Risk Review 2nd Quarter Mike Maila EVP Risk Management

Transcription

1 Risk Review 2nd Quarter 2001 Mike Maila EVP Risk Management

2 RISK REVIEW Credit Risk Highlights Diversification discipline is being maintained Performance is within expectations for current economic conditions Reserves are being strengthened further by:! an increase in the forecast provision for credit losses to $450MM for F2001! as a prudent measure, a $100MM increase in the general allowance to $1,180MM Market Risk remains stable 2

3 THEHE BANKANK CONTINUES TO HAVEAVE NO SIGNIFICANT SECTORAL CONCENTRATIONS OF CONCERN Outstanding Loans and BAs to Selected Industry Sectors (As at April 30, 2001) Industry Sector Q ($MM) % of Portfolio Gross Impaired ($MM) Media & Comm. 3, % 61 Utilities 1, % 200 Auto % 2 Healthcare % 32 Steel % 15 3

4 HE U.S. GROSSROSS IMPAIRED LOANSOANS HAVEAVE GROWNROWN MOREORE IN THE THANHAN IN CANADA,, REFLECTINGR A SLOWINGS U.S. ECONOMYE 2,000 $MM $1,653MM 1,500 1, Q1 01 Q2 01 Canada / Other US Total 4

5 GROSS IMPAIRED LOAN FORMATIONS REMAIN AT Q1 LEVEL AND WELL WITHIN HISTORICAL RANGE Basis Points Formations as a % of Loans & Acceptances 33 Bps Q Q

6 THEHE IMPAIRED PORTFOLIOIS ACTIVELY MANAGED USINGSING RESTRUCTURINGS AND, ND, WHEREHERE APPROPRIATE, LOANOAN SALESALES $MM Gross Impaired Loans Q ,702 New Formations In The Quarter 481 Reductions / Sales And Write-offs (530) Gross Impaired Loans Q ,653 6

7 TROUBLED CALIFORNIA UTILITIES REPRESENT THEHE MAJORAJOR PORTION OF NEWEW IMPAIRED LOANOAN FORMATIONS Gross Impaired Loan Formations in Q2: Transportation & Manufacturing Communication Other $35 $32 $481MM $55 $200 Utilities Service $39 $51 Financial $69 Construction 7

8 MOREOVER,, WEW CONTINUE TO HAVEAVE FEWEW NETET IMPAIRED ACCOUNTS GREATER THAN HAN $10MM Sector $MM # of Accounts Utilities Transportation Manufacturing 78 2 Energy 53 1 Service 51 3 Communications, Financial, Construction, and Wholesale Total Average Size 42 8

9 INCREASES IN THE 2001 PCL FORECAST AND THE GENERAL ALLOWANCE REFLECT CURRENT ECONOMIC CONDITIONS 1. Provision for Credit Losses (Cdn $MM) F1999 F2000 Actual Actual F2001 FCST Individual Commercial and Corporate Specific Provisions Transfer to General Allowance Total Before Non-recurring Items Non-Recurring Items: Reversal of Designated Country Reserve Increase in General Allowance 2. General Allowance TBD TBD (42) ,080 1,180 9

10 STRUCTURAL MARKETARKET RISKISK EXPOSURES REMAINEMAIN WITHIN A NARROW RANGEANGE ITHIN A N $MM Market Value Exposure (MVE) Earnings at Risk 100 (EAR) 2 $247 MM $51 MM 0 Q2 00 Q3 00 Q4 00 Q1 01 Q MVE = potential after tax impact on balance sheet values 2 EAR = potential impact on after tax earnings over the next 12 months 10

11 TRADING REVENUES WERE RELATIVELY STABLE IN Q /1 2/6 2/9 2/14 2/19 2/22 2/27 3/2 3/7 3/12 3/15 3/20 3/23 3/28 4/2 4/5 4/10 4/13 4/18 4/23 4/26 CAD $MM Net Trading Revenue Performance vs. VAR in Q Total P&L Total VaR 11

12 12 FORWARD LOOKING STATEMENTS From time to time we make written and verbal forward-looking statements. These may be included in this quarterly presentation, in filings with Canadian regulators or the U.S. Securities and Exchange Commission, in reports to shareholders and in other communications. These forward-looking statements include but are not limited to comments with respect to our objectives, targets, and strategies, financial condition, the results of our operations and our businesses, our outlook for the Canadian and U.S. economies and our risk management discussions. However, by their nature these forward-looking statements involve numerous assumptions, inherent risks and uncertainties, both general and specific, and the risk that predictions and other forward-looking statements will not be achieved. We caution readers of this presentation not to place undue reliance on these forward-looking statements as a number of important factors could cause actual future results to differ materially from the plans, objectives, expectations, estimates and intentions expressed in such forward-looking statements. Forward-looking statements may be influenced by the following factors: fluctuations in interest rates and currency values; regulatory developments; statutory changes, the effects of competition in the geographic and business areas in which we operate, including continued pricing pressure on loan and deposit products; and changes in political and economic conditions including, among other things, inflation and technological changes. We caution that the foregoing list of important factors is not exhaustive and that when relying on forward-looking statements to make decisions with respect to Bank of Montreal, investors and others should carefully consider the foregoing factors as well as other uncertainties and events.

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