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Details of the summary amounts reflected in the columns above are provided in Tables 17 to 19.
As at October 31, 2012 Repo-Style Lending (1) Securities (2) Trans. (3) ---------------------------------------------------Country Commitments Funded Gross Net Gross Net----------------------------------------------------------------------------Total - GIIPS 116 69 500 - 242 8----------------------------------------------------------------------------Total - Eurozone (excluding GIIPS) (7) 934 608 4,074 3,306 3,746 10----------------------------------------------------------------------------Total - Rest of Europe 1,167 916 3,711 2,771 3,986 15----------------------------------------------------------------------------Total - All of Europe 2,217 1,593 8,285 6,077 7,974 33----------------------------------------------------------------------------As at October 31, 2012 Derivatives (4) Total -----------------------------------Country Gross Net Gross Net------------------------------------------------------------Total - GIIPS 69 6 927 83------------------------------------------------------------Total - Eurozone (excluding GIIPS) (7) 600 76 9,354 4,000------------------------------------------------------------Total - Rest of Europe 468 126 9,332 3,828------------------------------------------------------------Total - All of Europe 1,137 208 19,613 7,911------------------------------------------------------------(1) Lending includes loans and trade finance. Amounts are net of write-offs and gross of specific allowances, both of which are not considered material.(2) Securities include cash products, insurance investments and traded credit. Gross traded credit includes only the long positions and excludes offsetting short positions.(3) Repo-style transactions are all with bank counterparties.(4) Derivatives amounts are marked-to-market, incorporating transaction netting and, for counterparties where a Credit Support Annex is in effect, collateral offsets. Derivative replacement risk net of collateral for all of Europe is approximately $2.8 billion.(5) Does not include Irish subsidiary reserves we are required to maintain with the Irish Central Bank of $85 million.(6) Includes countries with less than $500 million in gross exposure. Other Eurozone includes exposures to Austria, Belgium, Finland, Luxembourg, Slovakia and Slovenia. Other Rest of Europe includes exposures to Croatia, Czech Republic, Hungary, Iceland, Poland and the Russian Federation.(7) BMO's direct exposures to GIIPS are primarily to banks for trade finance and trading products. Net exposures remain modest at $81 million, with no unfunded commitments.(8) Sovereign includes sovereign-backed bank cash products.(9) Our net direct exposure to the other Eurozone countries (the other 12 countries that share the common euro currency) totalled approximately $3.7 billion, of which 76% was to counterparties in countries with a rating of Aaa/AAA by both Moody's and S&P, with approximately 84% rated Aaa/AAA by one of the two rating agencies. Our net direct exposure to the rest of Europe totalled approximately $4.1 billion, of which 92% was to counterparties in countries with a Moody's/S&P rating of Aaa/AAA. A significant majority of our sovereign exposure consists of tradeable cash products, while exposure related to banks was comprised of trading instruments, short-term debt, derivative positions and letters of credit and guarantees.(10) Other Exposures (including indirect exposures) not included in the table above as at January 31, 2013:-- BMO also has exposure to entities in a number of European countries through our credit protection vehicle, U.S customer securitization vehicle and structured investment vehicle. These exposures are not included in the tables due to the credit protection incorporated in their structures. -- BMO has direct exposure to those credit structures, which in turn have exposures to loans or securities originated by entities in Europe. As noted on pages 65 and 66 of BMO's 2012 annual MD&A in the Credit Protection Vehicle and Structured Investment Vehicle sections, these structures all have first-loss protection and hedges are in place for our credit protection vehicle. -- The notional exposure held in the credit protection vehicle to issuers in Greece, Italy and Spain represented 0.6%, 0.9% and 1.1%, respectively, of its total notional exposure. The credit protection vehicle had notional exposure to seven of the other 12 countries that share the euro currency. This exposure represented 11.2% of total notional exposure, of which 82.4% was rated investment grade by S&P (71.4% by Moody's). The notional exposure to the rest of Europe was 13.0% of total notional exposure, with 66.9% rated investment grade by S&P (61.1% by Moody's). BMO is well protected as a result of both first-loss protection and hedges that are in place. -- BMO has exposure to GIIPS and other European countries through our U.S. customer securitization vehicle, which has commitments that involve reliance on collateral of which 0.98% represents loans or securities originated by entities in Europe. At quarter end, exposure to Germany was the largest component at 0.25%. Exposure to Spain was approximately 0.11%, and there was no exposure to Italy, Ireland, Greece or Portugal. -- The structured investment vehicle's par value exposure to entities in European countries totalled $471 million at January 31, 2013, of which $0.1 million was exposure to GIIPS, $204 million to the other Eurozone countries and $267 million to the rest of Europe. The largest exposures included the United Kingdom at $213 million and the Netherlands at $114 million. These amounts included exposure through collateralized bond obligation (CBO) and collateralized loan obligation (CLO) investments and residential mortgage-backed securities, which have credit exposures to borrowers or issuers operating in Europe.-- BMO has exposure to European supranational institutions totalling $0.5 billion, predominantly in the form of tradeable cash products.-- BMO's indirect exposure to Europe in the form of euro-denominated collateral to support trading activity was EUR880 million in securities issued by entities in European countries, of which EUR2 million was held in securities related to GIIPS and EUR282 million was in German securities. In addition, EUR281 million of cash collateral was also held at January 31, 2013.-- Indirect exposure by way of guarantees from entities in European countries totalled $421 million, of which $3 million was exposure to GIIPS, $198 million to the other Eurozone countries and $221 million to the rest of Europe.----------------------------------------------------------------------------European Lending Exposure by Country and Counterparty (Canadian $ in millions) (10) Table 17----------------------------------------------------------------------------As at January 31, 2013 Lending (1) ----------------------------------------------------------------- Commitments Funded -------------------------------- --------------------------------Country Bank Corporate Sovereign Total Bank Corporate Sovereign Total------------------------------------------- --------------------------------GIIPSGreece 2 - - 2 2 - - 2Ireland (5) - - - - - - - -Italy 2 - - 2 2 - - 2Portugal - - - - - - - -Spain 68 - - 68 68 - - 68----------------------------------------------------------------------------Total - GIIPS 72 - - 72 72 - - 72----------------------------------------------------------------------------Eurozone (excluding GIIPS)France 20 - - 20 20 - - 20Germany 13 42 - 55 13 5 - 18Netherlands 39 199 - 238 39 134 - 173Other (6) 314 52 - 366 209 48 - 257----------------------------------------------------------------------------Total - Eurozone (excluding GIIPS) 386 293 - 679 281 187 - 468----------------------------------------------------------------------------Rest of EuropeDenmark 1 - - 1 1 - - 1Norway 15 - - 15 15 - - 15Sweden 23 65 - 88 23 2 - 25Switzerland 16 381 - 397 16 372 - 388United Kingdom 89 322 - 411 89 96 - 185Other (6) 313 - - 313 313 - - 313----------------------------------------------------------------------------Total - Rest of Europe 457 768 - 1,225 457 470 - 927----------------------------------------------------------------------------Total - All of Europe 915 1,061 - 1,976 810 657 - 1,467----------------------------------------------------------------------------
