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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Notes
164 BMO Financial Group 193rd Annual Report 2010
Other Items Measured at Fair Value
Certain assets such as foreclosed assets are measured at fair value
at initial recognition but are not required to be measured at fair value
on an ongoing basis.
As at October 31, 2010, we held $137 million of foreclosed
assets measured at fair value at inception, all of which were classified
as Level 2. For the year ended October 31, 2010, we recorded
write-downs of $90 million on these assets.
The table below presents a reconciliation of all changes in Level 3 financial instruments for the year ended October 31, 2009, including realized
and unrealized gains (losses) included in earnings and other comprehensive income.
For the year ended October 31, 2009 (Canadian $ in millions)
Change in fair value
Included
in other Fair value
Balance, compre- Transfers Transfers as at Unrealized
October 31, Included in hensive into out of October 31, gains
2008 earnings income Purchases Sales Maturities (1) Level 3 Level 3 2009 (losses) (2)
Trading Securities
Issued or guaranteed by:
U.S. states, municipalities and agencies – (4) – 55 (2) – – – 49 8
Mortgage-backed securities and
collateralized mortgage obligations – 8 – 232 (59) – 23 – 204 (8)
Corporate debt 1,535 (201) – 691 (1) – – (548) 1,476 (198)
Total trading securities 1,535 (197) – 978 (62) – 23 (548) 1,729 (198)
Available-for-Sale Securities
Issued or guaranteed by:
U.S. states, municipalities and agencies – (11) (3) 116 (16) – – – 86 –
Mortgage-backed securities and
collateralized mortgage obligations – – 1 42 (4) – – – 39 –
Corporate debt 2,545 (331) 41 565 (225) – – (635) 1,960 (335)
Corporate equity 343 (14) (33) 16 (1) – – – 311 –
Total available-for-sale securities 2,888 (356) 6 739 (246) – – (635) 2,396 (335)
Derivative Assets
Interest rate contracts – 1 – – – – – – 1 1
Equity contracts 35 207 – 12 – (1) – (242) 11 208
Credit default swaps 1,250 (10) – – – (673) – – 567 567
Total derivative assets 1,285 198 – 12 – (674) – (242) 579 776
Derivative Liabilities
Interest rate contracts 49 526 – – – (502) – – 73 (73)
Equity contracts 79 (8) – 41 – (15) – – 97 9
Credit default swaps 3 – – – – – – – 3 (3)
Total derivative liabilities 131 518 – 41 – (517) – – 173 (67)
(1) Includes cash settlement of derivative assets and derivative liabilities.
(2) Unrealized gains or losses on trading securities, derivative assets and derivative liabilities
still held on October 31, 2009 are included in earnings in the year. For available-for-sale
securities, the unrealized gains or losses on securities still held on October 31, 2009 are included
in Accumulated Other Comprehensive Income.
Certain comparative figures have been reclassified to conform with the current year’s presentation.