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Notes
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Changes in Level 3 Fair Value Measurements
The table below presents a reconciliation of all changes in Level 3 financial instruments during the year ended October 31, 2014, including realized
and unrealized gains (losses) included in earnings and other comprehensive income.
Change in fair value
For the year ended October 31, 2014
(Canadian $ in millions)
Balance
October 31,
2013
Included in
earnings
Included
in other
compre-
hensive
income Purchases Sales
Maturities/
Settlement (1)
Transfers
into
Level 3
Transfers
out of
Level 3
Fair value
as at
October 31,
2014
Unrealized
gains
(losses) (2)
Trading Securities
Issued or guaranteed by:
U.S. states, municipalities and agencies 78 7– –– –––85 7
Corporate debt 822 65 – – (66) (268) – (15) 538 65
Total trading securities 900 72 – – (66) (268) – (15) 623 72
Available-for-Sale Securities
Issued or guaranteed by:
U.S. states, municipalities and agencies 1 –– –– ––– 1 –
Corporate debt 30 (1) – – (21) – – – 8 –
Corporate equity 949 (37) 94 193 (53) – 4 (12) 1,138 94
Total available-for-sale securities 980 (38) 94 193 (74) – 4 (12) 1,147 94
Other Securities 488 17 – 118 (156) – – – 467 17
Derivative Assets
Credit default swaps 28 (16) – – – – – – 12 (16)
Derivative Liabilities
Credit default swaps 19 (11) – – – – – – 8 (11)
(1) Includes cash settlement of derivative assets and derivative liabilities. (2) Unrealized gains or losses on trading securities, derivative assets and derivative liabilities
held on October 31, 2014 are included in earnings in the year. For available-for-sale
securities, the unrealized gains or losses on securities held on October 31, 2014 are included
in Accumulated Other Comprehensive Income.
184 BMO Financial Group 197th Annual Report 2014