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Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
The table below presents a reconciliation of all changes in Level 3 financial instruments for the year ended October 31, 2011, including realized and
unrealized gains (losses) included in earnings and other comprehensive income.
Change in fair value
For the year ended October 31, 2011
(Canadian $ in millions)
Balance,
November 1,
2010
Included in
earnings
Included
in other
compre-
hensive
income Purchases Sales Maturities (1)
Transfers
into
Level 3
Transfers
out of
Level 3
Fair value
as at
October 31,
2011
Unrealized
gains
(losses) (2)
Trading Securities
Mortgage-backed securities and collateralized
mortgage obligations 780 (20) – – (12) (47) – (207) 494 (17)
Corporate debt 1,605 6 – 42 (2) (27) – (139) 1,485 (26)
Total trading securities 2,385 (14) – 42 (14) (74) – (346) 1,979 (43)
Available-for-Sale Securities
Issued or guaranteed by:
U.S. states, municipalities and agencies 20 6 1 23 (18) (7) – – 25 1
Mortgage-backed securities and collateralized
mortgage obligations 20 – – – – – – (20) – –
Corporate debt 347 – (5) – (132) (148) – – 62 –
Corporate equity 435 9 (6) 657 (84) – – – 1,011 6
Total available-for-sale securities 822 15 (10) 680 (234) (155) – (20) 1,098 7
Other Securities 537 65 – 55 (164) – – – 493 –
Total other securities 537 65 – 55 (164) – – – 493 –
Derivative Assets
Interest rate contracts 217 9 – 8 – (68) 1 – 167 158
Equity contracts 8 8 – – – (4) – (6) 6 9
Credit default swaps 160 (9) – 3 – (9) – (78) 67 67
Total derivative assets 385 8 – 11 – (81) 1 (84) 240 234
Derivative Liabilities
Interest rate contracts 48 – – 4 – (10) – (4) 38 (42)
Equity contracts 71 10 – 3 – (10) – (9) 65 (65)
Credit default swaps 3 (1) – – – – – – 2 (1)
Total derivative liabilities 122 9 – 7 – (20) – (13) 105 (108)
(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, 2011 are included in trading revenue (losses) in the year. For
available-for-sale securities, the unrealized gains or losses on securities still held on
October 31, 2011 are included in Accumulated Other Comprehensive Income.
176 BMO Financial Group 195th Annual Report 2012