Bank of Montreal 2008 Annual Report Download - page 138

Interest Rate Gap Position
(Canadian $ in millions)
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 resources $ (3,467) $ – $ – $ (3,467) 1.67 $ 303 – $ – – $ (1,309) $ (4,473)
Securities 51,434 670 689 52,793 3.93 5,640 3.60 48 4.70 158 58,639
Securities borrowed or purchased
under resale agreements 15,285 47 – 15,332 2.79 – – – – – 15,332
Loans 70,530 3,533 5,997 80,060 4.28 25,329 5.23 2,649 5.83 10,599 118,637
Other assets (417) (365) (306) (1,088) n/a 3,550 – – – 2,733 5,195
Total assets 133,365 3,885 6,380 143,630 34,822 2,697 12,181 193,330
Liabilities and Shareholders’ Equity
Deposits 64,879 7,058 14,827 86,764 1.79 45,971 4.09 4,558 5.31 – 137,293
Securities sold but not yet purchased 13,769 – – 13,769 4.51 – – – – – 13,769
Securities lent or sold under
repurchase agreements 18,535 – 137 18,672 2.65 – – – – – 18,672
Other liabilities (13,777) 70 266 (13,441) n/a 2,130 n/a 1,050 n/a 10,599 338
Subordinated debt, Capital trust securities
and Preferred share liability 515 – – 515 4.18 2,950 5.13 2,250 5.24 – 5,715
Shareholders’ equity 218 – – 218 n/a 1,100 n/a 250 n/a 15,975 17,543
Total liabilities and shareholders’ equity 84,139 7,128 15,230 106,497 52,151 8,108 26,574 193,330
Asset/liability gap position 49,226 (3,243) (8,850) 37,133 (17,329) (5,411) (14,393) –
Notional amounts of derivatives (37,973) 806 6,968 (30,199) 23,624 6,575 – –
Total Canadian dollar
interest rate gap position
2008 $ 11,253 $(2,437) $(1,882) $ 6,934 $ 6,295 $ 1,164 $(14,393) $ –
2007 (1,024) 419 4,787 4,182 7,958 251 (12,391) –
U.S. Dollar and Other Currencies
Assets
Cash resources $ 21,619 $ 1,821 $ 612 $ 24,052 0.71 $ 1,413 – $ 206 – $ (93) $ 25,578
Securities 33,672 1,109 1,268 36,049 3.08 4,208 4.89 1,208 7.08 34 41,499
Securities borrowed or purchased
under resale agreements 12,689 – – 12,689 1.41 – – 12 – – 12,701
Loans 47,868 2,602 3,657 54,127 4.42 11,936 6.24 1,568 5.65 694 68,325
Other assets 68,108 744 1,136 69,988 n/a 2,541 n/a –n/a 2,088 74,617
Total assets 183,956 6,276 6,673 196,905 20,098 2,994 2,723 222,720
Liabilities and Shareholders’ Equity
Deposits 91,487 8,313 7,115 106,915 2.51 11,609 2.12 1,853 1.46 – 120,377
Securities sold but not yet purchased 5,023 – – 5,023 2.56 – – – – – 5,023
Securities lent or sold under
repurchase agreements 13,820 – – 13,820 1.15 – – – – – 13,820
Other liabilities 81,140 66 133 81,339 n/a 1,106 n/a –n/a 694 83,139
Shareholders’ equity ––– –n/a 361 n/a –n/a – 361
Total liabilities and shareholders’ equity 191,470 8,379 7,248 207,097 13,076 1,853 694 222,720
Asset/liability gap position (7,514) (2,103) (575) (10,192) 7,022 1,141 2,029 –
Notional amounts of derivatives 5,519 – (241) 5,278 (4,284) (994) – –
Total U.S. dollar and other currencies
interest rate gap position
2008 $ (1,995) $(2,103) $ (816) $ (4,914) $ 2,738 $ 147 $ 2,029 $ –
2007 (8,343) (2,236) (202) (10,781) 7,887 1,083 1,811 –
Certain comparative figures have been reclassified to conform with the current year’s presentation.
n/a –not applicable
Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
134 | BMO Financial Group 191st Annual Report 2008