Bank of Montreal 1999 Annual Report Download - page 69

Bank of Montreal Group of Companies 1999 Annual Report 63
Table 7 Interest Rate Gap Position ($ millions)
Total Effective Effective Effective Non- Effective
0 to 3 4 to 6 7 to 12 within interest 2 to 5 interest Over 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 1,811 60 188 2,059 4.69 280 0.00 0 0.00 376 0.00 2,715
Securities 13,019 757 173 13,949 5.90 1,512 7.36 444 7.75 38 na 15,943
Loans 36,334 4,978 7,319 48,631 6.59 27,095 6.68 1,762 6.47 0 na 77,488
Other 12,244 256 211 12,711 na 1,688 na 0na 1,523 na 15,922
Total assets 63,408 6,051 7,891 77,350 30,575 2,206 1,937 112,068
Liabilities
Deposits 38,858 4,211 12,170 55,239 3.32 19,835 3.40 93 6.83 0 na 75,167
Subordinated debt 149 0 0 149 5.25 1,800 6.72 1,365 8.33 0 na 3,314
Other 19,280 108 167 19,555 2.61 1,361 0.09 (1) 0.00 2,059 na 22,974
Shareholders’ equity 0000na 250 na 1,050 na 9,313 na 10,613
Total Liabilities and
Shareholders’ Equity 58,287 4,319 12,337 74,943 23,246 2,507 11,372 112,068
On-balance sheet gap position 5,121 1,732 (4,446) 2,407 7,329 (301) (9,435) 0
Off-balance sheet gap position (5,238) (629) (632) (6,499) 3,713 2,786 0 0
Total Interest Rate Gap Position
1999 (117) 1,103 (5,078) (4,092) 11,042 2,485 (9,435) 0
1998 2,076 1,437 (7,771) (4,258) 11,599 1,479 (8,820) 0
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
U.S. Dollar and Other Currencies
Assets
Cash resources 15,720 1,864 5,495 23,079 5.36 1,199 0.96 268 0.00 (3,225) 0.00 21,321
Securities 9,839 1,484 1,796 13,119 6.35 6,823 6.20 6,483 6.74 905 na 27,330
Loans 49,821 3,276 1,502 54,599 5.94 4,601 6.90 1,171 7.38 142 na 60,513
Other 136 166 (346) (44) na 3,119 na 196 na 6,112 na 9,383
Total assets 75,516 6,790 8,447 90,753 15,742 8,118 3,934 118,547
Liabilities
Deposits 58,000 10,084 5,394 73,478 4.71 5,667 1.33 2,562 0.70 0 na 81,707
Subordinated debt 515 0 0 515 5.71 0 0.00 883 6.95 0 na 1,398
Other 29,348 1,062 184 30,594 4.59 591 0.00 368 7.38 3,521 na 35,074
Shareholders’ equity 00000.00 368 na 0 na 0 na 368
Total Liabilities and
Shareholders’ Equity 87,863 11,146 5,578 104,587 6,626 3,813 3,521 118,547
On-balance sheet gap position (12,347) (4,356) 2,869 (13,834) 9,116 4,305 413 0
Off-balance sheet gap position 5,308 (3,408) 100 2,000 2,362 (4,362) 0 0
Total Interest Rate Gap Position
1999 (7,039) (7,764) 2,969 (11,834) 11,478 (57) 413 0
1998 (12,524) 731 3,258 (8,535) 7,680 520 335 0
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
na
– Not applicable
Gap Position
The determination of the interest rate sensitivity or “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 as 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 1999 are as follows:
Deposits/Liabilities
Interest bearing non-maturity deposits on which the 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 to 3 months 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.
Investment 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.
Capital
Common Shareholders’ Equity is reported as non-interest sensitive.
Assets
Fixed term assets such as residential mortgages and consumer loans are reported based upon
t
he scheduled repayments and estimated prepayments based upon historical behaviour.
Trading assets are reported in the 0 to 3 months 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.
Prior to 1997, non-maturity assets and liabilities were reported as non-interest sensitive.