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MD&A
MANAGEMENT’S DISCUSSION AND ANALYSIS
Daily revenues Total Trading and Underwriting MVE Interest rate VaR (AFS)
Trading and Underwriting Net Revenues versus Market Value Exposure
November 1, 2011 to October 31, 2012 ($ millions)
(30)
(10)
10
30
50
Nov 01
J
an 30
A
p
r 25
J
u
l
20
Oct 17
(1) (3)
(4)
(5) (6)
(2)
(1) November 28 – $37.5 million which primarily reflects normal trading and credit valuation adjustments.
(2) December 8 – ($20.8) million which primarily reflects normal trading and credit valuation adjustments.
(3) January 31 – $39.7 million which primarily reflects normal trading, valuation adjustments and underwriting.
(4) February 29 – $43.7 million which reflects normal trading, valuation adjustments including credit and underwriting.
(5) June 29 – $36.5 million which primarily reflects normal trading and underwriting.
(6) October 23 – $37.8 million which primarily reflects normal trading activity.
MVE Risk Factors
November 1, 2011 to October 31, 2012 ($ millions)
Interest rate VaR (mark-to-market)
Foreign exchange VaR Commodity VaR
Issuer risk Equity VaR
Interest rate VaR (AFS)
(25)
(20)
(15)
(10)
(5)
0
1 Nov
30 Nov
31 Dec
31 Jan
29 Feb
31 Mar
30 Apr
31 May
30 Jun
31 Jul
31 Aug
30 Sep
31 Oct
84 BMO Financial Group 195th Annual Report 2012