Bank of Montreal 2013 Annual Report Download - page 65

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MANAGEMENT’S DISCUSSION AND ANALYSIS
Liquidity Credit Risk
MD&A
Describe how the bank manages its potential liquidity
18 needs and the liquidity reserve held to meet those needs.
Annual Report: BMO’s potential liquidity needs and the liquidity
reserve held to meet those needs are described on pages 93 to 94.
The composition of BMO’s liquidity reserve is reflected in the
unencumbered liquid asset positions in the Asset Encumbrance table on
page 107.
Funding
19 Summarize encumbered and unencumbered assets in a
table by balance sheet category.
Annual Report: An Asset Encumbrance table is provided on page 107.
Additional collateral requirement in the event of downgrades by rating
agencies is disclosed in Note 10 on page 150 of the financial
statements.
Supplementary Financial Information: The Asset Encumbrance table
by currency is provided on page 34.
20 Tabulate consolidated total assets, liabilities and
off-balance sheet commitments by remaining contractual
maturity.
Annual Report: A Contractual Maturity table is presented in Note 30 on
pages 185 to 188 of the financial statements.
21 Discuss the bank’s sources of funding and describe the
bank’s funding strategy.
Annual Report: BMO’s sources of funding and funding strategy are
described on pages 92 to 93.
A table showing the composition and maturity of wholesale funding is
provided on page 93.
Market Risk
Provide a breakdown of balance sheet positions into
22 trading and non-trading market risk measures.
Annual Report: A table linking balance sheet items to market risk
measures is provided on page 88.
Provide qualitative and quantitative breakdowns of
23 significant trading and non-trading market risk factors.
Annual Report: Trading market risk exposures are described and
quantified on pages 87 to 90.
Structural market risk exposures are described and quantified on
page 91.
Describe significant market risk measurement model
24 validation procedures and back-testing and how these are
used to enhance the parameters of the model.
Annual Report: Market risk measurement model validation procedures
and back-testing are described on page 89 for trading market risk, and
page 91 for structural market risk.
Describe the primary risk management techniques
25 employed by the bank to measure and assess the risk of
loss beyond reported risk measures.
Annual Report: The use of stress testing, scenario analysis and
stressed VaR for market risk management is described on
pages 87 to 91.
Provide information about the bank’s credit risk profile.
26
Annual Report: Information about BMO’s credit risk profile is provided
on pages 84 to 85 and in Notes 4 and 6 on pages 137 to 141 and
142 to 144 of the financial statements, respectively.
Describe the bank’s policies related to impaired loans and
27 renegotiated loans.
Annual Report: Impaired and renegotiated loan policies are described
in Note 4 on pages 138 and 140 of the financial statements.
Provide reconciliations of impaired loans and the
28 allowance for credit losses.
Annual Report: Continuity schedules for gross impaired loans and
allowance for credit losses are provided on page 85.
Provide a quantitative and qualitative analysis of the
29 bank’s counterparty credit risk that arises from its
derivative transactions.
Annual Report: Qualitative and quantitative disclosures on
collateralization agreements for over-the-counter (OTC) derivatives are
provided on page 86.
Provide a discussion of credit risk mitigation.
30
Annual Report: A discussion of BMO’s collateral management is
provided on page 84.
Other Risks
Describe other risks and discuss how each is identified,
31 governed, measured and managed.
Annual Report: A diagram illustrating the risk governance process that
supports BMO’s risk culture is provided on page 79.
Other risks are discussed on pages 94 to 99.
Discuss publicly known risk events related to other
32 risks, where material or potentially material loss events
have occurred.
Annual Report: Other risks are discussed on pages 94 to 99.
76 BMO Financial Group 196th Annual Report 2013