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Bank of America 2011 251

The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant

unobservable inputs (Level 3) during 2011, 2010 and 2009, including net realized and unrealized gains (losses) included in earnings

and accumulated OCI.

Level 3 – Fair Value Measurements (1)

(Dollars in millions)

Trading account assets:

Corporate securities, trading

loans and other (2)

Equity securities

Non-U.S. sovereign debt

Mortgage trading loans and ABS

Total trading account assets

Net derivative assets (3)

AFS debt securities:

Mortgage-backed securities:

Agency

Agency-collateralized

mortgage obligations

Non-agency residential

Non-agency commercial

Non-U.S. securities

Corporate/Agency bonds

Other taxable securities

Tax-exempt securities

Total AFS debt securities

Loans and leases (2, 4)

Mortgage servicing rights (4)

Loans held-for-sale (2)

Other assets (5)

Trading account liabilities –

Corporate securities and other

Other short-term borrowings (2)

Accrued expenses and other

liabilities (2)

Long-term debt (2)

2011

Balance

January 1

2011

$ 7,751

557

243

6,908

15,459

7,745

—

1,468

137

13,018

1,224

15,873

3,321

14,900

4,140

6,922

(7)

(706)

(828)

(2,986)

Consolidation

of VIEs

$—

—

5,194

—

Gains

(Losses)

in Earnings

$ 490

442

1,068

5,199

—

(158)

—

(12)

(123)

(55)

(5,661)

140

(30)

(188)

Gains

(Losses)

in OCI

$—

—

(8)

(35)

—

Gross

Purchases

$ 5,683

335

188

2,222

8,428

1,235

—

304

3,876

2,862

7,138

—

157

1,932

133

—

520

Sales

$(6,664)

(362)

(137)

(4,713)

(11,876)

(1,553)

(11)

(56)

(307)

—

(17)

(2,245)

(92)

(2,728)

(2,644)

(896)

(483)

(2,391)

(189)

—

(2)

(72)

Issuances

$—

—

3,118

1,656

—

(9)

(520)

Settlements

$(1,362)

(140)

(3)

(440)

(1,945)

(7,779)

—

(568)

—

(5,112)

(697)

(6,377)

(1,830)

(2,621)

(961)

(768)

—

838

Gross

Transfers

into

Level 3

$ 1,695

132

1,910

1,199

—

373

548

—

565

375

(65)

—

(2,111)

Gross

Transfers

out of

Level 3

$(713)

(27)

(44)

(805)

(1,589)

(180)

(4)

—

(91)

(249)

(5,321)

(673)

(6,338)

(4,386)

—

(67)

(1,975)

650

761

1,576

Balance

December 31

2011

$ 6,880

544

342

3,689

11,455

5,866

—

860

—

162

4,265

2,648

8,012

2,744

7,378

3,387

4,235

(114)

—

(14)

(2,943)

(1) Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.

(2) Amounts represent items that are accounted for under the fair value option.

(3) Net derivatives at December 31, 2011 include derivative assets of $14.4 billion and derivative liabilities of $8.5 billion.

(4) Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales.

(5) Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments.

During 2011, the transfers into Level 3 included $1.9 billion of

trading account assets, $1.2 billion of net derivative assets and

$2.1 billion of long-term debt accounted for under the fair value

option. Transfers into Level 3 for trading account assets were

primarily certain CLOs, corporate loans and bonds which were

transferred due to decreased market activity. Transfers into Level

3 for net derivative assets were the result of changes in the

valuation methodology for certain total return swaps, in addition

to increases in certain equity derivatives with significant

unobservable inputs. Transfers into Level 3 for long-term debt were

primarily due to changes in the impact of unobservable inputs on

the value of certain structured liabilities. Transfers occur on a

regular basis for these long-term debt instruments based on the

fair value of the embedded derivative in relation to the instrument

as a whole.

During 2011, the transfers out of Level 3 included $1.6 billion

of trading account assets, $6.3 billion of AFS debt securities, $4.4

billion of loans and leases, $2.0 billion of other assets and $1.6

billion of long-term debt. Transfers out of Level 3 for trading account

assets were primarily driven by increased price observability on

certain RMBS, commercial mortgage-backed securities and

consumer ABS portfolios as well as certain corporate bond

positions due to increased trading volume. Transfers out of Level

3 for AFS debt securities primarily related to auto, credit card and

student loan ABS portfolios due to increased trading volume in

the secondary market for similar securities. Transfers out of Level

3 for loans and leases were driven by increased observable inputs,

primarily market comparables, for certain corporate loans

accounted for under the fair value option. Transfers out of Level

3 for other assets were primarily the result of an initial public

offering of an equity investment. Transfers out of Level 3 for long-

term debt were primarily due to changes in the impact of

unobservable inputs on the value of certain structured liabilities.

Transfers occur on a regular basis for these long-term debt

instruments based on the fair value of the embedded derivative

in relation to the instrument as a whole.