142,283 119,200
Non-investment grade 1,633 18,447 271 59 6,792 1 27,203 42,012
Watchlist 10 2,343 – – 678 – 3,031 2,666
Default 49 1,504 – – 123 – 1,676 2,541
Total 13,237 57,433 67,271 732 34,029 1,491 174,193 166,419
(1) Included in the undrawn amounts are uncommitted exposures of $12,645 million.
Based on the Basel II classifications, the following tables
present our retail and wholesale advanced internal ratings approach
credit exposure by risk rating on an adjusted exposure at default
basis as at October 31, 2010. Wholesale includes all loans that are
not classified as retail.
but for which we expect the full amount of principal and interest pay-
ments to be collected. The following table presents the loans that are
past due but not impaired as at October 31, 2010 and 2009: