Bank of Montreal 2013 Annual Report Download - page 64

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Enhanced Disclosure Task Force
On October 29, 2012, the Enhanced Disclosure Task Force (EDTF) of the Financial Stability Board published its first report, Enhancing the
Risk Disclosures of Banks. We support the recommendations issued by EDTF for the provision of high-quality, transparent risk disclosures.
Our 2012 Annual Report included certain of these disclosures required by the EDTF. We have enhanced our disclosures in the 2013 Annual
Report and Q4 2013 Supplementary Financial Information in light of these recommendations, and we expect to make further enhance-
ments to our disclosures in the future.
Disclosures related to EDTF recommendations are detailed below.
General
Present all risk-related information in the Annual Report,
Supplementary Financial Information and Supplementary
Regulatory Capital Disclosure, and provide an index for
easy navigation.
Annual Report: Risk-related information is presented in the Enterprise-
Wide Risk Management section on pages 77 to 99.
An index for the MD&A is provided on page 26. An index for the notes
to the financial statements is provided on page 130.
Supplementary Financial Information: An index is provided in
Supplementary Financial Information.
Define the bank’s risk terminology and risk measures and
present key parameters used.
Annual Report: Specific risk definitions and key parameters
underpinning BMO’s risk reporting are provided on pages 82 to 99.
A glossary of financial terms (including risk terminology) can be found
on pages 190 to 191.
Discusstopandemergingrisks forthe bank.
Annual Report: BMO’s top and emerging risks are discussed on
pages 78 to 79.
Outline plans to meet new key regulatory ratios once the
applicable rules are finalized.
Annual Report: We outline BMO’s plans to meet new regulatory ratios
on pages 63 (Leverage Ratio) and 94 (Net Stable Funding Ratio and
Liquidity Coverage Ratio).
Risk Governance
Summarize the bank’s risk management organization,
5 processes, and key functions.
Annual Report: BMO’s risk management organization, processes and
key functions are summarized on pages 79 to 82.
Describe the bank’s risk culture.
Annual Report: BMO’s risk culture is described on pages 80 to 81.
Describe key risks that arise from the bank’s business
model and activities.
Annual Report: A diagram of BMO’s risk exposure by operating
segment is provided on page 64.
Describe the use of stress testing within the bank’s risk
governance and capital frameworks.
Annual Report: BMO’s stress testing process is described on page 82.
Capital Adequacy and Risk-Weighted Assets (RWA)
9 Provide minimum Pillar 1 capital requirements.
Annual Report: Basel III Pillar 1 capital requirements are described on
page 62.
Supplementary Financial Information: Basel III regulatory capital is
disclosed on page 35.
10 Summarize information contained in the composition of
capital templates adopted by the Basel Committee.
Annual Report: An abridged version of the Basel III Regulatory Capital
template is provided on page 63.
Supplementary Financial Information: Basel III Pillar 3 disclosure is
provided on pages 35 to 37. A Main Features template can be found on
BMO’s website at www.bmo.com under Investor Relations and
Regulatory Filings.
11 Present a flow statement of movements in regulatory
capital, including changes in Common Equity Tier 1,
Additional Tier 1, and Tier 2 capital.
Supplementary Financial Information: Regulatory capital flow
statement is provided on page 39.
12 Discuss capital planning within a more general discussion
of management’s strategic planning.
Annual Report: BMO’s capital planning process is discussed under
Capital Management Framework on page 61.
13 Provide granular information to explain how RWA relate
to business activities.
Annual Report: A diagram of BMO’s risk exposure, including RWA by
operating segment, is provided on page 64.
14 Present a table showing the capital requirements for each
method used for calculating RWA.
Annual Report: Regulatory capital requirement, as a percentage of
RWA, is outlined on page 62.
Information about significant models used to determine RWA is
provided on pages 97 to 98.
Supplementary Financial Information: A table showing RWA by
model approaches and by risk type is provided on page 37.
15 Tabulate credit risk in the banking book for Basel
asset classes.
Supplementary Financial Information: Wholesale and retail credit
exposures by internal rating grades are provided on page 46.
16 Present a flow statement that reconciles movements in
RWA by credit risk and market risk.
Supplementary Financial Information: RWA flow statements are
provided on page 40.
17 Describe the bank’s Basel validation and back-testing
process.
Annual Report: BMO’s Basel validation and back-testing process is
described on pages 97 to 98 for credit risk and page 89 for market risk.
Supplementary Financial Information: A table showing Exposure at
Default and RWA by model approaches and asset class is provided on
page 37. A table showing estimated and actual loss parameters is
provided on page 48.
BMO Financial Group 196th Annual Report 2013 75
MD&A
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