Bank of Montreal 2010 Annual Report Download - page 146

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Notes
144 BMO Financial Group 193rd Annual Report 2010
Interest Rate Gap Position
(Canadian $ in millions, except as noted)
Total Effective Effective Effective Non-
0 to 3 4 to 6 7 to 12 within interest 1 to 5 interest Over 5 interest interest
As at October 31 months months months 1 year rate (%) years rate (%) years rate (%) sensitive Total
Canadian Dollar
Assets
Cash and cash equivalents (4,107) 74 (1,221) (5,254) 0.18 319 0.18 – – (1,594) (6,529)
Interest bearing deposits with banks 586 – – 586 0.71 – – – – – 586
Securities 50,788 1,134 1,920 53,842 2.47 16,232 3.52 4,709 4.63 750 75,533
Securities borrowed or purchased
under resale agreements 7,490 369 20 7,879 1.01 – – – – – 7,879
Loans 79,361 3,624 6,160 89,145 3.95 29,491 5.60 2,246 5.54 8,075 128,957
Other assets 88,538 611 5,578 94,727 na 10,828 na 650 na 2,983 109,188
Total assets 222,656 5,812 12,457 240,925 56,870 7,605 10,214 315,614
Liabilities and Shareholders’ Equity
Deposits 76,365 5,324 11,179 92,868 1.34 54,048 1.23 4,915 4.89 – 151,831
Securities sold but not yet purchased 11,013 – – 11,013 2.24 – – – – – 11,013
Securities lent or sold under
repurchase agreements 21,826 103 – 21,929 1.00 – – – – – 21,929
Other liabilities 88,819 163 295 89,277 na 3,242 na 3,254 na 8,918 104,691
Subordinated debt and
Capital trust securities 626 – – 626 – 2,200 4.53 1,750 6.14 – 4,576
Shareholders’ equity 659 – – 659 – 1,925 – 250 – 18,740 21,574
Total liabilities and shareholders’ equity 199,308 5,590 11,474 216,372 61,415 10,169 27,658 315,614
Asset/liability gap position 23,348 222 983 24,553 (4,545) (2,564) (17,444) –
Notional amounts of derivatives (18,416) (63) (1,382) (19,861) 15,575 4,286 – –
Total Canadian dollar
interest rate gap position
2010 4,932 159 (399) 4,692 11,030 1,722 (17,444) –
2009 (1,681) 967 3,968 3,254 11,510 1,067 (15,831) –
U.S. Dollar and Other Currencies
Assets
Cash and cash equivalents 21,992 221 1,521 23,734 2.20 268 – 237 – (342) 23,897
Interest bearing deposits with banks 2,600 – – 2,600 0.44 – – – – – 2,600
Securities 40,014 864 647 41,525 1.19 2,196 8.01 4,099 3.61 46 47,866
Securities borrowed or purchased
under resale agreements 17,614 1,786 720 20,120 0.36 103 0.36 – – – 20,223
Loans 33,010 2,894 2,722 38,626 3.43 6,728 6.03 1,809 6.08 523 47,686
Other assets (40,750) (402) (3,991) (45,143) na (2,478) na (509) na 1,884 (46,246)
Total assets 74,480 5,363 1,619 81,462 6,817 5,636 2,111 96,026
Liabilities and Shareholders’ Equity
Deposits 72,248 2,073 3,461 77,782 0.44 17,437 1.08 2,201 0.19 – 97,420
Securities sold but not yet purchased 5,425 – – 5,425 0.81 – – – – – 5,425
Securities lent or sold under
repurchase agreements 24,720 359 102 25,181 0.21 – – – – – 25,181
Other liabilities (34,714) 87 174 (34,453) na 1,372 na 252 na 523 (32,306)
Shareholders’ equity – – – – – 306 – – – – 306
Total liabilities and shareholders’ equity 67,679 2,519 3,737 73,935 19,115 2,453 523 96,026
Asset/liability gap position 6,801 2,844 (2,118) 7,527 (12,298) 3,183 1,588 –
Notional amounts of derivatives (5,306) (918) 2,310 (3,914) 6,611 (2,697) – –
Total U.S. dollar and other currencies
interest rate gap position
2010 1,495 1,926 192 3,613 (5,687) 486 1,588 –
2009 5,184 (1,374) (128) 3,682 (4,638) (1,162) 2,118 –
na – not applicable
Certain comparative figures have been reclassified to conform with the current year’s presentation.