Canadian Personal & Commercial Banking - Financial Results
Interest Rate Sensitivity
•
Year 1 benefit to an incremental +100bps rate shock increased
Q/Q
-
July 31, 2023 risk metrics reflect relatively neutral positioning
Year 2 benefit to rising rates (+100bps) of approximately
$700MM driven by long rates and the continued reinvestment
of capital and deposits
Effective deposit betas remained at elevated levels in Q3, as
customers continued to rotate into higher rate products, both
on and off-balance sheet
Cumulative effective deposit beta³ for this interest rate cycle
has been approximately 49%, comparable to our modeled
assumptions
Earnings sensitivities over the next 12 months¹
Q3'23
4.50
4.00
3.50
3.00
2.50
di
+25 bps
2.00
Pre-Tax CDE ($MM) +100 bps -25 bps -100 bps
Short
Rates
1.50
Canada²
42
(12)
(53)
(14)
1.00
0.50
U.S.
266
(75)
(294)
45
0.00
Total
308
(87)
(348)
31
Term rates increased in Q3'23 and continue to be volatile,
reinvestment rates have reached the highest point in recent
years
Sustained higher long-term investment rates continue to
support NIM going forward, providing some offset to
increased pricing pressure on deposit products
-CAD 5-Yr
Swap Rates
---CAD 5-yr Avg
Jul-18
Oct-18
Jan-19
Apr-19
Jul-19
Oct-19
Jan-20
-
-USD 5-Yr
Apr-20
Jul-20
Oct-20
Jan-21
Apr-21
-USD 5-yr Avg
Jul-21
Oct-21
Jan-22
Apr-22
Jul-22
Oct-22
Jan-23
Source: Bloomberg, updated through Aug 03, 2023
This slide contains forward-looking statements, please 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 Third Quarter 2023 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 ⚫ August 29, 2023
35
Apr-23
Jul-23View entire presentation