Bank of Montreal 2013 Annual Report Download - page 135

2012
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Total assets and liabilities included in our Consolidated Balance Sheet related to our unconsolidated SPEs and our related exposure to losses are
summarized in the following table:
(Canadian $ in millions) 2013
Structured Structured
Canadian customer finance Canadian customer finance
securitization vehicles vehicles securitization vehicles vehicles
On-balance sheet assets at carrying value
Trading securities
Available-for-sale securities – 13 12,120 – 20 98 10,324 –
Loans 81 – – –
Other – 119 – –
94 12,239 118 10,324
On-balance sheet liabilities at carrying value
Deposits
Derivatives – – 6,584 985 – – 5,175 607
Other – 4,582 – 4,350
– 12,151 – 10,132
Exposure to loss
Securities held 94 12,116 118 10,324
Drawn facilities – – – –
Undrawn facilities (1) 3,866 na 3,691 na
Derivative assets – – – –
3,960 12,116 3,809 10,324
(1) These facilities are backstop liquidity facilities provided to our Canadian customer securitization vehicles. None of the backstop liquidity facilities provided to our Canadian customer securitization
vehicles related to credit support as at October 31, 2013 and 2012.
na – not applicable
Total assets and liabilities included in our Consolidated Balance Sheet related to our consolidated SPEs and our exposure to losses are summarized in
the following table, with the exception of our compensation trusts, which are described in further detail below:
(Canadian $ in millions) 2013
Canadian U.S. Canadian U.S.
Bank customer customer Capital Bank customer customer Capital
securit- securit- securit- Credit Structured and securit- securit- securit- Credit Structured and
ization ization ization protection investment funding ization ization ization protection investment funding
vehicle vehicles vehicle vehicle (1) vehicles (2) vehicles (3) vehicle vehicles vehicle vehicle vehicles vehicles (3)
On-balance sheet assets at
carrying value
Cash and cash equivalents – – 370 1,430 7 319 – – 10 2,069 – 433
Trading securities – – – – – – – – – 157 1,597 –
Available-for-sale securities – – – – – – – – – – – –
Loans 7,190 – 3,537 – – 20,717 7,264 – 3,364 – – 13,230
Other 25 640 3 – – 40 46 574 4 – – 33
7,215 640 3,910 1,430 7 21,076 7,310 574 3,378 2,226 1,597 13,696
On-balance sheet liabilities at
carrying value
Deposits – – 3,578 – – – – – 3,118 – – –
Subordinated debt – – – – – 802 – – –– –802
Capital Trust Securities – – – – – 463 – – –– –462
Other 4,328 – 2 530 7 18 5,186 – 5 819 184 18
4,328 – 3,580 530 7 1,283 5,186 – 3,123 819 184 1,282
Exposure to loss
Securities held 1,499 640 – 922 – 842 192 574 – 1,385 – 842
Drawn facilities – – 264 – – 18,579 – – 58 – 1,440 11,132
Undrawn facilities – – 4,417 – – 7,026 – 7 4,144 522 40 2,973
Derivative assets – – –20 –84 – – 2 104 1 91
1,499 640 4,681 942 – 26,531 192 581 4,204 2,011 1,481 15,038
(1) During the year ended October 31, 2013, the senior funding facility provided to our credit Mortgages in excess of the amount of covered bonds outstanding plus minimum required
protection vehicle was terminated. over-collateralization amounts under these programs are readily available to the bank. The
(2) During the year ended October 31, 2013, Links Finance Corporation sold its remaining assets undrawn facilities also primarily relate to our covered bond programs; the bank retains the
and fully repaid our liquidity facility. authority to determine whether the facilities are utilized.
(3) The loans balance primarily consists of mortgages transferred to our covered bond programs.
Notes
146 BMO Financial Group 196th Annual Report 2013
2012