BMO suffers C$10bn capital floor bite

Charges to constraint-modelled RWAs rose sixfold during Q3

A Canadian risk-modelling backstop to incoming Basel III reforms added C$10 billion ($7.3 billion) to Bank of Montreal’s (BMO) risk-weighted assets (RWAs) in the fourth financial quarter, girding the lender in the home stretch to a revised, less onerous capital floor next year.

The bank was saddled with a C$12.6 billion add-on to RWAs as of end-October, to floor capital requirements at 75% of the output using regular-set formulas only.

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