Bank of Montreal 2004 Annual Report Download - page 111

BMO Financial Group Annual Report 2004 107
Notes
Interest Rate Gap Position
(Canadian $ in 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 $ 1,050 $ 590 $ 15 $ 1,655 4.91 $ 302 – $ – – $ – na $ 1,957
Securities 24,687 34 315 25,036 7.24 716 6.59 110 8.20 144 na 26,006
Securities purchased under resale
agreements 12,475
– – 12,475 2.47 – – – – – na 12,475
Loans 53,068 3,633 5,624 62,325 4.24 31,538 5.63 2,900 5.59 5,038 na 101,801
Other assets 37,072 241 481 37,794 na 3,847 na – na (144) na 41,497
Total assets 128,352 4,498 6,435 139,285 36,403 3,010 5,038 183,736
Liabilities and Shareholders’ Equity
Deposits 54,976 3,809 5,979 64,764 2.38 39,820 1.91 1,863 5.34 – na 106,447
Securities sold but not yet purchased 9,690 – – 9,690 3.60 – – – – – na 9,690
Securities sold under repurchase
agreements 8,911 – 141 9,052 2.45 – – – – – na 9,052
Other liabilities 35,241 107 214 35,562 na 1,708 na 1,750 na 5,038 na 44,058
Subordinated debt – – 550 550 7.60 865 7.78 250 8.95 – na 1,665
Shareholders’ equity –– – – na 481 na 200 na 12,143 na 12,824
Total liabilities and shareholders’ equity 108,818 3,916 6,884 119,618 42,874 4,063 17,181 183,736
On-balance sheet gap position 19,534 582 (449) 19,667 (6,471) (1,053) (12,143) –
Off-balance sheet gap position (17,155) 408 1,221 (15,526) 13,501 2,025 – –
Total Canadian dollar interest rate
gap position
2004 $ 2,379 $ 990 $ 772 $ 4,141 $ 7,030 $ 972 $(12,143) $
–
2003 494 212 2,610 3,316 6,857 863 (11,036) –
U.S. Dollar and Other Currencies
Assets
Cash resources $ 10,800 $ 4,478 $ 1,607 $ 16,885 4.11 $ (1,248) – $ – – $ 451 na $ 16,088
Securities 13,143 2,583 4,040 19,766 3.14 4,080 2.77 600 4.85 20 na 24,466
Securities purchased under resale
agreements 4,587 86
– 4,673 2.71 – – – – – na 4,673
Loans 23,379 476 1,227 25,082 3.21 9,184 4.73 2,424 5.37 609 na 37,299
Other assets (3,024) (403) (640) (4,067) na 4,537 na (176) na (1,362) na (1,068)
Total assets 48,885 7,220 6,234 62,339 16,553 2,848 (282) 81,458
Liabilities and Shareholders’ Equity
Deposits 49,954 4,026 1,918 55,898 1.61 12,403 1.18 204 0.89 238 na 68,743
Securities sold but not yet purchased 751 – – 751 2.83 – – – – – na 751
Securities sold under repurchase
agreements 11,646 167 – 11,813 2.32 – – – – – na 11,813
Other liabilities 713 (499) (467) (253) na 519 na (523) na (687) na (944)
Subordinated debt – – 365 365 6.10 365 7.80 – – – na 730
Shareholders’ equity – – – – na – na 365 na – na 365
Total liabilities and shareholders’ equity 63,064 3,694 1,816 68,574 13,287 46 (449) 81,458
On-balance sheet gap position (14,179) 3,526 4,418 (6,235) 3,266 2,802 167 –
Off-balance sheet gap position 952 – 232 1,184 (1,184) – – –
Total U.S. dollar and other currencies
interest rate gap position
2004 $ (13,227) $ 3,526 $ 4,650 $ (5,051) $ 2,082 $ 2,802 $ 167 $
–
2003 (14,907) 297 10,745 (3,865) 2,052 1,773 40 –
na – not applicable
We earn interest on interest bearing assets and we pay interest on
interest bearing liabilities. We also have off-balance sheet financial
instruments whose values are sensitive to changes in interest
rates. To the extent that we have assets, liabilities and financial
instruments maturing or repricing at different points in time,
we are exposed to interest rate risk.
Note 17 Interest Rate Risk