Bank of Montreal 2012 Annual Report Download - page 158

Notes
Goodwill and intangible and fixed assets are reported as
non-interest sensitive. Other fixed rate and non-interest bearing assets
with no defined maturity are reported based on an assumed maturity
profile that considers historical and forecasted trends in balances.
Liabilities
Fixed rate, fixed term liabilities, such as investment certificates, are
reported at scheduled maturity with estimated redemptions that reflect
expected depositor behaviour.
Interest bearing deposits on which the customer interest rate
changes with the prime rate or other short-term market rates are
reported in the zero to three months category.
Fixed rate and non-interest bearing liabilities with no defined
maturity are reported based on an assumed maturity profile that
considers historical and forecasted trends in balances.
Capital
Common shareholders’ equity is reported as non-interest sensitive.
Yields
Yields are based upon the effective interest rates for the assets or
liabilities on October 31, 2012.
Interest Rate Gap Position
(Canadian $ in millions, except as noted)
As at October 31
0to3
months
4to6
months
7to12
months
Total
within
1 year
Effective
interest
rate (%)
1to5
years
Effective
interest
rate (%)
Over 5
years
Effective
interest
rate (%)
Non-
interest
sensitive Total
Canadian Dollar
Assets
Cash and cash equivalents (4,316) (3,351) – (7,667) – 350 1.22 – – 2,007 (5,310)
Interest bearing deposits with banks 2,218 – – 2,218 1.11 – – – – – 2,218
Securities 56,927 930 3,183 61,040 1.99 10,339 3.57 5,755 3.94 696 77,830
Securities borrowed or purchased under
resale agreements 26,243 589 251 27,083 1.10 – – – – – 27,083
Loans 93,544 6,224 11,564 111,332 3.81 59,890 4.64 2,041 5.31 7,897 181,160
Other assets (24,607) 331 1,368 (22,908) na 5,036 na – na 3,915 (13,957)
Total assets 150,009 4,723 16,366 171,098 75,615 7,796 14,515 269,024
Liabilities and Equity
Deposits 89,720 8,741 11,189 109,650 1.26 61,254 1.21 2,019 4.63 – 172,923
Securities sold but not yet purchased 18,686 – – 18,686 2.06 – – – – – 18,686
Securities lent or sold under repurchase
agreements 19,493 – – 19,493 1.12 – – – – – 19,493
Other liabilities (12,905) 302 5,887 (6,716) na 13,415 na 8,036 na 8,800 23,535
Subordinated debt and Capital trust securities 253 – – 253 – 2,800 4.87 1,502 6.77 – 4,555
Total equity 884 200 550 1,634 – 2,415 – – – 25,783 29,832
Total liabilities and shareholders’ equity 116,131 9,243 17,626 143,000 79,884 11,557 34,583 269,024
Asset/liability gap position 33,878 (4,520) (1,260) 28,098 (4,269) (3,761) (20,068) –
Notional amounts of derivatives (31,944) 1,734 3,124 (27,086) 19,523 7,563 – –
Total Canadian dollar interest rate gap
position
2012 1,934 (2,786) 1,864 1,012 15,254 3,802 (20,068) –
2011 2,405 552 (221) 2,736 11,282 3,560 (17,578) –
November 1, 2010 6,374 9 (699) 5,684 10,059 1,701 (17,444) –
U.S. Dollar and Other Currencies
Assets
Cash and cash equivalents 25,880 3,495 449 29,824 2.80 581 0.93 28 – (5,182) 25,251
Interest bearing deposits with banks 4,123 – – 4,123 0.54 – – – – – 4,123
Securities 29,150 1,326 5,221 35,697 0.75 13,926 1.52 813 4.28 58 50,494
Securities borrowed or purchased under
resale agreements 15,791 1,186 178 17,155 0.25 – – – – – 17,155
Loans 52,561 4,695 6,015 63,271 1.70 9,644 2.49 2,416 2.77 117 75,448
Other assets 73,556 (285) (58) 73,213 na 4,647 na 394 – 5,700 83,954
Total assets 201,061 10,417 11,805 223,283 28,798 3,651 693 256,425
Liabilities and Equity
Deposits 97,762 7,265 8,711 113,738 0.35 33,296 0.75 3,745 0.07 – 150,779
Securities sold but not yet purchased 4,753 – – 4,753 0.61 – – – – – 4,753
Securities lent or sold under
repurchase agreements 20,044 – 200 20,244 0.28 – – – – – 20,244
Other liabilities 75,885 124 (165) 75,844 na 4,436 na (6) na 117 80,391
Total equity – – – –– –– ––258258
Total liabilities and shareholders’ equity 198,444 7,389 8,746 214,579 37,732 3,739 375 256,425
Asset/liability gap position 2,617 3,028 3,059 8,704 (8,934) (88) 318 –
Notional amounts of derivatives (6,489) 999 1,199 (4,291) 4,666 (375)
Total U.S. dollar and other currencies
interest rate gap position
2012 (3,872) 4,027 4,258 4,413 (4,268) (463) 318 –
2011 (4,033) 5,111 1,164 2,242 (2,357) (417) 532 –
November 1, 2010 1,537 (1,297) 247 487 (4,826) 2,746 1,593 –
na – not applicable
BMO Financial Group 195th Annual Report 2012 155