Bank of Montreal 2015 Annual Report Download - page 168

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 upon 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 upon 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, 2015 and 2014.
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
Assets
Cash and cash equivalents 38,934 441 303 39,678 0.25 1,413 0.12 (44) – (752) 40,295
Interest bearing deposits with banks 7,382 – – 7,382 0.17 – – – – – 7,382
Securities 88,780 863 3,632 93,275 0.59 22,536 2.28 14,063 3.21 1,044 130,918
Securities borrowed or purchased under
resale agreements 63,600 3,375 1,041 68,016 0.28 50 0.65 – – – 68,066
Loans 192,385 13,943 23,254 229,582 3.25 88,412 3.69 4,723 4.04 11,307 334,024
Other assets 39,199 487 1,073 40,759 na 8,998 na 399 na 11,040 61,196
Total assets 430,280 19,109 29,303 478,692 121,409 19,141 22,639 641,881
Liabilities and Equity
Deposits 245,333 18,022 23,935 287,290 0.54 133,225 0.86 17,654 0.93 – 438,169
Securities sold but not yet purchased 21,223 – 1 21,224 1.04 – – 2 – – 21,226
Securities lent or sold under repurchase
agreements 39,588 121 182 39,891 0.22 – – – – – 39,891
Other liabilities 58,211 296 3,245 61,752 na 14,312 na 9,970 na 12,232 98,266
Subordinated debt 66 700 1,500 2,266 4.21 2,000 4.84 150 7.83 – 4,416
Total equity 1,169 – 290 1,459 na 2,207 na 600 na 35,647 39,913
Total liabilities and shareholders’ equity 365,590 19,139 29,153 413,882 151,744 28,376 47,879 641,881
Asset/liability gap position 64,690 (30) 150 64,810 (30,335) (9,235) (25,240) –
Notional amounts of derivatives (56,851) (445) 3,092 (54,204) 48,883 5,321 – –
Total interest rate gap position – 2015
Canadian dollar 6,563 1,989 4,690 13,242 6,608 1,054 (20,904) –
Foreign currency 1,276 (2,464) (1,448) (2,636) 11,940 (4,968) (4,336) –
Total gap 7,839 (475) 3,242 10,606 18,548 (3,914) (25,240) –
Total interest rate gap position – 2014
Canadian dollar 3,934 (5,433) 6,672 5,173 16,048 2,082 (23,303) –
Foreign currency 2,174 (4,072) (580) (2,478) 5,399 (3,877) 956 –
Total gap 6,108 (9,505) 6,092 2,695 21,447 (1,795) (22,347) –
na – not applicable
Note 21: Capital Management
Our objective is to maintain a strong capital position in a cost-effective structure that: considers our target regulatory capital ratios and internal
assessment of required economic capital; is consistent with our targeted credit ratings; underpins our operating groups’ business strategies; and
builds depositor confidence and long-term shareholder value.
Our approach includes establishing limits, targets and performance measures for the management of balance sheet positions, risk levels and
minimum capital amounts, as well as issuing and redeeming capital instruments to obtain a cost-effective capital structure.
Regulatory capital requirements and risk-weighted assets for the consolidated entity are determined on a Basel III basis.
Adjusted common shareholders’ equity, referred to as Common Equity Tier 1 capital under Basel III, is the most permanent form of capital. It is
comprised of common shareholders’ equity less deductions for goodwill, intangible assets and certain other items under Basel III. Tier 1 capital is
primarily comprised of regulatory common equity, preferred shares and innovative hybrid instruments, net of Tier 1 capital deductions. Tier 2 capital
is primarily comprised of subordinated debentures and the eligible portion of the collective allowance for credit losses, net of certain Tier 2 capital
deductions. Total capital includes Tier 1 and Tier 2 capital. Details of the components of our capital position are presented in Notes 11, 14, 15, 16
and 17.
BMO Financial Group 198th Annual Report 2015 181