Bank of Montreal 2003 Annual Report Download - page 68

BMO Financial Group 186th Annual Report 200364
Supplemental Information
Table 19 Interest Rate Gap Position ($ millions, except as noted)
Total Effective Effective Effective Non- Effective
0 to 3 4 to 6 7 to 12 within interest 1 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 Dollar
Assets
Cash resources 2,790 108 62 2,960 3.57 329 ––– (373) na 2,916
Securities 26,138 1,047 604 27,789 4.82 748 8.05 100 8.08 153 na 28,790
Loans 52,110 3,732 6,317 62,159 4.94 29,729 5.76 2,899 5.94 4,747 na 99,534
Other 30,118 211 (686) 29,643 na 3,374 na – na 983 na 34,000
Total assets 111,156 5,098 6,297 122,551 34,180 2,999 5,510 165,240
Liabilities and Shareholders’ Equity
Deposits 48,531 5,940 5,185 59,656 2.65 38,943 1.96 1,146 5.79 – na 99,745
Other 43,060 81 242 43,383 na 1,302 na 1,150 na 5,509 na 51,344
Subordinated debt 400 –– 400 4.35 1,275 7.37 390 9.63 – na 2,065
Shareholders’ equity –––– na 849 na 200 na 11,037 na 12,086
Total liabilities and shareholders’ equity 91,991 6,021 5,427 103,439 42,369 2,886 16,546 165,240
On-balance sheet gap position 19,165 (923) 870 19,112 (8,189) 113 (11,036) –
Off-balance sheet gap position (18,671) 1,135 1,740 (15,796) 15,046 750 ––
Total Interest Rate Gap Position
2003 494 212 2,610 3,316 6,857 863 (11,036) –
2002 441 71 1,048 1,560 7,399 1,418 (10,377) –
2001 3,829 (392) 637 4,074 3,620 1,938 (9,632) –
2000 2,404 1,355 565 4,324 4,801 1,110 (10,235) –
1999 (117) 1,103 (5,078) (4,092) 11,042 2,485 (9,435) –
U.S. Dollar and Other Currencies
Assets
Cash resources 6,202 2,238 7,889 16,329 2.80 424 – 564 4.13 (373) na 16,944
Securities 13,772 1,380 3,206 18,358 3.79 7,029 2.87 595 5.17 18 na 26,000
Loans 33,291 1,550 1,286 36,127 2.32 7,585 5.24 2,075 5.43 835 na 46,622
Other (1,624) 4 752 (868) na 3,932 na 243 na (1,619) na 1,688
Total assets 51,641 5,172 13,133 69,946 18,970 3,477 (1,139) 91,254
Liabilities and Shareholders’ Equity
Deposits 51,440 4,228 2,221 57,889 1.32 12,041 1.06 707 4.22 1,169 na 71,806
Other 19,730 29 11 19,770 na 509 na 330 na (2,348) na 18,261
Subordinated debt ––––– 791 6.95 – na – na 791
Shareholders’ equity –––– na – na 396 na – na 396
Total liabilities and shareholders’ equity 71,170 4,257 2,232 77,659 13,341 1,433 (1,179) 91,254
On-balance sheet gap position (19,529) 915 10,901 (7,713) 5,629 2,044 40 –
Off-balance sheet gap position 4,622 (618) (156) 3,848 (3,577) (271) ––
Total Interest Rate Gap Position
2003 (14,907) 297 10,745 (3,865) 2,052 1,773 40 –
2002 (8,036) 2,442 (1,242) (6,836) 8,536 (1,816) 116 –
2001 (12,985) 1,583 3,540 (7,862) 8,133 (131) (140) –
2000 (10,841) 5,162 838 (4,841) 3,834 575 432 –
1999 (7,039) (7,764) 2,969 (11,834) 11,478 (57) 413 –
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 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 BMO’s asset and liability management policies.
The assumptions for 2003 were as follows:
Assets
Fixed term assets such as residential mortgages and consumer loans are reported using 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.
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 on which rates are above the minimum rate
com mitted, 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 upon expected balance behaviour.
Term deposits and investment certificates are reported based upon scheduled maturity and esti-
mated 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.
Yields
Yields are based upon the contractual interest rate in effect for the assets or liabilities on Octo-
ber 31, 2003.
na – not applicable