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MANAGEMENT’S DISCUSSION AND ANALYSIS
MD&A
D aily r e v enues T ot al t r adi ng V a R Total A F S VaR
Trading Net Revenue versus Value at Risk
November 1, 2012 to October 31, 2013 ($ millions)
(3 0 )
(1 0 )
10
30
50
No v 0 1
Jan 30
Jul 23
Oct 18
(3)
(4)
(5)
(1)
(6)
Apr 26
(2)
(1) March 13 – $23.5 million which primarily reflects normal trading activity.
(2) March 18 – $(8.9) million which primarily reflects credit valuation adjustments.
(3) May 31 – $38.3 million which primarily reflects normal trading activity and underwriting.
(4) June 12 – $28.3 million which primarily reflects normal trading activity.
(5) June 26 – $33.5 million which primarily reflects normal trading activity.
(6) September 24 – $(6.8) million which reflects normal trading activity and valuation adjustments.
VaR Risk Factors
November 1, 2012 to October 31, 2013 ($ millions)
Interest rate
Commodity Total trading
Credit Equity Foreign exchange
Total AFS
(16)
(12)
(4)
(8)
0
1 Nov’12
30 Nov’12
31 Dec’12
31 Jan’13
28 Feb’13
31 Mar’13
30 Apr’13
31 May’13
30 Jun’13
31 Jul’13
31 Aug’13
30 Sep’13
31 Oct’13
90 BMO Financial Group 196th Annual Report 2013