T RADING P ERFORMANCE W AS P ROFITABLE A ND R ELATIVELY S TABLE I N - - PDF document

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T RADING P ERFORMANCE W AS P ROFITABLE A ND R ELATIVELY S TABLE I N - - PDF document

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Risk Review 4th Quarter 2001 Mike Maila EVP & Head of Risk Management C REDIT R ISK H IGHLIGHTS : F2001 Total Provision for Credit Losses (PCL) is $980MM including $880MM in Specific PCLs (the latter is equivalent to 60 basis

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SLIDE 1

Risk Review 4th Quarter 2001 Mike Maila EVP & Head of Risk Management

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CREDIT RISK HIGHLIGHTS:

  • F2001 Total Provision for Credit Losses (PCL) is

$980MM including $880MM in Specific PCL’s (the latter is equivalent to 60 basis points of the loan portfolio)

  • Loan portfolio performance remains within expected

range, given U.S. recession and slowdown in Canada

  • Disciplined underwriting and diversification standards

continue to result in modest exposure to sectors currently attracting attention

  • Specific PCL’s for F2002 are estimated at this time to

be in the range of 40 to 50 basis points of the loan portfolio

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SLIDE 2

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NO UNDUE CONCENTRATIONS OF EXPOSURE TO THE SECTORS MOST LIKELY TO BE AFFECTED BY:

  • The U.S. recession and the economic

slowdown in Canada

  • Border issues between Canada and the U.S.

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NO SINGLE SECTOR REPRESENTS A LARGE PROPORTION OF THE IMPAIRED LOAN PORTFOLIO

Gross Impaired Loans by Industry Sector (% of Total as at October 31, 2001)

Forestry Steel Other Manufacturing [104 sub-sectors] Mining Energy Service Industries Telecom Transportation Utilities Wholesale Trade Retail Trade Other Construction Fabricated Metals Minerals & Chemicals Individuals Financial Institutions Real Estate Food, Beverage & Tobacco Commercial Mortgages Broadcasting, Advertising and Media

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SLIDE 3

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SLOWDOWN HAS PRIMARILY AFFECTED THE U.S. CORPORATE/COMMERCIAL AS WELL AS THE CANADIAN CORPORATE PORTFOLIO

Specific PCL Breakdown by Portfolio Segments

880 290 Total Specific Provisions 206 176

Sub-total

70 63

Canadian Commercial

136 113

Individual (Canada and U.S.)

Segments Not As Affected 674 114

Sub-total

180 82

Canadian/Int’l Corporate

41 16

U.S. Commercial

453 16

U.S. Corporate

Segments Most Affected

F2001 F2000

(Canadian $MM)

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MARKET AND EQUITY RISK HIGHLIGHTS

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SLIDE 4

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STRUCTURAL MARKET RISK EXPOSURES REMAIN WITHIN EXPECTED RANGES

1 MVE = potential after tax impact on balance sheet values 2 EAR = potential impact on after tax earnings over the next 12 months

100 200 300 400 Q2 00 Q3 00 Q4 00 Q1 01 Q2 01 Q3 01 Q4 2001

$80 MM $233 MM

$MM

Market Value Exposure (MVE)1 Earnings at Risk (EAR)2

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TRADING PERFORMANCE WAS PROFITABLE AND RELATIVELY STABLE IN Q4

  • 40
  • 30
  • 20
  • 10

10 20 30 40 8/1 8/3 8/8 8/10 8/14 8/16 8/20 8/22 8/24 8/28 8/30 9/4 9/6 9/10 9/13 9/17 9/19 9/21 9/25 9/27 10/1 10/3 10/5 10/10 10/12 10/16 10/18 10/22 10/24 10/26 10/30

Total P&L Total VaR

CAD 000s

Q4 Trading Revenue vs. VaR

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SLIDE 5

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EQUITY INVESTMENTS AND INVESTMENT PORTFOLIOS ARE WELL DIVERSIFIED

CDN $MM As at Oct 31/01

* Excluding subsidiaries, affiliates & joint ventures

91 Common Equity Portfolio 107 CBO Equity 181 Venture Capital 381 Merchant Banking Book Value Major Equity Investments and Investment Portfolios*

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APPENDIX

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SLIDE 6

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Industry Sector (Cdn. $MM) Outstandings % of Portfolio Gross Impaired Manufacturing Food, Beverage & Tobacco 2,406 1.6 19 Minerals & Chemicals 1,195 0.8 12 Fabricated Metals 1,614 1.1 54 Forestry (Exc. Softwood Lumber) 634 0.4 42

Softwood Lumber 466 0.3 6

Auto (incl. Parts/Suppliers) 836 0.6 3 Steel 354 0.2 112 Aircraft Manufacturing 200 0.1 1 Other Manufacturing * 5,360 3.6 230 Total Manufacturing 13,065 8.9 479

* Consisting of 104 sub-sectors

OUTSTANDING GROSS LOANS AND BAS TO SELECTED INDUSTRY SECTORS

(Total Portfolio $147Bn as at October 31, 2001) 12

Industry Sector (Cdn. $MM) Outstandings % of Portfolio Gross Impaired Retail Trade 3,240 2.2 179 Wholesale Trade 2,992 2.0 127 Transportation 2,389 1.6 244

Airline Transportation 125 0.1 33

Utilities 1,609 1.1 173 P&C Insurance 1,263 0.9 13 Auto Rentals 680 0.5 3 Hotel and Tour Operators 270 0.2 3

OUTSTANDING GROSS LOANS AND BAS TO SELECTED INDUSTRY SECTORS

(Total Portfolio $147Bn as at October 31, 2001)

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SLIDE 7

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Industry Sector Outstandings % of Portfolio Gross Impaired Telecom Cable 1,157 0.8 Regulated Telecom 439 0.3 1 Wireless 301 0.2 13 Long Haul Fibre Optics 300 0.2 61 Other Telecom 225 0.2 12 CLECs 44 0.0 11 Total Telecom 2,466 1.7 98

OUTSTANDING GROSS LOANS AND BAS TO SELECTED INDUSTRY SECTORS

(Total Portfolio $147Bn as at October 31, 2001) 14

Industry Sector (Cdn. $MM) Outstandings % of Portfolio Gross Impaired Broadcasting, Advertising and Media Broadcasting 841 0.6 40 Advertising 790 0.5 Media and Other 154 0.1 1 Total 1,785 1.2 41

OUTSTANDING GROSS LOANS AND BAS TO SELECTED INDUSTRY SECTORS

(Total Portfolio $147Bn as at October 31, 2001)