Financial Results
Interest Rate Sensitivity
Year 1 benefit to an incremental +100bps rate shock decreased
modestly Q/Q, reflecting a relatively neutral positioning
Year 2 benefit to rising rates (+100bps) of approximately
$600MM driven by long rates and the continued reinvestment
of capital and deposits
Effective deposit betas remained at elevated levels in Q4, as
customers continued to rotate into higher rate products, both
on and off-balance sheet
Cumulative effective deposit beta³ for this interest rate cycle
has been approximately 53%, comparable to our modeled
assumptions
•
Term rates increased in Q4'23 to historical highs and continue
to be volatile
Sustained higher long-term investment rates continue to
support NIM going forward, providing some offset to
increased pricing pressure on deposit products
Swap Rates
-USD 5-Yr
-USD 5-yr Avg
CAD 5-Yr
--CAD 5-yr Avg
5.00
4.50
4.00
3.50
Earnings sensitivities over the next 12 months¹
Q4'23
3.00
2.50
Pre-Tax CDE ($MM) +100 bps -100 bps -25 bps
2.00
1.50
Canada²
31
(36)
(9)
1.00
U.S.
273
(289)
0.50
(74)
0.00
Total
304
(325)
(83)
Oct-18
Jan-19
Apr-19
Jul-19
Oct-19
Jan-20
Apr-20
Jul-20
Oct-20
Jan-21
Apr-21
Jul-21
Oct-21
Jan-22
Apr-22
Jul-22
Oct-22
Jan-23
Apr-23
Jul-23
Oct-23
Source: Bloomberg, updated through Nov 07, 2023
This slide contains forward-looking statements. Refer to the Caution Regarding Forward-Looking Statements on slide 2
1 For more details see the Structural (Non-Trading) Market Risk section of BMO's 2023 Annual MD&A
2 Includes Canadian dollar and other currencies
3 Includes impact of deposit rotation out of non-interest bearing into interest bearing, as well as net deposit declines in the U.S.
4 Chart displays historical CORRA swap rates and SOFR swap rates
BMOM
Financial Results ⚫ December 1, 2023
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