Bank of Montreal 2014 Annual Report Download - page 65

Download and view the complete annual report

Please find page 65 of the 2014 Bank of Montreal annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 181

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181

MD&A
MANAGEMENT’S DISCUSSION AND ANALYSIS
Liquidity
18 Describe how the bank manages its potential liquidity
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 page 96.
Funding
19 Summarize encumbered and unencumbered assets in a
table by balance sheet category.
Annual Report: An Asset Encumbrance table is provided on page 98.
Additional collateral requirement in the event of downgrades by rating
agencies is disclosed in Note 10 on page 148 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 32 on
pages 186 to 189 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 98 to 99.
A table showing the composition and maturity of wholesale funding is
provided on page 99.
Market Risk
22 Provide a breakdown of balance sheet positions into
trading and non-trading market risk measures.
Annual Report: A table linking balance sheet items to market risk
measures is provided on page 94.
23 Provide qualitative and quantitative breakdowns of
significant trading and non-trading market risk factors.
Annual Report: Trading market risk exposures are described and
quantified on pages 91 to 93.
Structural (non-trading) market risk exposures are described and
quantified on pages 94 to 95.
24 Describe significant market risk measurement model
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 104 for trading market risk and
for structural (non-trading) market risk.
25 Describe the primary risk management techniques
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 91
to 95.
Credit Risk
26 Provide information about the bank’s credit risk profile.
Annual Report: Information about BMO’s credit risk profile is provided
on pages 86 to 87 and in Notes 4 and 6 on pages 136 to 139 and 140
to 142 of the financial statements, respectively.
Supplementary Financial Information: Tables detailing credit risk
information are provided on pages 20 to 29 and 43 to 50.
27 Describe the bank’s policies related to impaired loans and
renegotiated loans.
Annual Report: Impaired and renegotiated loan policies are described in
Note 4 on pages 136 and 138 of the financial statements, respectively.
28 Provide reconciliations of impaired loans and the
allowance for credit losses.
Annual Report: Continuity schedules for gross impaired loans and
allowance for credit losses are provided on page 87 and in Note 4 on
pages 137 to 138 of the financial statements.
29 Provide a quantitative and qualitative analysis of the
bank’s counterparty credit risk that arises from its
derivative transactions.
Annual Report: Qualitative disclosures on collateralization agreements
for over-the-counter (OTC) derivatives are provided on page 85 and
quantitative disclosures are provided on page 90.
Supplementary Financial Information: Quantitative disclosures for
OTC derivatives are provided on page 32.
30 Provide a discussion of credit risk mitigation.
Annual Report: A discussion of BMO’s collateral management is
provided on pages 84 to 85.
Other Risks
31 Describe other risks and discuss how each is identified,
governed, measured and managed.
Annual Report: A diagram illustrating the risk governance process that
supports BMO’s risk culture is provided on page 80.
Other risks are discussed on pages 101 to 105.
32 Discuss publicly known risk events related to other
risks, where material or potentially material loss events
have occurred.
Annual Report: Other risks are discussed on pages 101 to 105.
76 BMO Financial Group 197th Annual Report 2014