Investor Presentation
Net Interest Margin¹ and Interest Rate Sensitivity
NII ($MM) and NIM ex. trading and Insurance (%)²
1.90
1.92
1.90
1.84
1.81
1.90
1.92
1.89
1.83
1.64
242
160
213
128
285
Term rates decreased in Q1'24 and continue to be volatile, but are
still higher than historical rates
Sustained higher long-term investment rates continue to support
NIM going forward, providing some offset to increased pricing
pressure on deposit products
Swap Rates
5
-CAD 5-yr Avg -USD 5-Yr
-USD 5-yr Avg
4,125
4,579
4,748
4,742
4,607
CAD 5-Yr
5.00
4.50
(389)
(7)
(3)
(14)
(14)
Q1'23
Q2'23
Q3'23
I NII Adjusting Item ($MM)
Q4'23
Trading NII ($MM)
Q1'24
4.00
3.50
■ Adjusteď NII ex trading ($MM)
Reported NIM ex trading & insurance (%)
= Adjusted NIM ex trading & insurance (%)
Total bank ex trading and insurance NIM decreased 6 bps Q/Q
Earnings sensitivities over the next 12 months³
3.00
2.50
2.00
1.50
1.00
Q1'24
0.50
Pre-Tax CDE ($MM)
+100 bps
-100 bps
-25 bps
0.00
Canada²
61
(50)
(15)
Jan-19
Apr-19
Jul-19
Oct-19
Jan-20
Apr-20
Jul-20
U.S.
218
(246)
(62)
Total
278
(296)
(76)
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
Jan-24
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
BMOM
Source: Bloomberg, updated through Feb 05, 2024
This slide contains forward-looking statements. Refer to the Caution Regarding Forward-Looking Statements on
slide 2
Prior period amounts have been reclassified to conform with the current period presentation
1 Net interest margin (NIM) is the ratio of net interest income (NII) to average earning assets, expressed as a
percentage or in basis points. Net interest margin ex trading excludes net interest earned on trading assets.
Average earning assets represents the daily average balance of deposits at central banks, deposits with other
banks, securities borrowed or purchased under resale agreements, securities, and loans
2 Adjusted results and measures are non-GAAP. See slide 56 for more information and slide 57 for adjustments
to reported results
3 For more details see the Structural (Non-Trading) Market Risk section of BMO's 2023 Annual MD&A
4 Includes Canadian dollar and other currencies
5 Chart displays historical CORRA swap rates and SOFR swap rates
Investor Presentation ⚫ February 2024
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