Bank of Montreal 2013 Annual Report Download - page 174

Note 30: Contractual Maturities of Assets and Liabilities and Off-Balance
Sheet Commitments
The tables below show the remaining contractual maturity of on-balance
sheet assets and liabilities and off-balance sheet commitments. The
contractual maturity of financial assets and liabilities is an input to, but
is not necessarily consistent with the expected maturity of assets and
liabilities that is used in the management of liquidity and funding risk.
We forecast asset and liability cash flows under both normal market
conditions and under a number of stress scenarios to manage liquidity
and funding risk. Stress scenarios include assumptions for loan
(Canadian $ in millions)
repayments, deposit withdrawals, and credit commitment and liquidity
facility drawdowns by counterparty and product type. Stress scenarios
also consider the time horizon over which liquid assets can be monetized
and the related haircuts and potential collateral requirements that may
occur due to both market volatility and credit rating downgrades amongst
other assumptions. For further details, see the Liquidity and Funding Risk
section on page 92 to 94 of our 2013 Annual Report.
2013
0to1 1to3 3to6 6to9 9to12 1to2 2to5 Over 5 No
month months months months months years years years maturity Total
On-Balance Sheet Financial Instruments
Assets
Cash and cash equivalents 25,317 – – – – – – – 766 26,083
Interest bearing deposits with banks 4,592 1,295 471 84 76 – – – – 6,518
Securities
Trading securities 1,209 1,284 480 1,521 442 4,781 10,593 14,762 40,087 75,159
Available-for-sale securities 1,385 3,628 1,439 2,076 2,820 6,729 22,170 11,262 1,558 53,067
Held-to-maturity securities – – – – – 562 4,864 606 – 6,032
Other securities – – 18 – – 3 34 17 651 723
Total securities 2,594 4,912 1,937 3,597 3,262 12,075 37,661 26,647 42,296 134,981
Securities borrowed or purchased under resale
agreements 26,421 9,627 2,949 597 205 – – – – 39,799
Loans
Residential mortgages 1,026 1,362 2,866 4,769 4,082 17,922 58,035 9,266 – 99,328
Consumer instalment and other personal 323 294 643 890 834 4,730 23,285 9,636 23,005 63,640
Credit cards – – – – – – – – 7,870 7,870
Businesses and governments 5,824 8,264 4,940 3,834 8,684 9,215 29,170 4,977 26,542 101,450
Customers’ liability under acceptances 4,883 3,037 552 – – – – – – 8,472
Allowance for credit losses – – – – – – – – (1,665) (1,665)
Total loans and acceptances, net of allowance 12,056 12,957 9,001 9,493 13,600 31,867 110,490 23,879 55,752 279,095
Other Assets
Derivative instruments
Interest rate contracts 39 98 193 319 260 2,423 8,598 10,292 – 22,222
Foreign exchange contracts 685 665 605 244 149 1,608 1,515 1,201 – 6,672
Commodity contracts 50 79 119 96 75 179 99 42 – 739
Equity contracts 100 82 50 61 69 66 106 2 – 536
Credit contracts – 1 2 4 2 5 56 20 – 90
Total derivative assets 874 925 969 724 555 4,281 10,374 11,557 – 30,259
Premises and equipment – – – – – – – – 2,191 2,191
Goodwill – – – – – – – – 3,893 3,893
Intangible assets – – – – – – – – 1,530 1,530
Current tax assets – – – – – – – – 1,065 1,065
Deferred tax assets – – – – – – – – 2,914 2,914
Other 2,202 148 137 – – – 14 3,624 2,846 8,971
Total other assets 3,076 1,073 1,106 724 555 4,281 10,388 15,181 14,439 50,823
Total Assets 74,056 29,864 15,464 14,495 17,698 48,223 158,539 65,707 113,253 537,299
BMO Financial Group 196th Annual Report 2013 185
Notes