Q2 F2023 - Bank of the West Contribution & Financial Results
Interest Rate Sensitivity
Earnings sensitivities over the next 12 months¹
Year 1 benefit to an incremental +100bps rate shock decreased Q/Q
Earnings sensitivity has decreased since Q1 pursuant to the close
of the BOTW acquisition¹
Our duration position was shorter (more asset sensitive) than our
neutral target as we approached acquisition date, to offset the
longer duration, less asset sensitive balance sheet we were
acquiring
Post close, our April 30, 2023 risk metrics reflect relatively neutral
positioning
Year 2 benefit to rising rates (+100bps) of approximately $600MM
driven by long rates and the continued reinvestment of capital and
deposits
•
Term rates decreased in Q2'23 and continue to be volatile, but are
still higher than historical rates
Sustained higher long-term investment rates continue to support NIM
going forward, providing some offset to increased pricing pressure on
deposit products
Effective deposit betas accelerated in Q2, as customers continued to
rotate into higher rate products, both on and off-balance sheet
Cumulative effective deposit beta³ for this interest rate cycle has
been approximately 49%, comparable to our modeled
assumptions
5.00
Q2'23
+25 bps
4.50
Pre-Tax CDE ($MM)
+100 bps -25 bps -100 bps
Short
4.00
Rates
3.50
Canada²
94
(24)
(96)
(1)
3.00
do 2.50
U.S.
188
(52)
(228)
23
2.00
1.50
Total
281
(76)
(324)
22
1.00
0.50
0.00
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 Second 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.
BMOM
-CAD 5-Yr
Swap Rates
--CAD 5-yr Avg -USD 5-Yr -USD 5-yr Avg
Apr-18
Jul-18
Oct-18
Jan-19
Apr-19
Jul-19
Oct-19
Jan-20
Apr-20
Source: Bloomberg, updated through May 08, 2023
Jul-20
Oct-20
Jan-21
Apr-21
Jul-21
Oct-21
Jan-22
Apr-22
Jul-22
Oct-22
•
Financial Results May 24, 2023
15
Jan-23
Apr-23View entire presentation