Bank of Montreal 2013 Annual Report Download - page 151
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Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Interest Rate Gap Position
($ in millions, except as noted)
Total Effective Effective Effective Non-
0to 3 4to 6 7to 12 within interest 1to 5 interest Over 5 interest interest
As at October 31 months months months 1 year rate (%) years rate (%) years rate (%) sensitive Total
Assets
Cash and cash equivalents 23,784 810 (71) 24,523 1.21 965 1.02 (17) – 612 26,083
Interest bearing deposits with banks 6,518 – – 6,518 0.78 – – – – – 6,518
Securities 95,833 2,791 4,628 103,252 1.45 23,511 2.23 7,330 3.94 888 134,981
Securities borrowed or purchased
under resale agreements 37,208 1,789 802 39,799 1.72 – – – – – 39,799
Loans 151,499 12,214 20,865 184,578 3.31 80,873 4.06 5,178 4.56 8,466 279,095
Other assets 33,226 235 1,096 34,557 na 9,089 na 327 na 6,850 50,823
Total assets 348,068 17,839 27,320 393,227 114,438 12,818 – 16,816 537,299
Liabilities and Equity
Deposits 213,373 16,408 16,910 246,691 0.73 109,619 1.10 10,511 2.23 – 366,821
Securities sold but not yet purchased 22,446 – – 22,446 1.48 – – – – – 22,446
Securities lent or sold under
repurchase agreements 28,831 53 – 28,884 0.68 – – – – – 28,884
Other liabilities 46,988 1,382 919 49,289 na 15,760 na 8,908 na 9,251 83,208
Subordinated debt, Capital trust
securities and preferred share liability 157 – – 157 na 3,700 – 602 – – 4,459
Total equity 377 150 275 802 na 2,747 na – – 27,932 31,481
Total liabilities and shareholders’ equity 312,172 17,993 18,104 348,269 131,826 20,021 37,183 537,299
Asset/liability gap position 35,896 (154) 9,216 44,958 (17,388) (7,203) (20,367) –
Notional amounts of derivatives (34,914) (2,612) (3,833) (41,359) 33,039 8,320 – –
Total interest rate gap position - 2013
Canadian dollar 3,171 (3,706) 4,876 4,341 15,636 1,442 (21,419) –
Foreign currency (2,189) 940 507 (742) 15 (325) 1,052 –
Total Gap 982 (2,766) 5,383 3,599 – 15,651 – 1,117 – (20,367) –
Total interest rate gap position - 2012
Canadian dollar 3,615 (2,801) 1,765 2,579 14,782 2,707 (20,068) –
Foreign currency (4,589) 4,027 4,258 3,696 (4,268) (463) 1,035 –
Total Gap (974) 1,226 6,023 6,275 – 10,514 – 2,244 – (19,033) –
Certain comparative figures have been reclassified to conform to the current year’s presentation.
162 BMO Financial Group 196th Annual Report 2013