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Notes
The table below presents a reconciliation of all changes in Level 3 financial instruments during the year ended October 31, 2013, including realized
and unrealized gains (losses) included in earnings and other comprehensive income.
Change in fair value
For the year ended October 31, 2013
(Canadian $ in millions)
Balance
October 31,
2012
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,
2013
Unrealized
gains
(losses) (2)
Trading Securities
Issued or guaranteed by:
Canadian provincial and municipal governments 73 1 – – (46) – – (28) – –
U.S. states, municipalities and agencies 78 – – – – – – – 78 –
Mortgage-backed securities and collateralized
mortgage obligations 372 28 – – (378) (39) 17 – – –
Corporate debt 1,331 42 – 3 (227) (327) – – 822 39
Total trading securities 1,854 71 – 3 (651) (366) 17 (28) 900 39
Available-for-Sale Securities
Issued or guaranteed by:
U.S. states, municipalities and agencies 9 – – – (8) – – – 1 –
Corporate debt 42 – 2 27 (10) (2) – (29) 30 1
Corporate equity 942 (19) 46 119 (135) – – (4) 949 44
Total available-for-sale securities 993 (19) 48 146 (153) (2) – (33) 980 45
Other Securities 526 14 – 86 (138) – – – 488 9
Derivative Assets
Interest rate contracts 3 (3) – – – – – – – (3)
Equity contracts 5 – – – (1) – – (4) – –
Credit default swaps 37 (9) – – – – – – 28 (9)
Total derivative assets 45 (12) – – (1) – – (4) 28 (12)
Derivative Liabilities
Interest rate contracts 20 (20) – – – – – – – (20)
Equity contracts 44 15 – – (3) – 6 (62) – –
Foreign exchange contracts 2 – – – – – – (2) – –
Credit default swaps 2 17 – – – – – – 19 (17)
Total derivative liabilities 68 12 – – (3) – 6 (64) 19 (37)
(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, 2013 are included in earnings in the year. For available-for-sale
securities, the unrealized gains or losses on securities held on October 31, 2013 are included
in Accumulated Other Comprehensive Income.
BMO Financial Group 197th Annual Report 2014 185