Bank of Montreal 1998 Annual Report Download - page 66

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BANK OF MONTREAL GROUP OF COMPANIES
TABLE 7 INTEREST RATE GAP POSITION ($ millions)
Total Effective Effective Effective Non- Effective
0 to 3 4 to 6 7 to 12 within interest 2–5 interest Over 5 interest interest interest
As at October 31 months months months 1 year rate (%) years rate (%) years rate (%) sensitive rate (%) Total
Canadian Dollars
Assets
Cash resources 978 142 426 1,546 4.22 280 0.00 0 0.00 3,470 0.00 5,296
Securities 13,989 171 1,205 15,365 5.59 1,195 8.73 644 7.82 12 na 17,216
Loans 29,626 5,612 7,423 42,661 7.19 24,648 6.60 1,078 7.33 1 na 68,388
Other 4,667 105 211 4,983 na 1,688 na 0 na 3,237 na 9,908
Total assets 49,260 6,030 9,265 64,555 27,811 1,722 6,720 100,808
Liabilities
Deposits 34,534 4,224 11,959 50,717 3.64 18,553 3.51 168 5.46 0 na 69,438
Subordinated debt 160 0 0 160 5.46 1,400 7.03 1,765 7.73 0 na 3,325
Other 7,118 532 1,963 9,613 5.70 1,320 1.47 0 0.00 6,890 na 17,823
Shareholders’ equity 72 0 200 272 na 250 na 1,050 na 8,650 na 10,222
Total liabilities and
shareholders’ equity 41,884 4,756 14,122 60,762 21,523 2,983 15,540 100,808
On-balance sheet gap position 7,376 1,274 (4,857) 3,793 6,288 (1,261) (8,820) 0
Off-balance sheet gap position (5,300) 163 (2,914) (8,051) 5,311 2,740 0 0
Total interest rate gap position
1998 2,076 1,437 (7,771) (4,258) 11,599 1,479 (8,820) 0
1997 (1,033) 516 (2,981) (3,498) 10,159 988 (7,649) 0
19 9 6 (5,776) 2,561 (183) (3,398) 15,303 (267) (11,638) 0
199 5 (2,807) 868 (1,446) (3,385) 12,948 857 (10,420) 0
1994 (2,954) 2,725 (2,103) (2,332) 8,802 907 (7,377) 0
U.S. Dollar and Other Currencies
Assets
Cash resources 10,832 2,476 3,074 16,382 5.63 1,537 0.00 577 2.52 (4,062) 0.00 14,434
Securities 11,656 1,025 1,737 14,418 5.43 5,845 6.30 5,163 6.96 823 na 26,249
Loans 49,941 3,264 2,032 55,237 6.10 4,605 6.96 1,183 6.05 278 na 61,303
Other 6,536 (45) 93 6,584 na 2,476 na 492 na 10,244 na 19,796
Total assets 78,965 6,720 6,936 92,621 14,463 7,415 7,283 121,782
Liabilities
Deposits 54,534 7,060 4,358 65,952 5.00 5,513 1.62 2,468 0.89 612 na 74,545
Subordinated debt 540 0 0 540 5.62 0 0.00 926 6.95 0 na 1,466
Other 37,342 387 438 38,167 4.00 529 2.19 353 7.38 6,336 na 45,385
Shareholders’ equity 0000na386na0na0na386
Total liabilities and
shareholders’ equity 92,416 7,447 4,796 104,659 6,428 3,747 6,948 121,782
On-balance sheet gap position (13,451) (727) 2,140 (12,038) 8,035 3,668 335 0
Off-balance sheet gap position 927 1,458 1,118 3,503 (355) (3,148) 0 0
Total interest rate gap position
1998 (12,524) 731 3,258 (8,535) 7,680 520 335 0
1997 (19,243) 3,155 10,572 (5,516) 4,491 214 811 0
19 9 6 (11,184) 2,821 5,924 (2,439) 1,689 852 (102) 0
199 5 (4,910) 3,566 792 (552) 3,063 402 (2,913) 0
1994 (352) (2,939) 1,490 (1,801) 4,109 287 (2,595) 0
SUPPLEMENTAL INFORMATION
na – Not applicable
Gap Position
The determination of the interest rate sensitivity or “gap” position, which is based
upon the earlier of the repricing or maturity date of assets, liabilities and derivatives
used to manage interest rate risk, by necessity, encompasses numerous assumptions.
The gap position presented is at October 31 of each respective year. It represents
the position outstanding at the close of the business day and may change significantly
in subsequent periods based upon customer preferences and the application of the
Bank’s asset and liability management policies.
The assumptions for 1998 are as follows:
Deposits/Liabilities
Interest bearing, non-maturity deposits on which the interest rates have historically
moved in reference to a specific interest rate basis, such as prime, and which are above
the minimum interest committed are reported as interest sensitive in the 0–3 month
category. Such deposits may be sensitive to declining rates only to the extent of the
minimum interest rate committed. When they no longer demonstrate correlation with
market interest rate movements, they are reported in time periods based on expected
balance behaviour.
Investment certificates are reported based upon scheduled maturity without
reference to early redemption or renewal options.
Term deposits are reported based upon scheduled maturity and estimated
redemption based upon historical behaviour.
Fixed rate non-maturity liabilities and non-interest bearing non-maturity liabilities
are reported based upon historical account balance behaviour.
Capital
Common Shareholders’ Equity is reported as non-interest sensitive.
Assets
Fixed term assets such as residential mortgages and consumer loans are reported
based upon the scheduled repayments and estimated prepayments based upon
historical behaviour.
Trading assets are reported in the 0–3 month category.
Fixed rate, non-maturity assets and non-interest bearing non-maturity assets are
reported based upon historical balance behaviour.
Yields
Yields are based upon the contractual interest rate in effect for the assets or liabilities
on the reporting date.
Prior to 1997 non-maturity assets and liabilities were reported as non-interest sensitive.