Bank of Montreal 2015 Annual Report Download - page 73

MD&A
MANAGEMENT’S DISCUSSION AND ANALYSIS
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 the EDTF for the provision of high-quality, transparent risk
disclosures.
Disclosures related to the EDTF recommendations are detailed below.
General
1Present 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 86 to 117.
An index for the MD&A is provided on page 26. An index for the notes to the financial statements is provided on page 140.
Supplementary Financial Information: An index is provided in our Supplementary Financial Information.
2Define 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 94 to 117.
A glossary of financial terms (including risk terminology) can be found on pages 202 to 203.
3Discusstopandemergingrisksforthebank.
Annual Report: BMO’s top and emerging risks are discussed on pages 87 to 89.
4Outline 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 71 to 73 and 110.
Risk Governance
5Summarize the bank’s risk management organization, processes, and key functions.
Annual Report: BMO’s risk management organization, processes and key functions are summarized on pages 89 to 93.
6Describe the bank’s risk culture.
Annual Report: BMO’s risk culture is described on page 90.
7Describe 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 74.
8Describe 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 93.
Capital Adequacy and Risk-Weighted Assets (RWA)
9Provide minimum Pillar 1 capital requirements.
Annual Report: Basel III Pillar 1 capital requirements are described on pages 70 to 72.
Supplementary Financial Information: Basel III regulatory capital is disclosed on page 34.
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 72.
Supplementary Financial Information: Basel III Pillar 3 disclosure is provided on pages 34 to 36 and 38. 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 70.
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 group, is provided on page 74.
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 71.
Information about significant models used to determine RWA is provided on pages 95 to 96.
Supplementary Financial Information: A table showing RWA by model approach and by risk type is provided on page 38.
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, with a reconciliation on page 37.
17 Describe the bank’s Basel validation and back-testing process.
Annual Report: BMO’s Basel validation and back-testing process for credit and market risk is described on page 113.
Supplementary Financial Information: A table showing Exposure at Default and RWA by model approach and asset class is provided on page 38. A table
showing estimated and actual loss parameters is provided on page 48.
84 BMO Financial Group 198th Annual Report 2015