Bank of America 2010 Annual Report Download - page 228

Recurring Fair Value
Assets and liabilities carried at fair value on a recurring basis at December 31, 2010 and 2009, including financial instruments which the Corporation accounts
for under the fair value option, are summarized in the following tables.
(Dollars in millions) Level 1
(1)
Level 2
(1)
Level 3 Adjustments
(2)
at Fair Value
Fair Value Measurements Netting Assets/Liabilities
December 31, 2010
Assets
Federal funds sold and securities borrowed or purchased under agreements
to resell
$ – $ 78,599 $ – $ – $ 78,599
Trading account assets:
U.S. government and agency securities
17,647 43,164 – – 60,811
Corporate securities, trading loans and other 732 40,869 7,751 – 49,352
Equity securities 23,249 8,257 623 – 32,129
Non-U.S. sovereign debt 24,934 8,346 243 – 33,523
Mortgage trading loans and asset-backed securities – 11,948 6,908 – 18,856
Total trading account assets 66,562 112,584 15,525 – 194,671
Derivative assets
(3)
2,627 1,516,244 18,773 (1,464,644) 73,000
Available-for-sale debt securities:
U.S. Treasury securities and agency securities
46,003 3,102 – – 49,105
Mortgage-backed securities:
Agency
– 191,213 4 – 191,217
Agency-collateralized mortgage obligations – 37,017 – – 37,017
Non-agency residential – 21,649 1,468 – 23,117
Non-agency commercial – 6,833 19 – 6,852
Non-U.S. securities 1,440 2,696 3 – 4,139
Corporate/Agency bonds – 5,154 137 – 5,291
Other taxable securities 20 2,354 13,018 – 15,392
Tax-exempt securities – 4,273 1,224 – 5,497
Total available-for-sale debt securities 47,463 274,291 15,873 – 337,627
Loans and leases – – 3,321 – 3,321
Mortgage servicing rights – – 14,900 – 14,900
Loans held-for-sale – 21,802 4,140 – 25,942
Other assets 32,624 31,051 6,856 – 70,531
Total assets $149,276 $2,034,571 $79,388 $(1,464,644) $798,591
Liabilities
Interest-bearing deposits in U.S. offices $ – $ 2,732 $ – $ – $ 2,732
Federal funds purchased and securities loaned or sold under agreements to
repurchase
– 37,424 – – 37,424
Trading account liabilities:
U.S. government and agency securities
23,357 5,983 – – 29,340
Equity securities 14,568 914 – – 15,482
Non-U.S. sovereign debt 14,748 1,065 – – 15,813
Corporate securities and other 224 11,119 7 – 11,350
Total trading account liabilities 52,897 19,081 7 – 71,985
Derivative liabilities
(3)
1,799 1,492,963 11,028 (1,449,876) 55,914
Commercial paper and other short-term borrowings – 6,472 706 – 7,178
Accrued expenses and other liabilities 31,470 931 828 – 33,229
Long-term debt – 47,998 2,986 – 50,984
Total liabilities $ 86,166 $1,607,601 $15,555 $(1,449,876) $259,446
(1)
Gross transfers between Level 1 and Level 2 were approximately $1.3 billion during the year ended December 31, 2010.
(2)
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(3)
For further disaggregation of derivative assets and liabilities, see Note 4 – Derivatives.
226 Bank of America 2010