Bank of Montreal 1997 Annual Report Download - page 62

Supplemental Information Continued
Bank of Montreal 180th Annual Report 1997
56
Table 7 Interest Rate Gap Position ($ millions)
Total Effective Effective Over Effective Non- Effective
0 to 3 4 to 6 7 to 12 within interest 2–5 interest 5 interest interest interest
As at October 31 months months months 1 year rate (%) years rate (%) years rate (%) sensitive rate (%) Total
Canadian Dollars
Assets
Cash resources 3,737 140 93 3,970 5.54 280 0.00 0 0.00 2,762 na 7,012
Securities 18,510 698 1,025 20,233 4.52 1,715 5.21 485 6.05 9 na 22,442
Loans 32,729 6,347 5,821 44,897 5.86 25,000 6.98 850 7.52 (1) 0.00 70,746
Other 3,689 105 211 4,005 na 1,687 na 0 na 2,478 na 8,170
Total assets 58,665 7,290 7,150 73,105 28,682 1,335 5,248 108,370
Liabilities
Deposits 38,817 6,193 9,981 54,991 2.49 17,115 3.55 535 6.36 1 0.00 72,642
Subordinated debt 150 0 0 150 4.09 1,160 6.66 1,465 8.69 0 na 2,775
Other 16,703 983 335 18,021 4.57 1,314 0.84 0 0.00 5,067 na 24,402
Shareholders’ equity 0000na 322 na 400 na 7,829 na 8,551
Total liabilities and shareholders’ equity 55,670 7,176 10,316 73,162 19,911 2,400 12,897 108,370
On-balance sheet gap position 2,995 114 (3,166) (57) 8,771 (1,065) (7,649) 0
Off-balance sheet gap position (4,028) 402 185 (3,441) 1,388 2,053 0
Total interest rate gap position
1997 (1,033) 516 (2,981) (3,498) 10,159 988 (7,649) 0
1996 (5,776) 2,561 (183) (3,398) 15,303 (267) (11,638) 0
1995 (2,807) 868 (1,446) (3,385) 12,948 857 (10,420) 0
1994 (2,954) 2,725 (2,103) (2,332) 8,802 907 (7,377) 0
1993 (5,586) 3,548 325 (1,713) 7,111 664 (6,062) 0
U.S. Dollar and Other Currencies
Assets
Cash resources 11,791 5,460 10,991 28,242 5.49 1,170 1.02 141 7.75 (4,320) 0.00 25,233
Securities 9,966 630 645 11,241 6.20 3,954 6.73 3,619 6.65 533 0.00 19,347
Loans 35,707 2,433 1,296 39,436 6.91 3,558 7.58 819 7.80 359 6.49 44,172
Other 4,525 (95) (32) 4,398 na 263 na 0na 6,055 na 10,716
Total assets 61,989 8,428 12,900 83,317 8,945 4,579 2,627 99,468
Liabilities
Deposits 55,603 5,535 3,982 65,120 5.23 4,814 2.03 1,086 2.02 550 0.00 71,570
Subordinated debt 0 0 211 211 10.00 0 0.00 845 6.95 0 0.00 1,056
Other 24,880 196 6 25,082 3.13 141 9.34 1 6.45 1,266 0.00 26,490
Shareholders’ equity 0000na 352 na 0na 0na 352
Total liabilities and shareholders’ equity 80,483 5,731 4,199 90,413 5,307 1,932 1,816 99,468
On-balance sheet gap position (18,494) 2,697 8,701 (7,096) 3,638 2,647 811 0
Off-balance sheet gap position (749) 458 1,871 1,580 853 (2,433) 0 0
Total interest rate gap position
1997 (19,243) 3,155 10,572 (5,516) 4,491 214 811 0
1996 (11,184) 2,821 5,924 (2,439) 1,689 852 (102) 0
1995 (4,910) 3,566 792 (552) 3,063 402 (2,913) 0
1994 (352) (2,939) 1,490 (1,801) 4,109 287 (2,595) 0
1993 (7,971) 3,272 4,838 139 2,313 25 (2,477) 0
na – Not applicable.
Gap Position
The determination of the interest rate gap position, which is based upon the earlier
of the repricing or maturity date of assets, liabilities and derivatives used to manage
interest rate risk, by necessity, encompasses numerous assumptions.
The gap position presented is at October 31 of each respective year. It represents the
position outstanding at the close of the business day and may change significantly in
subsequent periods based upon customer preferences and the application of the Bank’s
asset and liability management policies.
The assumptions for 1997 are as follows:
Deposits/Liabilities
Interest bearing, non-maturity deposits on which interest rates have historically moved
in reference to a specific interest rate basis, such as prime, and which are above
the minimum interest committed are reported as interest sensitive in the 0–3 month
category. Such deposits may be sensitive to declining rates only to the extent of the
minimum interest rate committed. When they no longer demonstrate correlation with
market interest rate movements, they are reported in time periods based on expected
balance behaviour.
I
nvestment certificates are reported based upon scheduled maturity without reference
to early redemption or renewal options.
Term deposits are reported based upon scheduled maturity and estimated redemption
based upon historical behaviour.
Fixed rate non-maturity liabilities and non-interest bearing non-maturity liabilities
are reported based upon historical account balance behaviour.
Assets
Fixed term assets such as residential mortgages and consumer loans are reported based
upon the scheduled repayments and estimated prepayments based on historical behaviour.
Trading assets are reported in the 0–3 month category.
Fixed rate, non-maturity assets and non-interest bearing non-maturity assets are
reported based upon historical balance behaviour.
Yields
Yields are based upon the contractual interest rate in effect for the assets or liabilities
on the reporting date.
In 1996 non-maturity assets and liabilities were reported as non-interest sensitive.