Bank of Montreal 2013 Annual Report Download - page 173
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Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
The table below presents a reconciliation of all changes in Level 3 financial instruments during the year ended October 31, 2012, including realized
and unrealized gains (losses) included in earnings and other comprehensive income.
Change in fair value
Included
in other Fair value
Balance, compre- Transfers Transfers as at Unrealized
For the year ended October 31, 2012 October 31, Included in hensive into out of October 31, gains
(Canadian $ in millions) 2011 earnings income Purchases Sales Maturities (1) Level 3 Level 3 2012 (losses) (2)
Trading Securities
Issued or guaranteed by:
Canadian provincial and municipal governments – 5 – 68 – – – – 73 5
U.S. states, municipalities and agencies – 3 – 75 – – – – 78 3
Mortgage-backed securities and collateralized
mortgage obligations 494 12 – – (167) (58) 105 (14) 372 11
Corporate debt 1,485 35 – 20 (214) (1) 18 (12) 1,331 38
Total trading securities 1,979 55 – 163 (381) (59) 123 (26) 1,854 57
Available-for-Sale Securities
Issued or guaranteed by:
U.S. states, municipalities and agencies 25 – (1) – – (16) 1 – 9 (3)
Mortgage-backed securities and collateralized
mortgage obligations – – – – – – – – – –
Corporate debt 62 – 5 25 (8) (18) – (24) 42 6
Corporate equity 1,011 (3) 15 148 (217) (12) – – 942 15
Total available-for-sale securities 1,098 (3) 19 173 (225) (46) 1 (24) 993 18
Other Securities 493 10 – 102 (79) – – – 526 10
Derivative Assets
Interest rate contracts 167 (6) – – – (158) – – 3 (6)
Equity contracts 6 (1) – 1 – (1) – – 5 (1)
Credit default swaps 67 (35) – 5 – – – – 37 (35)
Total derivative assets 240 (42) – 6 – (159) – – 45 (42)
Derivative Liabilities
Interest rate contracts 38 (23) – 5 – – – – 20 23
Equity contracts 65 27 – 1 (35) (5) – (9) 44 (7)
Foreign exchange contracts – 2 – – – – – – 2 (2)
Credit default swaps 2 – – – – – – – 2 –
Total derivative liabilities 105 6 – 6 (35) (5) – (9) 68 14
(1) Includes cash settlement of derivative assets and derivative liabilities. securities, the unrealized gains or losses on securities held on October 31, 2012 are included
(2) Unrealized gains or losses on trading securities, derivative assets and derivative liabilities in Accumulated Other Comprehensive Income.
held on October 31, 2012 are included in earnings in the year. For available-for-sale
184 BMO Financial Group 196th Annual Report 2013