Financial Results
Interest Rate Sensitivity
•
•
Year 1 benefit/ exposure to an incremental +/- 100bps rate
shock reflects a relatively neutral positioning
Year 2 benefit to rising rates (+100bps) of approximately
$700MM driven by long rates and the continued reinvestment
of capital and deposits
Effective deposit betas were comparable to modeled
assumptions through the rate hike cycle
Deposit costs have continued to increase as competition for
funding has led to spread compression
.
Term rates decreased in Q1'24 and continue to be volatile,
but are still higher than historical rates
Sustained higher long-term investment rates continue to
support NIM going forward, providing some offset to
increased pricing pressure on deposit products
Swap Rates³
---CAD 5-yr Avg
-USD 5-Yr
--USD 5-yr Avg
-CAD 5-Yr
5.00
4.50
4.00
Earnings sensitivities over the next 12 months¹
3.50
3.00
Q1'24
Pre-Tax CDE ($MM)
+100 bps -100 bps
-25 bps
2.50
2.00
Canada²
61
(50)
(15)
1.50
1.00
U.S.
218
(246)
(62)
0.50
0.00
Total
278
(296)
(76)
This slide contains forward-looking statements. Refer to the Caution Regarding Forward-Looking Statements on slide 2
1 Sensitivities assumes immediate and sustained parallel shift in interest rates and using a constant balance sheet. For more details see the Structural (Non-Trading) Market Risk section of BMO's First Quarter 2024 MD&A
2 Includes Canadian dollar and other currencies
3 Chart displays historical CORRA swap rates and SOFR swap rates
BMOM
Jan-19
Apr-19
Jul-19
Oct-19
Jan-20
Apr-20
Jul-20
Source: Bloomberg, updated through Feb 05, 2024
Oct-20
Jan-21
Apr-21
Jul-21
Oct-21
Jan-22
.
Financial Results ⚫ February 27, 2024
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